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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
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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
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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
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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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Lower-boundary Violations and Market Efficiency: Evidence from the German DAX-index Options Market
Mittnik, Stefan; Rieken, Sascha - In: The journal of futures markets 20 (2000) 5, pp. 405-424
Persistent link: https://www.econbiz.de/10006838403
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Algemene nabestaandenwet - Arbeidsongeschikt in de zin van de Anw; onvoldoende aanleiding om te twijfelen aan de conclusies van de verzekeringsarts en de arbeidsdeskundige met betr...
Krink, Thiemo; Mittnik, Stefan; Paterlini, Sandra - In: Sociale verzekering : Documentatie-orgaan van de … 54 (2009) 16, pp. 18-18
Persistent link: https://www.econbiz.de/10008343148
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Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - In: Computational economics 29 (2007) 3, pp. 333-354
Persistent link: https://www.econbiz.de/10007721062
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Detecting asymmetries in observed linear time series and unobserved disturbances
Kim, Jeong-Ryeol; Mittnik, Stefan; Rachev, Svetlozar T. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 3, pp. 131-143
Persistent link: https://www.econbiz.de/10009949704
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Stock market, interest rate and output : a model and estimation for US time series data
Chiarella, Carl; Mittnik, Stefan; Semmler, Willi; Zhu, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 1
Persistent link: https://www.econbiz.de/10009949769
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The real consequences of financial stress
Mittnik, Stefan; Semmler, Willi - In: Journal of economic dynamics & control 37 (2013) 8, pp. 1479-1499
Persistent link: https://www.econbiz.de/10010138075