Stefan Mittnik : Citation Profile

Ludwig-Maximilians-Universität München (90% share)
CESifo (5% share)
Center for Financial Studies (5% share)

20

H index

25

i10 index

1639

Citations

RESEARCH PRODUCTION:

43

Articles

33

Papers

5

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   37 years (1986 - 2023). See details.
   Cites by year: 44
   Journals where Stefan Mittnik has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 30 (1.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmi387
   Updated: 2026-01-17    RAS profile: 2023-04-09    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Stefan Mittnik.

Is cited by:

Semmler, Willi (68)

Rombouts, Jeroen (23)

Bauwens, Luc (19)

Roventini, Andrea (19)

Schleer, Frauke (19)

Degiannakis, Stavros (19)

Ricco, Giovanni (16)

Haas, Markus (15)

Paterlini, Sandra (14)

Miranda-Agrippino, Silvia (13)

Proaño, Christian (12)

Cites to:

Bollerslev, Tim (47)

Semmler, Willi (36)

Engle, Robert (36)

Bauwens, Luc (21)

Haas, Markus (21)

Laurent, Sébastien (16)

Sentana, Enrique (15)

Fabozzi, Frank (15)

Schwert, G. (14)

Hamilton, James (13)

Brunnermeier, Markus (13)

Main data

Where Stefan Mittnik has published?

Journals with more than one article published# docs
Economics Letters4
Journal of Econometrics3
JRFM3
Journal of Economic Dynamics and Control2
Computational Statistics & Data Analysis2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)13
Papers / arXiv.org7
CESifo Working Paper Series / CESifo2
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney2

Recent works citing Stefan Mittnik (2025 and 2024)

YearTitle of citing document
2024Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence. (2024). Kim, Youngshin. In: Papers. RePEc:arx:papers:2402.17919.

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2024Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices. (2024). Rachev, Svetlozar T ; Bailey, Jason R ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2404.07132.

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2024Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon. (2024). He, Yifan ; Rachev, Svetlozar ; Fabozzi, Frank ; Shao, Barret ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2404.11722.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2024A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526.

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2024Modelling financial returns with mixtures of generalized normal distributions. (2024). Duttilo, Pierdomenico. In: Papers. RePEc:arx:papers:2411.11847.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Evaluating Factor Contributions for Sold Homes. (2025). Bailey, Jason R ; Rachev, Svetlozar T ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2511.02120.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2025Extreme conditional tail risk inference in ARMA–GARCH models. (2025). Ma, Yaolan ; Wei, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000946.

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2024Nonlinear transmission of international financial stress. (2024). Tuzcuoglu, Kerem. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001615.

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2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Beutner, Eric ; Heinemann, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2025Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR). (2025). Semmler, Willi ; Chen, PU ; Maurer, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:105-134.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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2025The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk. (2025). Azimli, Asil ; Kalmaz, Demet Beton. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000645.

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2025Structural characteristics and non-linear fiscal multipliers. (2025). Dubey, Amlendu ; Gupta, Mahima. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000694.

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2025Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2025Unlocking economic insights: ESG integration, market dynamics and sustainable transitions. (2025). Yarovaya, Larisa ; Ismail, Izlin ; Qureshi, Fiza. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002312.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Qiu, Zhiguo ; Nakata, Keiichi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024Vulnerability of a developing stock market to openness: One-way return and volatility transmissions. (2024). Ibrahim, Masud Usman ; Hassan, Aminu ; Bala, Ahmed Jinjiri. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001169.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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2024Transportation sector and Chinese stock volatility forecasting: Evidence from freight and passenger traffic. (2024). Zhang, Lili ; Zhong, Juandan. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301334x.

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2024Financial market volatility: Does banking concentration play a role?. (2024). Zeeshan, Mohammad. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324009905.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2025Identifying scenarios for the own risk and Solvency assessment of insurance companies. (2025). Aigner, Philipp. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:30-43.

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2024The dynamic effects of public investments on private capital formation: Modelling a heterogeneous asymmetric cointegration with unobserved global factors. (2024). Carvelli, Gianni. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000859.

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2024Financial fragility, regime change, and monetary policy in an open economy – A model and empirical application to emerging market countries. (2024). Semmler, Willi ; Toure, Marieme. In: International Economics. RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000556.

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2025Macroeconomic responses to financial stress shocks: Evidence from the US and the Eurozone. (2025). Giannellis, Nikolaos ; Tzanaki, Maria-Anna. In: International Economics. RePEc:eee:inteco:v:181:y:2025:i:c:s2110701724000969.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2024Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452.

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2025The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system. (2025). Yousaf, Imran ; Wang, Jiqian ; Marco, Chi Keung ; Dai, Xingyu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000078.

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2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

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2025Optimizing index tracking: A Random Matrix Theory approach to portfolio selection. (2025). Grassetti, Francesca. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:674:y:2025:i:c:s0378437125003991.

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2024Forecasting the effect of extreme sea-level rise on financial market risk. (2024). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:1-27.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Banking system stress: Unravelling its influence on U.S. industry risk. (2025). Chen, Gengxuan ; Li, Sitong ; Yi, Siyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000625.

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2024CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features. (2024). Oberoi, Jaideep ; Mitrodima, Gelly. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120880.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2024Bachelier’s Market Model for ESG Asset Pricing. (2024). Yegon, Peter ; Nyarko, Nancy Asare ; Omotade, Blessing ; Rachev, Svetlozar. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:12:p:553-:d:1540241.

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2024A Comprehensive Approach to Bankruptcy Risk Evaluation in the Financial Industry. (2024). Chaitanya, Sri Sarat ; Jagannathan, Sharath Kumar ; Issa, Samar ; Bizel, Gulhan. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:41-:d:1324207.

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2024On the Realized Risk of Foreign Exchange Rates: A Fractal Perspective. (2024). Fathi, Masoumeh ; Grobys, Klaus ; Kolari, James W. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:79-:d:1340654.

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2024Hedonic Models Incorporating Environmental, Social, and Governance Factors for Time Series of Average Annual Home Prices. (2024). Rachev, Svetlozar T ; Bailey, Jason R ; Lindquist, Brent W. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:8:p:375-:d:1460893.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2025Exploring Corporate Capital Structure and Overleveraging in the Pharmaceutical Industry. (2025). Issa, Hussein. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:26-:d:1582525.

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2024CAViaR Model Selection Via Adaptive Lasso. (2024). Cai, Zongwu ; Fang, Ying ; Tian, Dingshi. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202403.

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2025The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures. (2025). Qin, Jieye. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:2:d:10.1007_s10690-024-09469-4.

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2024Comparison of Value at Risk (VaR) Multivariate Forecast Models. (2024). Righi, Marcelo ; Muller, Fernanda Maria. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10330-x.

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2024Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm. (2024). Liang, Rubing ; Xia, Qiang ; Qin, Binbin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10337-4.

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2024Monetary Policy and the Evolution of Wealth Disparity: An Assessment Using US Survey of Consumer Finance Data. (2024). Semmler, Willi ; Parker, Damien Nicholas. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10560-1.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2024Testing the effects of fiscal policy shocks on output growth in recession and expansion: empirical evidence from developing countries. (2024). Ali, Syed Sadaqat ; Rafique, Rabia ; Nisar, Asad. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:3:d:10.1007_s10644-024-09708-8.

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2025Time-varying predictability of TAIEX volatility. (2025). Pan, Ging-Ginq ; Shiu, Yung-Ming ; Wu, Tu-Cheng. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:2:d:10.1007_s11147-025-09212-9.

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2024Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models. (2024). Newton, David P ; Huang, Winifred ; Xiao, Chuxuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:3:d:10.1007_s11156-024-01279-z.

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2025Local Projections or VARs? A Primer for Macroeconomists. (2025). Plagborg-Mller, Mikkel ; Montiel, Jos Luis ; Wolf, Christian K ; Qian, Eric. In: NBER Chapters. RePEc:nbr:nberch:15140.

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2024Beyond probability-impact matrices in project risk management: A quantitative methodology for risk prioritisation. (2024). Pajares, J ; Gonzalez-Varona, J M ; Acebes, F ; Lopez-Paredes, A. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03180-5.

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2024Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202420.

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2024Penalized enhanced portfolio replication with asymmetric deviation measures. (2024). Paterlini, Sandra ; Giacometti, Rosella ; Torri, Gabriele. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05576-z.

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2024Portfolio optimization with relative tail risk. (2024). Fabozzi, Frank J ; Kim, Youngshin. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06204-0.

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2024“Fly down”: the impact of new accounting standards on the airline industry risk assessment. (2024). Comerio, Niccol ; Pacicco, Fausto ; Serati, Massimiliano. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:5:d:10.1007_s00181-024-02608-w.

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2024The effect of financial stress on renewable energy consumption: evidence from US data. (2024). Shafiullah, Muhammad ; Alam, Md Samsul ; Miah, Mohammad Dulal. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:10:d:10.1007_s10668-023-03747-3.

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2024Threats of sovereign debt overhang in the EU, the new fiscal rules and the perils of policy drift. (2024). Semmler, Willi ; Young, Brigitte. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:41:y:2024:i:2:d:10.1007_s40888-023-00319-6.

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2024Salience theory value spillovers between China’s systemically important banks: evidence from quantile connectedness. (2024). Jin, Xiaoye. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00582-3.

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2024Implementation of deep learning models in predicting ESG index volatility. (2024). Rimal, Binod ; Dahal, Keshab R ; Pokhrel, Nawa Raj ; Bhandari, Hum Nath. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00604-0.

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2024Moderating the Effect of Institutional Quality on the Fiscal Policy and Economic Growth Nexus: What Evidence Exists in Sub-Saharan Africa?. (2024). Olele, Enoh Hilda ; Efayena, Obukohwo Oba. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:4:d:10.1007_s13132-024-01978-x.

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2024The time-varying impacts of global economic policy uncertainty on macroeconomic activity in a small open economy: the case of Turkey. (2024). Yalinkaya, Mer ; Datan, Muhammet ; Karabulut, Kerem. In: Portuguese Economic Journal. RePEc:spr:portec:v:23:y:2024:i:2:d:10.1007_s10258-023-00239-0.

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2024Estimation and Inference of the Forecast Error Variance Decomposition for Set-Identified SVARs. (2024). Volpicella, Alessio ; Marlow, Joe ; Fusari, Francesco. In: School of Economics Discussion Papers. RePEc:sur:surrec:0424.

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2024Dynamic partial (co)variance forecasting model. (2024). Chen, Zirong ; Zhou, Yao. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:5:p:643-653.

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2024Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04.

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2024A panel vector autoregression analysis for the dynamics of medical and long‐term care expenditures. (2024). Imanaka, Yuichi ; Ishihara, Tsunehiro ; Kunisawa, Susumu ; Sugawara, Shinya ; Goto, Etsu. In: Health Economics. RePEc:wly:hlthec:v:33:y:2024:i:4:p:748-763.

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2024Is there a nonlinear relationship between public investment and private investment? Evidence from 21 Organization for Economic Cooperation and Development countries. (2024). Vale, Sofia ; So, Sofia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:887-902.

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2024Scaling and measurement error sensitivity of scoring rules for distribution forecasts. (2024). Kleen, Onno. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:833-849.

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2025Exploiting News Analytics for Volatility Forecasting. (2025). Bodilsen, Simon Tranberg ; Lunde, Asger. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:1:p:18-36.

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2025Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings. (2025). Richter, Alexander ; Plante, Michael ; Kilian, Lutz. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:4:p:395-410.

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2024Volatility forecasting for stock market index based on complex network and hybrid deep learning model. (2024). Song, Yuping ; Tang, Xiaolong ; Li, Chen ; Lei, Bolin. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:544-566.

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2024Volatility forecasting for stock market incorporating media reports, investors sentiment, and attention based on MTGNN model. (2024). Song, Yuping ; Lei, Bolin. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1706-1730.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2025Forecasting the Volatility of US Oil and Gas Firms With Machine Learning. (2025). Hansen, Erwin ; Cabrera, Gabriel ; Daz, Juan D. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1383-1402.

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2024Modeling and forecasting stock return volatility using the HARGARCH model with VIX information. (2024). Wang, Yudong ; Pan, Zhiyuan ; Zhang, Jun ; Huang, Juan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1383-1403.

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2025Predicting Stock Jumps and Crashes Using Options. (2025). Andreou, Panayiotis C ; Li, Nan ; Han, Chulwoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1471-1490.

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Stefan Mittnik is editor of

Journal
Dynamic Modeling and Econometrics in Economics and Finance

Works by Stefan Mittnik:

YearTitleTypeCited
2016Pricing Derivatives in Hermite Markets In: Papers.
[Full Text][Citation analysis]		paper1
2017Pricing derivatives in Hermite markets.(2017) In: Papers.
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This paper has nother version. Agregated cites: 1		paper
2019PRICING DERIVATIVES IN HERMITE MARKETS.(2019) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 1		article
2020Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
[Full Text][Citation analysis]		paper1
2023Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation In: Papers.
[Full Text][Citation analysis]		paper1
2022Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation.(2022) In: JRFM.
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This paper has nother version. Agregated cites: 1		article
2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes In: Papers.
[Full Text][Citation analysis]		paper1
2022ESG-Valued Portfolio Optimization and Dynamic Asset Pricing In: Papers.
[Full Text][Citation analysis]		paper4
2022Hedonic Models of Real Estate Prices: GAM and Environmental Factors In: Papers.
[Full Text][Citation analysis]		paper3
1990Macroeconomic Forecasting Using Pooled International Data. In: Journal of Business & Economic Statistics.
[Citation analysis]		article5
2016Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis In: Economic Notes.
[Full Text][Citation analysis]		article3
1996Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article7
2002Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article9
2004Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper65
2005Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data.(2005) In: Contributions to Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 65		chapter
2013The Micro Dynamics of Macro Announcements In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper3
2013Was bewegt den DAX? In: ifo Schnelldienst.
[Full Text][Citation analysis]		article5
1998CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES In: Econometric Theory.
[Full Text][Citation analysis]		article4
2018OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article14
2014Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence.(2014) In: ZEW Discussion Papers.
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This paper has nother version. Agregated cites: 14		paper
2011The Instability of the Banking Sector and Macrodynamics: Theory and Empirics In: DEGIT Conference Papers.
[Full Text][Citation analysis]		paper5
2022Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research.
[Full Text][Citation analysis]		article0
1993Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models. In: Econometrica.
[Full Text][Citation analysis]		article28
2006Accurate value-at-risk forecasting based on the normal-GARCH model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article41
2009Asymmetric multivariate normal mixture GARCH In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article23
2008Asymmetric multivariate normal mixture GARCH.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
1991Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2013The real consequences of financial stress In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article74
2013The real consequences of financial stress.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74		paper
2014VaR-implied tail-correlation matrices In: Economics Letters.
[Full Text][Citation analysis]		article6
2013VaR-implied tail-correlation matrices.(2013) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
1987The determination of the state covariance matrix of moving-average processes without computation In: Economics Letters.
[Full Text][Citation analysis]		article1
1987Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes In: Economics Letters.
[Full Text][Citation analysis]		article3
1998Testing cointegrating coefficients in vector autoregressive error correction models In: Economics Letters.
[Full Text][Citation analysis]		article6
2002Stationarity of stable power-GARCH processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2015Quanto option pricing in the presence of fat tails and asymmetric dependence In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
1993Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions In: Journal of Econometrics.
[Full Text][Citation analysis]		article78
1987Macroeconomic dynamics and econometric modelling In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2000Diagnosing and treating the fat tails in financial returns data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article38
2006Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts In: Journal of Financial Stability.
[Full Text][Citation analysis]		article8
2004Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2005Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1990Macroeconomic forecasting experience with balanced state space models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article9
2015Stock market volatility: Identifying major drivers and the nature of their impact In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article56
2012Regime dependence of the fiscal multiplier In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article70
2012Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR In: EcoMod2012.
[Full Text][Citation analysis]		paper2
2007On the Methodology of Business Cycle Analysis In: Chapters.
[Full Text][Citation analysis]		chapter0
2020Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model In: Econometrics.
[Full Text][Citation analysis]		article2
2019Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model.(2019) In: IMF Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2021Quanto Pricing beyond Black–Scholes In: JRFM.
[Full Text][Citation analysis]		article0
2022Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors In: JRFM.
[Full Text][Citation analysis]		article2
2013The Real Consequences of Financial Stress In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper72
1986Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
[Full Text][Citation analysis]		article0
1998Unconditional and Conditional Distributional Models for the Nikkei Index In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article19
2007Portfolio optimization when risk factors are conditionally varying and heavy tailed In: Computational Economics.
[Full Text][Citation analysis]		article13
2006Portfolio optimization when risk factors are conditionally varying and heavy tailed.(2006) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2011Operational–risk Dependencies and the Determination of Risk Capital In: Center for Economic Research (RECent).
[Full Text][Citation analysis]		paper5
2009Differential Evolution and Combinatorial Search for Constrained Index Tracking In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
[Full Text][Citation analysis]		paper58
2009Differential evolution and combinatorial search for constrained index-tracking.(2009) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		article
2003Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending In: Economic Inquiry.
[Full Text][Citation analysis]		article24
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article290
2009Portfolio Selection with Common Correlation Mixture Models In: Contributions to Economics.
[Citation analysis]		chapter0
2014Estimating a Banking-Macro Model Using a Multi-regime VAR In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter4
2014Modeling the Dynamics of the Transition to a Green Economy In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter0
2001Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries In: Empirical Economics.
[Full Text][Citation analysis]		article55
2010Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]		article5
2006Modelling and predicting market risk with Laplace-Gaussian mixture distributions In: Applied Financial Economics.
[Full Text][Citation analysis]		article12
2005Modeling and predicting market risk with Laplace-Gaussian mixture distributions.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2008The Volatility of Realized Volatility In: Econometric Reviews.
[Full Text][Citation analysis]		article279
2005The volatility of realized volatility.(2005) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 279		paper
2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market In: The European Journal of Finance.
[Full Text][Citation analysis]		article20
2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market.(2002) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 20		paper
2009Memorandum on a new financial architecture and new regulations In: Published Paper Series.
[Full Text][Citation analysis]		paper0
2009Financial market meltdown and a need for new financial regulations In: Published Paper Series.
[Full Text][Citation analysis]		paper0
2000Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market In: Journal of Futures Markets.
[Full Text][Citation analysis]		article4
2002Mixed normal conditional heteroskedasticity In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper102
2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper25
2006Multivariate normal mixture GARCH In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper3
2006Accurate Value-at-Risk forecast with the (good old) normal-GARCH model In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper0
2008Multivariate regimeswitching GARCH with an application to international stock markets In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper11
2008Value-at-Risk and expected shortfall for rare events In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper0

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