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Up a level- Faculties (108039)
- Mathematics, Computer Science and Statistics (5339)
- Statistics (2304)
- Chairs/Working Groups (744)
- Chair of Financial Econometrics (36)
- Chairs/Working Groups (744)
- Statistics (2304)
- Mathematics, Computer Science and Statistics (5339)
Number of items at this level: 36.
B
Buch, Claudia M. und Yener, Serkan
(2010):
Consumption volatility and financial openness.
In: Applied Economics, Vol. 42, No. 28: pp. 3635-3649
F
Fink, Holger
(2016):
Conditional Distributions of Mandelbrot-Van Ness Fractional Lévy Processes and Continuous-Time ARMA-GARCH-type Models with Long Memory.
In: Journal of Time Series Analysis, Vol. 37, No. 1: pp. 30-45
H
Haas, Markus
(2010):
Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations.
In: Finance Research Letters, Vol. 7, No. 2: pp. 86-97
Haas, Markus
(2009):
Modelling skewness and kurtosis with the skewed gauss-laplace sum distribution.
In: Applied Economics Letters, Vol. 16: pp. 1277-1283
Haas, Markus
(2009):
Persistence in volatility, conditional kurtosis, and the taylor property in absolute value GARCH processes.
In: Statistics & Probability Letters, Vol. 79: pp. 1674-1683
Haas, Markus
(2010):
Skew-normal mixture and markov-switching GARCH processes.
In: Studies in Nonlinear Dynamics & Econometrics, Vol. 14, No. 4: pp. 1-54
Haas, Markus
(2009):
Value-at-risk via mixture distributions reconsidered.
In: Applied Mathematics and Computation, Vol. 216: pp. 2103-2119
Haas, Markus und Mittnik, Stefan
(2009):
Portfolio selection with common correlation mixture models.
In: Bol, Georg; Rachev, Svetlozar T. und Würth, Reinhold (eds.) :
Risk Assessment: Decisions in Banking in Finance. Heidelberg: Physica-Verlag. pp. 47-76
Haas, Markus; Mittnik, Stefan und Paolella, Marc S.
(2009):
Asymmetric multivariate normal mixture GARCH.
In: Computational Statistics & Data Analysis, Vol. 53: pp. 2129-2154
Haas, Markus; Mittnik, Stefan und Yener, Tina
(2009):
Korrelationsbasierte Diversifikation - ein zukunftsfähiger Ansatz?
In: Absolut Report, Vol. 52: pp. 44-53
Haas, Markus und Pigorsch, Christian
(2009):
Financial economics: Fat-tailed distributions.
In: Meyers, Robert A. (ed.) :
Encyclopedia of Complexity and Systems Science. New York: Springer. pp. 46-78
K
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, Vol. 187, No. 2: pp. 512-520
Krink, Thiemo; Mittnik, Stefan und Paterlini, Sandra
(2009):
Differential evolution and combinatorial search for constrained index tracking.
In: Annals of Operations Research, Vol. 172: pp. 153-176
Kukush, Alexander; Malenko, Andrii und Schneeweiß, Hans
(2009):
Optimality of the quasi-score estimator in a mean-variance model with applications to measurement error models.
In: Journal of Statistical Planning and Inference, Vol. 139: pp. 3461-3472
Kukush, Alexander; Malenko, Andrii; Schneeweiß, Hans und Shalabh
(2010):
Optimality of quasi-score in the multivariate mean-variance model with an application to the zero-inflated Poisson model with measurement errors.
In: Statistics, Vol. 44, No. 4: pp. 381-396
M
Mittnik, Stefan
(2. August 2020):
Kostolanys Depot.
In: Frankfurter Allgemeine Sonntagszeitung, No. 31: p. 28
Mittnik, Stefan; Ergashev, Bakhodir und Sekeris, Evan
(2013):
A Bayesian approach to extreme value estimation in operational risk modeling.
In: Journal of Operational Risk, Vol. 8, No. 4: pp. 55-81
Mittnik, Stefan; Kato, Mika; Samaan, Daniel und Semmler, Willi
(2015):
Employment and output effects of climate policies.
In: Lucas, Bernhard und Semmler, Willi (eds.) :
The Oxford University Press Handbook on The Macroeconomics of Global Warming. Oxford: Oxford University Press. pp. 445-476
Mittnik, Stefan; Landes, Markus; Reiter, Joseph und Stucke, Rüdiger
(2012):
Realistische versus regulatorische Bewertung von Beteiligungsrisiken in Solvency II.
In: Absolut report, Vol. 4: pp. 44-53
Mittnik, Stefan; Paterlini, Sandra und Yener, Tina
(2013):
Operational risk dependencies and the determination of risk capital.
In: Journal of Operational Risk, Vol. 8, No. 4: pp. 83-104
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, Vol. 58: pp. 1-14
Mittnik, Stefan; Robinzonov, Nikolay und Wohlrabe, Klaus
(2013):
Was bewegt den DAX.
In: ifo Schnelldienst, Vol. 23: pp. 32-36
Mittnik, Stefan und Semmler, Willi
(2012):
Regime dependence of the fiscal multiplier.
In: Journal of Economic Behavior & Organization, Vol. 83: pp. 502-522
Mittnik, Stefan und Semmler, Willi
(2013):
The real consequences of financial stress.
In: Journal of Economic Dynamics and Control: pp. 14799-1499
Mittnik, Stefan und Semmler, Willi
(2014):
VaR-implied tail-correlation matrices.
In: Economic Letters, Vol. 122, No. 1: pp. 69-73
Mittnik, Stefan und Semmler, Willi
(2014):
Estimating a Banking-Macro Model Using a Multi-regime VAR.
In: Schleer-van Gellecom, Frauke (ed.) :
Advances in Non-linear Economic Modeling. Theory and Applications. Berlin: Springer-Verlag. pp. 3-40
Mittnik, Stefan und Starobinskaya, Irina
(2010):
Modeling dependencies in operational risk with hybrid Bayesian networks.
In: Methodology and Computing in Applied Probability, Vol. 12, No. 3: pp. 379-390
Mittnik, Stefan und Yener, Tina
(2009):
Estimating operational risk capital for correlated, rare events.
In: Journal of Operational Risk, Vol. 4, No. 4: pp. 29-51
R
Ronning, Gerd und Schneeweiß, Hans
(2011):
Panel regression with multiplicative measurement errors.
In: Economics Letters, Vol. 110: pp. 136-139
S
Schmid, Matthias und Schneeweiß, Hans
(2009):
The effect of microaggregation by individual ranking on the estimation of moments.
In: Journal of Econometrics, Vol. 153: pp. 174-182
Schneeweiß, Hans und Komlos, John
(2009):
Probabilistic rounding and Sheppard's correction.
In: Statistical Methodology, Vol. 6: pp. 577-593
Schneeweiß, Hans; Komlos, John und Ahmad, Amar S.
(2010):
Symmetric and asymmetric rounding: A review and some new results.
In: ASTA Advances in Statistical Analysis, Vol. 94, No. 3: pp. 247-271
Schneeweiß, Hans und Kukush, Alexander
(2009):
Comparing the efficiency of structural and functional methods in measurement error models.
In: Probability Theory and Mathematical Statistics, Vol. 80: pp. 117-127
Schneeweiß, Hans und Ronning, Gerd
(2010):
Multiple linear panel regression with multiplicative random noise.
In: Kneib, Thomas (ed.) :
Statistical Modelling and Regression Structures - Festschrift in Honour of Ludwig Fahrmeir. Heidelberg: Physica-Verlag. pp. 399-417
Spanhel, Fabian
(2010):
Der Einfluss der Körpergröße auf Lohnhöhe und Berufswahl: Aktueller Forschungsstand und neue Ergebnisse auf Basis des Mikrozensus.
In: Wirtschaft und Statistik: pp. 170-178