Prof. Stefan Mittnik

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