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Publications

by members of

Ludwig-Maximilians-Universität München → Institut für Statistik → Center for Quantitative Risk Analysis (CEQURA)

University of Munich → Institute of Statistics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2022

  1. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers, arXiv.org, number 2206.02854, Jun.
  2. Jason R. Bailey & Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "Hedonic Models of Real Estate Prices: GAM and Environmental Factors," Papers, arXiv.org, number 2210.14266, Oct.

2021

  1. Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev, 2021, "Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes," Papers, arXiv.org, number 2109.15051, Sep, revised Aug 2023.

2020

  1. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020, "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers, arXiv.org, number 2009.11367, Sep, revised Feb 2023.

2019

  1. Stefan Mittnik & Willi Semmler & Alexander Haider, 2019, "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers, International Monetary Fund, number 2019/145, Jul.

2017

  1. Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani, 2017, "Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach," Papers, arXiv.org, number 1710.03211, Oct, revised Feb 2020.

2016

  1. Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016, "Pricing Derivatives in Hermite Markets," Papers, arXiv.org, number 1612.07016, Dec, revised Dec 2016.

2014

  1. Mittnik, Stefan & Semmler, Willi, 2014, "Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 14-110.

2013

  1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013, "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series, CESifo, number 4421.
  2. Mittnik, Stefan, 2013, "VaR-implied tail-correlation matrices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/05.
  3. Mittnik, Stefan & Semmler, Willi, 2013, "The real consequences of financial stress," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-011.

2012

  1. Willi Semmler & Stefan Mittnik, 2012, "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012, EcoMod, number 4122, Jul.

2011

  1. Stefan Mittnik & Willi Semmler, 2011, "The Instability of the Banking Sector and Macrodynamics: Theory and Empirics," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c016_080, Sep.
  2. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011, "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 070, Aug.

2009

  1. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009, "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0016, Mar.
  2. Teresa Ghilarducci & Edward Nell & Stefan Mittnik & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009, "Memorandum on a new financial architecture and new regulations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-7, Jan.
  3. Stefan Mittnik & Edward Nell & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009, "Financial market meltdown and a need for new financial regulations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-8, Jan.

2008

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008, "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/07.
  2. Haas, Markus & Mittnik, Stefan, 2008, "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/08.
  3. Mittnik, Stefan & Yener, Tina, 2008, "Value-at-Risk and expected shortfall for rare events," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/14.

2006

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006, "Multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/09.
  2. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006, "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/23.
  3. Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006, "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/24.

2005

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2005, "Modeling and predicting market risk with Laplace-Gaussian mixture distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/11.
  2. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005, "The volatility of realized volatility," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/33.

2004

  1. Stefan Mittnik & Peter A. Zadrozny, 2004, "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data," CESifo Working Paper Series, CESifo, number 1203.
  2. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.

2003

  1. Mittnik, Stefan & Paolella, Marc S., 2003, "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/04.

2002

  1. Claessen, Holger & Mittnik, Stefan, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/04.
  2. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002, "Mixed normal conditional heteroskedasticity," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/10.

Journal articles

2022

  1. Stefan Mittnik & Willi Semmler, 2022, "Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 91, issue 3, pages 11-44, DOI: 10.3790/vjh.91.3.11.
  2. Jason Robert Bailey & Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors," JRFM, MDPI, volume 15, issue 12, pages 1-11, December.
  3. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022, "Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation," JRFM, MDPI, volume 15, issue 5, pages 1-23, May.

2021

  1. Holger Fink & Stefan Mittnik, 2021, "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, volume 14, issue 3, pages 1-27, March.

2020

  1. Stefan Mittnik & Willi Semmler & Alexander Haider, 2020, "Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model," Econometrics, MDPI, volume 8, issue 3, pages 1-27, August.

2019

  1. Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2019, "Pricing Derivatives In Hermite Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 06, pages 1-27, September, DOI: 10.1142/S0219024919500316.

2018

  1. Mittnik, Stefan & Semmler, Willi, 2018, "Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence," Macroeconomic Dynamics, Cambridge University Press, volume 22, issue 1, pages 4-32, January.

2016

  1. Ekkehard Ernst & Stefan Mittnik & Willi Semmler, 2016, "Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 45, issue 3, pages 393-422, November.

2015

  1. Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015, "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 512-520, DOI: 10.1016/j.jeconom.2015.02.035.
  2. Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015, "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 1-14, DOI: 10.1016/j.jbankfin.2015.04.003.

2014

  1. Mittnik, Stefan, 2014, "VaR-implied tail-correlation matrices," Economics Letters, Elsevier, volume 122, issue 1, pages 69-73, DOI: 10.1016/j.econlet.2013.10.025.

2013

  1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013, "Was bewegt den DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 66, issue 23, pages 32-36, December.
  2. Mittnik, Stefan & Semmler, Willi, 2013, "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1479-1499, DOI: 10.1016/j.jedc.2013.04.014.

2012

  1. Mittnik, Stefan & Semmler, Willi, 2012, "Regime dependence of the fiscal multiplier," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 502-522, DOI: 10.1016/j.jebo.2012.02.005.

2010

  1. Stefan Mittnik & Irina Starobinskaya, 2010, "Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks," Methodology and Computing in Applied Probability, Springer, volume 12, issue 3, pages 379-390, September, DOI: 10.1007/s11009-007-9066-y.

2009

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009, "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2129-2154, April.
  2. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009, "Differential evolution and combinatorial search for constrained index-tracking," Annals of Operations Research, Springer, volume 172, issue 1, pages 153-176, November, DOI: 10.1007/s10479-009-0552-1.

2008

  1. Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.

2007

  1. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007, "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 333-354, May, DOI: 10.1007/s10614-006-9071-1.

2006

  1. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006, "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2295-2312, December.
  2. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006, "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, volume 2, issue 1, pages 28-54, April.
  3. Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006, "Value-at-Risk Prediction: A Comparison of Alternative Strategies," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 1, pages 53-89.
  4. Markus Haas & Stefan Mittnik & Marc Paolella, 2006, "Modelling and predicting market risk with Laplace-Gaussian mixture distributions," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 15, pages 1145-1162, DOI: 10.1080/09603100500438817.

2003

  1. Stefan Mittnik & Thorsten Neumann, 2003, "Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending," Economic Inquiry, Western Economic Association International, volume 41, issue 4, pages 565-573, October.

2002

  1. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002, "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 1, pages 1-39, April, DOI: 10.2202/1558-3708.1001.
  2. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002, "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, volume 106, issue 1, pages 97-107, January.
  3. Holger Claessen & Stefan Mittnik, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, volume 8, issue 3, pages 302-321, DOI: 10.1080/13518470110074828.

2001

  1. Stefan Mittnik & Thorsten Neumann, 2001, "Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries," Empirical Economics, Springer, volume 26, issue 2, pages 429-446.

2000

  1. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000, "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, volume 7, issue 3-4, pages 389-416, November.
  2. Stefan Mittnik & Sascha Rieken, 2000, "Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 20, issue 5, pages 405-424, May.

1998

  1. Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol, 1998, "Chi-Square-Type Distributions For Heavy-Tailed Variates," Econometric Theory, Cambridge University Press, volume 14, issue 3, pages 339-354, June.
  2. Hansen, Gerd & Kim, Jeong-Ryeol & Mittnik, Stefan, 1998, "Testing cointegrating coefficients in vector autoregressive error correction models," Economics Letters, Elsevier, volume 58, issue 1, pages 1-5, January.
  3. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998, "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 5, issue 2, pages 99-128, May, DOI: 10.1023/A:1010016831481.

1996

  1. Kim Jeong-Ryeol & Mittnik Stefan & Rachev Svetlozar T., 1996, "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 1, issue 3, pages 1-15, October, DOI: 10.2202/1558-3708.1017.

1993

  1. Mittnik, Stefan & Zadrozny, Peter A, 1993, "Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models," Econometrica, Econometric Society, volume 61, issue 4, pages 857-870, July.
  2. Braun, Phillip A. & Mittnik, Stefan, 1993, "Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions," Journal of Econometrics, Elsevier, volume 59, issue 3, pages 319-341, October.

1991

  1. Mittnik, Stefan, 1991, "Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models," Journal of Economic Dynamics and Control, Elsevier, volume 15, issue 4, pages 731-740, October.

1990

  1. Mittnik, Stefan, 1990, "Macroeconomic Forecasting Using Pooled International Data," Journal of Business & Economic Statistics, American Statistical Association, volume 8, issue 2, pages 205-208, April.
  2. Mittnik, Stefan, 1990, "Macroeconomic forecasting experience with balanced state space models," International Journal of Forecasting, Elsevier, volume 6, issue 3, pages 337-348, October.

1987

  1. Mittnik, Stefan, 1987, "The determination of the state covariance matrix of moving-average processes without computation," Economics Letters, Elsevier, volume 23, issue 2, pages 177-179.
  2. Mittnik, Stefan, 1987, "Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes," Economics Letters, Elsevier, volume 23, issue 3, pages 279-284.
  3. Mittnik, Stefan, 1987, "Macroeconomic dynamics and econometric modelling," European Journal of Operational Research, Elsevier, volume 30, issue 3, pages 258-261, June.

1986

  1. Mittnik Stefan, 1986, "Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 201, issue 5, pages 518-526, May, DOI: 10.1515/jbnst-1986-0507.

Chapters

2014

  1. Stefan Mittnik & Willi Semmler, 2014, "Estimating a Banking-Macro Model Using a Multi-regime VAR," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Frauke Schleer-van Gellecom, "Advances in Non-linear Economic Modeling", DOI: 10.1007/978-3-642-42039-9_1.
  2. Stefan Mittnik & Willi Semmler & Mika Kato & Daniel Samaan, 2014, "Modeling the Dynamics of the Transition to a Green Economy," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Elke Moser & Willi Semmler & Gernot Tragler & Vladimir M. Veliov, "Dynamic Optimization in Environmental Economics", DOI: 10.1007/978-3-642-54086-8_4.

2009

  1. Markus Haas & Stefan Mittnik, 2009, "Portfolio Selection with Common Correlation Mixture Models," Contributions to Economics, Springer, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth, "Risk Assessment", DOI: 10.1007/978-3-7908-2050-8_4.

2007

  1. Stefan Mittnik & Klaus Wohlrabe, 2007, "On the Methodology of Business Cycle Analysis," Chapters, Edward Elgar Publishing, chapter 17, in: Georg Goldrian, "Handbook of Survey-Based Business Cycle Analysis".

2005

  1. Stefan Mittnik & Peter Zadrozny, 2005, "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data," Contributions to Economics, Springer, in: Jan-Egbert Sturm & Timo Wollmershäuser, "Ifo Survey Data in Business Cycle and Monetary Policy Analysis", DOI: 10.1007/3-7908-1605-1_2.

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