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Eine Ebene höherGruppiert nach: Dokumententyp |
Veröffentlichungsdatum
Anzahl der Publikationen: 27
2022
Peng, Cheng; Kim, Young Shin und Mittnik, Stefan
(2022):
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation.
In: Journal of Risk and Financial Management, Bd. 15, Nr. 5, 230
2021
Fink, Holger und Mittnik, Stefan
(2021):
Quanto Pricing beyond Black-Scholes.
In: Journal of Risk and Financial Management, Bd. 14, Nr. 3, 136
2020
Mittnik, Stefan
(2. August 2020):
Kostolanys Depot.
In: Frankfurter Allgemeine Sonntagszeitung, Nr. 31: S. 28
Mittnik, Stefan; Semmler, Willi und Haider, Alexander
(2020):
Climate Disaster Risks-Empirics and a Multi-Phase Dynamic Model.
In: Econometrics, Bd. 8, Nr. 3, 33
2019
Stoyanov, Stoyan; Rachev, Svetlozar T.; Mittnik, Stefan und Fabozzi, Frank J.
(2019):
PRICING DERIVATIVES IN HERMITE MARKETS.
In: International Journal of Theoretical and Applied Finance, Bd. 22, Nr. 6, 1950031
2018
Mittnik, Stefan und Semmler, Willi
(2018):
Overleveraging, Financial Fragility, And The Banking-Macro Link: Theory And Empirical Evidence.
In: Macroeconomic Dynamics, Bd. 22, Nr. 1: S. 4-32
Khan, Muhammad Yousaf und Mittnik, Stefan
(2018):
Nonlinear time series modeling and forecasting the seismic data of the Hindu Kush region.
In: Journal of Seismology, Bd. 22, Nr. 1: S. 353-376
2016
Ernst, Ekkehard; Mittnik, Stefan und Semmler, Willi
(2016):
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis.
In: Economic Notes, Bd. 45, Nr. 3: S. 393-422
2015
Kim, Young S.; Lee, Jaesung; Mittnik, Stefan und Park, Jiho
(2015):
Quanto option pricing in the presence of fat tails and asymmetric dependence.
In: Journal of Econometrics, Bd. 187, Nr. 2: S. 512-520
Mittnik, Stefan; Robinzonov, Nikolay und Spindler, Martin
(2015):
Stock market volatility: Identifying major drivers and the nature of their impact.
In: Journal of Banking & Finance, Bd. 58: S. 1-14
Mittnik, Stefan; Kato, Mika; Samaan, Daniel und Semmler, Willi
(2015):
Employment and output effects of climate policies.
In: Lucas, Bernhard und Semmler, Willi (Hrsg.):
The Oxford University Press Handbook on The Macroeconomics of Global Warming. Oxford: Oxford University Press. S. 445-476
2014
Mittnik, Stefan und Semmler, Willi
(2014):
Estimating a Banking-Macro Model Using a Multi-regime VAR.
In: Schleer-van Gellecom, Frauke (Hrsg.):
Advances in Non-linear Economic Modeling. Theory and Applications. Berlin: Springer-Verlag. S. 3-40
Mittnik, Stefan und Semmler, Willi
(2014):
VaR-implied tail-correlation matrices.
In: Economic Letters, Bd. 122, Nr. 1: S. 69-73
2013
Kato, Mika; Mittnik, Stefan; Samaan, Daniel und Semmler, Willi
(15. November 2013):
Employment and Output Effects of Climate Policies.
Department of Statistics: Technical Reports, Nr. 149
[PDF, 1MB]
Mittnik, Stefan und Semmler, Willi
(2013):
The real consequences of financial stress.
In: Journal of Economic Dynamics and Control: S. 14799-1499
Mittnik, Stefan; Robinzonov, Nikolay und Wohlrabe, Klaus
(2013):
Was bewegt den DAX.
In: ifo Schnelldienst, Bd. 23: S. 32-36
Mittnik, Stefan; Paterlini, Sandra und Yener, Tina
(2013):
Operational risk dependencies and the determination of risk capital.
In: Journal of Operational Risk, Bd. 8, Nr. 4: S. 83-104
Mittnik, Stefan; Ergashev, Bakhodir und Sekeris, Evan
(2013):
A Bayesian approach to extreme value estimation in operational risk modeling.
In: Journal of Operational Risk, Bd. 8, Nr. 4: S. 55-81
2012
Mittnik, Stefan; Robinzonov, Nikolay und Spindler, Martin
(16. Mai 2012):
Boosting the Anatomy of Volatility.
Department of Statistics: Technical Reports, Nr. 124
[PDF, 871kB]
Mittnik, Stefan und Semmler, Willi
(2012):
Regime dependence of the fiscal multiplier.
In: Journal of Economic Behavior & Organization, Bd. 83: S. 502-522
Mittnik, Stefan; Landes, Markus; Reiter, Joseph und Stucke, Rüdiger
(2012):
Realistische versus regulatorische Bewertung von Beteiligungsrisiken in Solvency II.
In: Absolut report, Bd. 4: S. 44-53
2010
Mittnik, Stefan und Starobinskaya, Irina
(2010):
Modeling dependencies in operational risk with hybrid Bayesian networks.
In: Methodology and Computing in Applied Probability, Bd. 12, Nr. 3: S. 379-390
2009
Mittnik, Stefan und Yener, Tina
(2009):
Estimating operational risk capital for correlated, rare events.
In: Journal of Operational Risk, Bd. 4, Nr. 4: S. 29-51
Krink, Thiemo; Mittnik, Stefan und Paterlini, Sandra
(2009):
Differential evolution and combinatorial search for constrained index tracking.
In: Annals of Operations Research, Bd. 172: S. 153-176
Haas, Markus; Mittnik, Stefan und Yener, Tina
(2009):
Korrelationsbasierte Diversifikation - ein zukunftsfähiger Ansatz?
In: Absolut Report, Bd. 52: S. 44-53
Haas, Markus; Mittnik, Stefan und Paolella, Marc S.
(2009):
Asymmetric multivariate normal mixture GARCH.
In: Computational Statistics & Data Analysis, Bd. 53: S. 2129-2154
Haas, Markus und Mittnik, Stefan
(2009):
Portfolio selection with common correlation mixture models.
In: Bol, Georg; Rachev, Svetlozar T. und Würth, Reinhold (Hrsg.):
Risk Assessment: Decisions in Banking in Finance. Heidelberg: Physica-Verlag. S. 47-76