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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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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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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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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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Statistical inference in time series with unit root in the presence of infinite-variance disturbances
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10001410603
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Chi-square-type distributions for heavy-tailed variates
Mittnik, Stefan; Kurz-Kim, Jeong-Ryeol; Račev, Svetlozar T. - 1996
Persistent link: https://www.econbiz.de/10000955839
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Detecting asymmetries in observed time serien and unobserved disturbances
Kurz-Kim, Jeong-Ryeol; Mittnik, Stefan; Račev, Svetlozar T. - 1996
Persistent link: https://www.econbiz.de/10000955840
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Testing for unit roots in the presence of infinite-variance disturbances
Mittnik, Stefan; Račev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol - 1999
Persistent link: https://www.econbiz.de/10001475941
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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