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Mittnik, Stefan
19
Haas, Markus
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Journal of econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
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Sociale verzekering : Documentatie-orgaan van de Federatie van Bedrijfsverenigingen de Sociale Verzekeringsbank en de Vereeniging van Raden van Arbeid
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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
Persistent link: https://www.econbiz.de/10007629952
Saved in:
2
Volatility components and long memory-effects revisited
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
11
(
2007
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009949897
Saved in:
3
Skew-normal mixture and Markov-switching GARCH processes
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10009949974
Saved in:
4
Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
Broda, Simon
;
Carstensen, Kai
;
Paolella, Marc
- In:
Econometric reviews
28
(
2009
)
5
,
pp. 468
Persistent link: https://www.econbiz.de/10008212741
Saved in:
5
Latest developments on heavy-tailed distributions
Paolella, Marc
;
Renault, Eric
;
Samorodnitsky, Gennady
; …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 183-185
Persistent link: https://www.econbiz.de/10010063346
Saved in:
6
Stable mixture GARCH models
Broda, Simon A.
;
Haas, Markus
;
Krause, Jochen
; …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 292-306
Persistent link: https://www.econbiz.de/10010063356
Saved in:
7
Value-at-risk and asset allocation with stable return distributions
Mittnik, Stefan
;
Rachev, Svetlozar
;
Schwartz, Eduardo
- In:
Allgemeines statistisches Archiv : AStA ; journal of …
86
(
2002
)
1
,
pp. 53-68
Persistent link: https://www.econbiz.de/10006561472
Saved in:
8
Testing cointegrating coefficients in vector autoregressive error correction models
Hansen, Gerd
;
Kim, Jeong-Ryeol
;
Mittnik, Stefan
- In:
Economics letters
58
(
1998
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10006789873
Saved in:
9
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
Braun, Phillip A.
;
Mittnik, Stefan
- In:
Journal of econometrics
59
(
1993
)
3
,
pp. 319-342
Persistent link: https://www.econbiz.de/10006805244
Saved in:
10
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
Mittnik, Stefan
;
Zadrozny, Peter
- In:
Econometrica : journal of the Econometric Society, an …
61
(
1993
)
4
,
pp. 857-870
Persistent link: https://www.econbiz.de/10006805378
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