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Gruppiert nach: Dokumententyp | Veröffentlichungsdatum
Anzahl der Publikationen: 19 .

Zeitschriftenartikel

Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin (2015): Stock market volatility: Identifying major drivers and the nature of their impact. In: Journal of Banking & Finance, Vol. 58: S. 1-14

Kim, Young S.; Lee, Jaesung; Mittnik, Stefan; Park, Jiho (2015): Quanto option pricing in the presence of fat tails and asymmetric dependence. In: Journal of Econometrics, Vol. 187, Nr. 2: S. 512-520

Mittnik, Stefan; Semmler, Willi (2014): VaR-implied tail-correlation matrices. In: Economic Letters, Vol. 122, Nr. 1: S. 69-73

Mittnik, Stefan; Ergashev, Bakhodir; Sekeris, Evan (2013): A Bayesian approach to extreme value estimation in operational risk modeling. In: Journal of Operational Risk, Vol. 8, Nr. 4: S. 55-81

Mittnik, Stefan; Paterlini, Sandra; Yener, Tina (2013): Operational risk dependencies and the determination of risk capital. In: Journal of Operational Risk, Vol. 8, Nr. 4: S. 83-104

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus (2013): Was bewegt den DAX. In: ifo Schnelldienst, Vol. 23: S. 32-36

Mittnik, Stefan; Semmler, Willi (2013): The real consequences of financial stress. In: Journal of Economic Dynamics and Control: S. 14799-1499

Mittnik, Stefan; Landes, Markus; Reiter, Joseph; Stucke, Rüdiger (2012): Realistische versus regulatorische Bewertung von Beteiligungsrisiken in Solvency II. In: Absolut report, Vol. 4: S. 44-53

Mittnik, Stefan; Semmler, Willi (2012): Regime dependence of the fiscal multiplier. In: Journal of Economic Behavior & Organization, Vol. 83: S. 502-522

Mittnik, Stefan; Starobinskaya, Irina (2010): Modeling dependencies in operational risk with hybrid Bayesian networks. In: Methodology and Computing in Applied Probability, Vol. 12, Nr. 3: S. 379-390

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. (2009): Asymmetric multivariate normal mixture GARCH. In: Computational Statistics & Data Analysis, Vol. 53: S. 2129-2154

Haas, Markus; Mittnik, Stefan; Yener, Tina (2009): Korrelationsbasierte Diversifikation - ein zukunftsfähiger Ansatz? In: Absolut Report, Vol. 52: S. 44-53

Krink, Thiemo; Mittnik, Stefan; Paterlini, Sandra (2009): Differential evolution and combinatorial search for constrained index tracking. In: Annals of Operations Research, Vol. 172: S. 153-176

Mittnik, Stefan; Yener, Tina (2009): Estimating operational risk capital for correlated, rare events. In: Journal of Operational Risk, Vol. 4, Nr. 4: S. 29-51

Paper

Kato, Mika; Mittnik, Stefan; Samaan, Daniel; Semmler, Willi (15. November 2013): Employment and Output Effects of Climate Policies. Department of Statistics: Technical Reports, Nr. 149 [PDF, 1MB]

Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin (16. Mai 2012): Boosting the Anatomy of Volatility. Department of Statistics: Technical Reports, Nr. 124 [PDF, 871kB]

Buchbeitrag

Mittnik, Stefan; Kato, Mika; Samaan, Daniel; Semmler, Willi (2015): Employment and output effects of climate policies. In: Lucas, Bernhard; Semmler, Willi (Hrsg.): The Oxford University Press Handbook on The Macroeconomics of Global Warming. Oxford: Oxford University Press. S. 445-476

Mittnik, Stefan; 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

Haas, Markus; Mittnik, Stefan (2009): Portfolio selection with common correlation mixture models. In: Bol, Georg; Rachev, Svetlozar T.; Würth, Reinhold (Hrsg.): Risk Assessment: Decisions in Banking in Finance. Heidelberg: Physica. S. 47-76

Diese Liste wurde am Tue Jan 17 05:26:29 2017 CET erstellt.