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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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Stationary of stable power-GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107
Persistent link: https://www.econbiz.de/10001633694
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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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Diagnosing and treating the fat tails in financial returns data
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - In: Journal of empirical finance 7 (2000) 3/4, pp. 389-416
Persistent link: https://www.econbiz.de/10001558281
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Persistent link: https://www.econbiz.de/10001707592
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Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan; Paolella, Marc S. - In: Journal of forecasting 19 (2000) 4, pp. 313-333
Persistent link: https://www.econbiz.de/10001504659
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
Persistent link: https://www.econbiz.de/10001788591
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 211-250
Persistent link: https://www.econbiz.de/10002214262
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A new approach to Markov-switching GARCH models
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 4, pp. 493-530
Persistent link: https://www.econbiz.de/10002349828