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Modelling and predicting market risk with Laplace-Gaussian mixture distributions
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Applied financial economics 16 (2006) 15, pp. 1145-1162
Persistent link: https://www.econbiz.de/10003385575
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Stationarity of stable GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1999
Persistent link: https://www.econbiz.de/10001557008
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Unconditional and conditional distributional models for the Nikkei index
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000985609
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The prediction of down-side market risk with GARCH-stable models
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998
Persistent link: https://www.econbiz.de/10001410540
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A tail estimator for the index of the stable Paretian distribution
Mittnik, Stefan - 1996
Persistent link: https://www.econbiz.de/10001410592
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Computing the density and distribution of ratios of quadratic forms in normal variables
Butler, Ronald W.; Paolella, Marc S. - 1999
Persistent link: https://www.econbiz.de/10001556995
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Computing moments of ratios of quadratic forms in normal variables
Paolella, Marc S. - 1999
Persistent link: https://www.econbiz.de/10001556998
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Testing the stable Paretian assumption
Paolella, Marc S. - 1999
Persistent link: https://www.econbiz.de/10001557006
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Using flexible GARCH models with asymmetric distributions
Paolella, Marc S. - 1997
Persistent link: https://www.econbiz.de/10000984446