Mathematics, Computer Science and Statistics > Statistics > Chairs/Working Groups > Chair of Financial Econometrics

2020

Mittnik, Stefan (2. August 2020): Kostolanys Depot. In: Frankfurter Allgemeine Sonntagszeitung, No. 31: p. 28

2016

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

2015

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, No. 2: pp. 512-520

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

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: pp. 1-14

2014

Mittnik, Stefan; Semmler, Willi (2014): VaR-implied tail-correlation matrices. In: Economic Letters, Vol. 122, No. 1: pp. 69-73

Mittnik, Stefan; 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

2013

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, No. 4: pp. 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, No. 4: pp. 83-104

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

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

2012

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

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

2011

Ronning, Gerd; Schneeweiß, Hans (2011): Panel regression with multiplicative measurement errors. In: Economics Letters, Vol. 110: pp. 136-139

Schneeweiß, Hans (2011): Statistik von gestern bis heute. In: DAGStat Bulletin, Vol. 7: pp. 5-6

2010

Buch, Claudia M.; Yener, Serkan (2010): Consumption volatility and financial openness. In: Applied Economics, Vol. 42, No. 28: pp. 3635-3649

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 (2010): Skew-normal mixture and markov-switching GARCH processes. In: Studies in Nonlinear Dynamics & Econometrics, Vol. 14, No. 4: pp. 1-54

Kukush, Alexander; Malenko, Andrii; Schneeweiß, Hans; 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

Mittnik, Stefan; 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

Schneeweiß, Hans; Komlos, John; 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; 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

2009

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 (2009): Value-at-risk via mixture distributions reconsidered. In: Applied Mathematics and Computation, Vol. 216: pp. 2103-2119

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

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

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

Haas, Markus; 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

Krink, Thiemo; Mittnik, Stefan; 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; 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

Mittnik, Stefan; Yener, Tina (2009): Estimating operational risk capital for correlated, rare events. In: Journal of Operational Risk, Vol. 4, No. 4: pp. 29-51

Schmid, Matthias; 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; Komlos, John (2009): Probabilistic rounding and Sheppard's correction. In: Statistical Methodology, Vol. 6: pp. 577-593

Schneeweiß, Hans; 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