Stefan Mittnik : Citation Profile

Are you Stefan Mittnik?

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

19

H index

23

i10 index

1458

Citations

RESEARCH PRODUCTION:

43

Articles

32

Papers

5

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   37 years (1986 - 2023). See details.
   Cites by year: 39
   Journals where Stefan Mittnik has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 29 (1.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi387
   Updated: 2024-04-18    RAS profile: 2023-04-09    
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Relations with other researchers

Works with:

Semmler, Willi (2)

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 (48)

Rombouts, Jeroen (23)

Degiannakis, Stavros (19)

Bauwens, Luc (18)

Ricco, Giovanni (16)

Haas, Markus (15)

Paterlini, Sandra (14)

Miranda-Agrippino, Silvia (13)

Schleer, Frauke (12)

Fabozzi, Frank (11)

Ruiz, Esther (11)

Cites to:

Bollerslev, Tim (47)

Engle, Robert (36)

Semmler, Willi (31)

Bauwens, Luc (21)

Haas, Markus (21)

Laurent, Sébastien (16)

Fabozzi, Frank (15)

Sentana, Enrique (15)

Hamilton, James (12)

Brunnermeier, Markus (11)

Schwert, G. (11)

Main data

Where Stefan Mittnik has published?

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

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

Recent works citing Stefan Mittnik (2024 and 2023)

YearTitle of citing document
2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2023Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059.

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2023Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536.

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2023Aggregate Insider Trading and Stock Market Volatility in the UK. (2023). Spagnolo, Nicola ; Kyriacou, Kyriacos ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10511.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China. (2023). Wang, YU ; Li, Ting ; Pei, Shan. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002158.

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023Long-term inflation expectations and monetary policy in the euro area before the pandemic. (2023). Neri, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000557.

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2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

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2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?. (2023). Vo, Xuan Vinh ; Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000189.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Biased risk perceptions: Evidence from the laboratory and financial markets. (2023). Putni, Tlis J ; Pradier, Lionnel ; Payzan-Lenestour, Elise. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002655.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2023Household indebtedness and the macroeconomic effects of tax changes. (2023). Choi, Sangyup ; Shin, Junhyeok. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:209:y:2023:i:c:p:22-52.

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2023Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits. (2023). Westerhoff, Frank ; Gardini, Laura ; Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:210:y:2023:i:c:p:342-359.

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2023Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model. (2023). Semmler, Willi ; Lucidi, Francesco Simone. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000805.

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2023Policy coordination and the effectiveness of fiscal stimulus. (2023). Zhang, Shuwei ; Kim, Hyeongwoo ; Shao, Peng. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000829.

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2023Identification with External Instruments in Structural VARs. (2023). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:1-19.

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2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

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2023Modernising operational risk management in financial institutions via data-driven causal factors analysis: A pre-registered report. (2023). Vanstone, Bruce J ; Stern, Steven ; Gepp, Adrian ; Bilson, Christopher ; Cornwell, Nikki. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002013.

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2023A continuous-time macro-finance model with Knightian uncertainty. (2023). Yan, Jingzhou ; Shen, Guanxiong ; Mao, Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002244.

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2023New evidence of extreme risk transmission between financial stress and international crude oil markets. (2023). Zhang, Yaojie ; Wang, LU ; Li, Pan ; Hong, Yanran. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002392.

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2023Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks. (2023). Sahut, Jean-Michel ; Gaies, Brahim ; Nakhli, Mohamed Sahbi ; Kanzari, Dalel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000387.

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2023Fractal dimensions of the Rosenblatt process. (2023). Kerchev, George ; Daw, Lara. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:544-571.

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2023The Macroeconomic Determinants of the Stock Market Index Performance: The Case of DAX Index. (2023). Karakostas, Emmanouil. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:xi:y:2023:i:3:p:21-38.

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2023Exploring Dynamic Asset Pricing within Bachelier’s Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar T ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:352-:d:1203273.

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2023The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review. (2023). Aassouli, Dalal ; Khamis, Munir. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6841-:d:1126691.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023New insights into the growth-maximizing size of government: evidence and implications for Turkey. (2023). Durucan, Ayegul ; Kaya, Aye ; En, Huseyin. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09510-y.

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2023Endogenous Economic Resilience, Loss of Resilience, Persistent Cycles, Multiple Attractors, and Disruptive Contractions. (2023). Kockesen, Levent ; Padro, Gabriel R ; Orlando, Giuseppe ; della Rossa, Fabio ; Semmler, Willi. In: Working Papers. RePEc:new:wpaper:2309.

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2023Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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2023Model averaging for semiparametric varying coefficient quantile regression models. (2023). Lin, Cunjie ; Yang, Yuhong ; Zhan, Zishu. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:4:d:10.1007_s10463-022-00857-z.

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2023DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. (2023). Soldatos, John ; Kotios, Dimitrios ; Makridis, Georgios ; Fatouros, Georgios ; Kyriazis, Dimosthenis ; Filippakis, Michael. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00050-0.

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2023Assessing fiscal multipliers in times of crisis: evidence from selected CEE countries. (2023). Grecu, Robert Adrian ; Anghelescu, Cristina ; Murarau, Bogdan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02407-9.

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2023An empirical characterization of volatility in the German stock market. (2023). Virla, Leonardo Quero. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:7:d:10.1007_s43546-023-00508-2.

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2023Bayesian non?linear quantile effects on modelling realized kernels. (2023). Asai, Manabu ; Dong, Manh Cuong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:981-995.

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2023Forecasting Chinas stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?. (2023). Xu, Yongan ; Liang, Chao ; Chen, Zhonglu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3689-3699.

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2023.

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2023Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823.

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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.
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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.
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2022ESG-Valued Portfolio Optimization and Dynamic Asset Pricing In: Papers.
[Full Text][Citation analysis]		paper3
2022Hedonic Models of Real Estate Prices: GAM and Environmental Factors In: Papers.
[Full Text][Citation analysis]		paper0
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
2013What Moves the 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]		article9
2014Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence.(2014) In: ZEW Discussion Papers.
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2011The Instability of the Banking Sector and Macrodynamics: Theory and Empirics In: DEGIT Conference Papers.
[Full Text][Citation analysis]		paper4
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]		article39
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.
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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]		article70
2013The Real Consequences of Financial Stress.(2013) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 70		paper
2014VaR-implied tail-correlation matrices In: Economics Letters.
[Full Text][Citation analysis]		article5
2013VaR-implied tail-correlation matrices.(2013) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 5		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]		article24
1993Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions In: Journal of Econometrics.
[Full Text][Citation analysis]		article72
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]		article36
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.
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2005Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts.(2005) In: CFS Working Paper Series.
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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]		article39
2012Regime dependence of the fiscal multiplier In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article66
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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2021Quanto Pricing beyond Black–Scholes In: JRFM.
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2022Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors In: JRFM.
[Full Text][Citation analysis]		article0
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.
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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]		paper55
2009Differential evolution and combinatorial search for constrained index-tracking.(2009) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 55		article
2003Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending In: Economic Inquiry.
[Full Text][Citation analysis]		article23
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article275
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]		article53
2010Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks In: Methodology and Computing in Applied Probability.
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2006Modelling and predicting market risk with Laplace-Gaussian mixture distributions In: Applied Financial Economics.
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2005Modeling and predicting market risk with Laplace-Gaussian mixture distributions.(2005) In: CFS Working Paper Series.
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2008The Volatility of Realized Volatility In: Econometric Reviews.
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2005The volatility of realized volatility.(2005) In: CFS Working Paper Series.
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2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market In: The European Journal of Finance.
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2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market.(2002) In: CFS Working Paper Series.
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2009Memorandum on a new financial architecture and new regulations In: Published Paper Series.
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2009Financial market meltdown and a need for new financial regulations In: Published Paper Series.
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2000Lower?boundary violations and market efficiency: Evidence from the German DAX?index options market In: Journal of Futures Markets.
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2002Mixed normal conditional heteroskedasticity In: CFS Working Paper Series.
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2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions In: CFS Working Paper Series.
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2006Multivariate normal mixture GARCH In: CFS Working Paper Series.
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2006Accurate Value-at-Risk forecast with the (good old) normal-GARCH model In: CFS Working Paper Series.
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2008Multivariate regimeswitching GARCH with an application to international stock markets In: CFS Working Paper Series.
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2008Value-at-Risk and expected shortfall for rare events In: CFS Working Paper Series.
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