Prof. Stefan Mittnik

Professor of Financial Econometrics
LMU Munich, Germany
finmetrics(at)stat.uni-muenchen.de

Web Link | SSRN Author Page

CFS Working Papers

No. Researcher Title Category Year Keywords
187 Fulvio Corsi, Uta Kretschmer, Stefan Mittnik, Christian Pigorsch The Volatility of Realized Volatility Risk Management 2005
270 Stefan Mittnik, Tina Yener Value-at-Risk and Expected Shortfall for Rare Events Risk Management 2008
263 Markus Haas, Stefan Mittnik, Mark S. Paolella Asymmetric Multivariate Normal Mixture GARCH Risk Management 2008
264 Markus Haas, Stefan Mittnik Multivariate Regime–Switching GARCH with an Application to International Stock Markets Risk Management 2008
211 Toker Doganoglu, Christoph Hartz, Stefan Mittnik Portfolio Optimization when Risk Factors are Conditionally Varying and Heavy Tailed Risk Management 2006
210 Christoph Hartz, Stefan Mittnik, Marc S. Paolella Accurate Value-at-Risk Forecast with the (good) old Normal-GARCH Model Risk Management 2006
74 Stefan Mittnik, Markus Haas, Marc S. Paolella Mixed Normal Conditional Heteroskedasticity Trading and Pricing in Financial Markets 2002
68 Holger Claessen, Stefan Mittnik Forecasting Stock Market Volatility and the Informational Efficiency of the DAX-index Options Market Trading and Pricing in Financial Markets 2002
85 Stefan Mittnik, Marc S. Paolella Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions Risk Management 2003
165 Markus Haas, Stefan Mittnik, Marc S. Paolella Modeling and Predicting Market Risk With Laplace-Gaussian Mixture Distributions Risk Management 2005
163 Markus Haas, Stefan Mittnik, Bruce Mizrach Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts Risk Management 2005
196 Markus Haas, Stefan Mittnik, Marc S. Paolella Multivariate Normal Mixture GARCH Risk Management 2006
426 Stefan Mittnik VaR-implied Tail-correlation Matrices Trading and Pricing in Financial Markets 2013