| 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 | |