Stefan Mittnik
#20,482
Most Influential Person Now
German economist
Stefan Mittnik's AcademicInfluence.com Rankings
Stefan Mittnikeconomics Degrees
Economics
#1223
World Rank
#1418
Historical Rank
Financial Economics
#78
World Rank
#78
Historical Rank
Macroeconomics
#405
World Rank
#435
Historical Rank
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Economics
Stefan Mittnik's Degrees
- PhD Economics University of Bonn
Why Is Stefan Mittnik Influential?
(Suggest an Edit or Addition)According to Wikipedia, Stefan Mittnik is a German economist, currently holds the Chair of Financial Econometrics at the Ludwig Maximilian University of Munich. He is a fellow of the Center for Financial Studies and known for his work on financial market and financial risk modeling as well as macroeconometrics. He is also a co-founder of the German-British robo-advisor Scalable Capital.
Stefan Mittnik's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Stable Paretian Models in Finance (2000) (788)
- Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005) (649)
- A New Approach to Markov-Switching GARCH Models (2004) (486)
- The Volatility of Realized Volatility (2005) (395)
- Modeling asset returns with alternative stable distributions (1993) (321)
- Mixed Normal Conditional Heteroskedasticity (2004) (217)
- Conditional density and value‐at‐risk prediction of Asian currency exchange rates (2000) (193)
- Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data (2004) (138)
- Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (1993) (134)
- Regime dependence of the fiscal multiplier (2012) (121)
- The Real Consequences of Financial Stress (2013) (115)
- Maximum likelihood estimation of stable Paretian models (1999) (112)
- Computing the probability density function of the stable Paretian distribution (1999) (108)
- Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries (2001) (102)
- Accurate value-at-risk forecasting based on the normal-GARCH model (2006) (99)
- Diagnosing and treating the fat tails in financial returns data (2000) (95)
- Differential evolution and combinatorial search for constrained index-tracking (2009) (94)
- Stationarity of stable power-GARCH processes (2002) (88)
- Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (2003) (80)
- Stable GARCH models for financial time series (1995) (80)
- Stock market volatility: Identifying major drivers and the nature of their impact (2015) (77)
- Macroeconomic Forecasting Using Pooled International Data (1990) (76)
- Alternative multivariate stable distributions and their applications to financial modeling (1991) (69)
- Unconditional and Conditional Distributional Models for the Nikkei Index (1998) (67)
- Stable Paretian modeling in finance: some empirical and theoretical aspects (1998) (67)
- Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models (1993) (64)
- Forecasting stock market volatility and the informational efficiency of the DAX-index options market (2002) (59)
- Put-call parity and the informational efficiency of the German DAX-index options market (2000) (58)
- Asymmetric multivariate normal mixture GARCH (2009) (47)
- Stable distributions for asset returns (1989) (40)
- A tail estimator for the index of the stable paretian distribution (1998) (38)
- Time‐Series Evidence on the Nonlinearity Hypothesis for Public Spending (2003) (36)
- Tail estimation of the stable index α (1996) (36)
- Portfolio optimization when risk factors are conditionally varying and heavy tailed (2007) (32)
- Forecasting with balanced state space representations of multivariate distributed lag models (1990) (31)
- Asymmetries in Business Cycles: Econometric Techniques and Empirical Evidence (1994) (28)
- Solvency II Calibrations: Where Curiosity Meets Spuriosity (2016) (28)
- Quanto option pricing in the presence of fat tails and asymmetric dependence (2015) (27)
- Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks (2010) (22)
- Multivariate time series analysis with state space models (1989) (21)
- Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances (1997) (21)
- Assessing Central Bank Credibility During the Erm Crises: Comparing Option and Spot Market-Based Forecasts (2005) (21)
- Modelling and predicting market risk with Laplace–Gaussian mixture distributions (2006) (21)
- TIME SERIES WITH UNIT ROOTS AND INFINITE-VARIANCE DISTURBANCES (1998) (20)
- VaR-implied Tail-correlation Matrices (2013) (20)
- Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes (1987) (19)
- Multi‐faceted effects of positive incidents on stress system functioning in a patient with systemic lupus erythematosus (2006) (18)
- Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances (1996) (18)
- Operational-Risk Dependencies and the Determination of Risk Capital (2011) (18)
- Multivariate Normal Mixture GARCH (2006) (17)
- Computation of Theoretical Autocovariance Matrices of Multivariate Autoregressive Moving Average Time Series (1990) (17)
- CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES (1998) (17)
- Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR (2012) (16)
- Integral and asymptotic representations of geo-stable densities (1996) (16)
- Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data (2002) (16)
- Testing cointegrating coefficients in vector autoregressive error correction models (1998) (16)
- A simple estimator for the characteristic exponent of the stable Paretian distribution (1999) (15)
- Multivariate regimeswitching GARCH with an application to international stock markets (2008) (14)
- Climate Disaster Risks - Empirics and a Multi-Phase Dynamic Model (2019) (14)
- Macroeconomic forecasting experience with balanced state space models (1990) (13)
- Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples (1994) (13)
- Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market (2000) (13)
- Artificial intelligence in air combat games (1987) (13)
- Overleveraging, Financial Fragility and the Banking-Macro Link: Theory and Empirical Evidence (2014) (12)
- Contributions to modern econometrics : from data analysis to economic policy (2002) (11)
- The distribution of test statistics for outlier detection in heavy-tailed samples (2001) (11)
- Modeling the Distribution of Highly Volatile Exchange-rate Time Series (1996) (11)
- Accurate Value-at-Risk Forecasting Based on the (good old) Normal-GARCH Model (2006) (10)
- A Bayesian approach to extreme value estimation in operational risk modeling (2013) (9)
- Estimating operational risk capital for correlated, rare events (2009) (9)
- Option pricing for stable and infinitely divisible asset returns (1999) (9)
- Modeling nonlinear processes with generalized autoregressions (1990) (9)
- Computing Theoretical Autocovariances of Multivariate Autoregressive Moving Average Models by Using a Block Levinson Method (1993) (9)
- The Instability of the Banking Sector and Macrodynamics: Theory and Empirics (2011) (8)
- Statistical inference in regression with heavy-tailed integrated variables (2001) (8)
- Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes (1988) (7)
- Parametric and Seminonparametric Analysis of Nonlinear Time Series (1992) (6)
- State space modeling of multiple time series: a comment (1991) (6)
- Test of association between multivariate stable vectors (1999) (6)
- Estimating a Banking-Macro Model Using a Multi-regime VAR (2014) (6)
- A new representation for the characteristic function of strictly geo-stable vectors (2000) (6)
- Employment and Output Effects of Climate Policies (2015) (6)
- Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis (2016) (6)
- The Micro Dynamics of Macro Announcements (2013) (6)
- Modeling and Predicting Market Risk with Laplace-Gaussian Mixture Distributions (2005) (5)
- Nonlinear time series modeling and forecasting the seismic data of the Hindu Kush region (2017) (5)
- Determination of Linear Feedback Between Multiple Time Series (1989) (5)
- PRICING DERIVATIVES IN HERMITE MARKETS (2016) (5)
- Portfolio Selection with Common Correlation Mixture Models (2009) (4)
- OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE (2017) (4)
- Modeling Liquidity Impact on Volatility: A GARCH-FunXL Approach (2015) (4)
- Forecasting international growth rates with leading indicators: A system-theoretic approach (1992) (4)
- Testing for structural breaks in time series regressions with heavy-tailed disturbances (2000) (3)
- The determination of the state covariance matrix of moving-average processes without computation (1987) (3)
- System-theoretic methods in economic modelling (1989) (3)
- Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach (2017) (3)
- Financial market meltdown and a need for new financial regulations (2009) (3)
- Memorandum on a new financial architecture and new regulations (2009) (3)
- Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (1991) (3)
- Vector Autoregressive Models II (2012) (2)
- Boosting the Anatomy of Volatility (2012) (2)
- Chapter 9 – Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (2003) (2)
- CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
- Heavy-Tailed and Stable Distributions in Financial Econometrics (2012) (2)
- Accurate Value-at-Risk forecast with the (good old) normal-GARCH model (2006) (2)
- Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020) (2)
- Model reduction with alternatives to the standard hankel matrix (1988) (1)
- Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes (2021) (1)
- Autoregressive Conditional Heteroskedastic Models (2012) (1)
- Value-at-Risk and Expected Shortfall for Rare Events (2008) (1)
- MULTIVARIATE TIME SERIES ANALYSIS WITH STATE SPACE MODELS††Presented at the 1988 Annual Meeting of the Society for Economic Dynamics and Control, Tempe, Arizona. I would like to thank Frank Diebold for his helpful comments. (1989) (1)
- Portfolio Selection in the Presence of Heavy-Tailed Asset Returns (2002) (1)
- ESG-Valued Portfolio Optimization and Dynamic Asset Pricing (2022) (1)
- The Real Consequences of Financial Stress: What Really Matters (2013) (1)
- Modeling the Dynamics of the Transition to a Green Economy (2014) (1)
- Pitfalls in Risk Assessment Arising from Spurious Seasonality (2021) (0)
- Selected Topics in Regression Analysis (2012) (0)
- Regression Applications in Finance (2012) (0)
- Contributions to Modern Econometrics (2002) (0)
- Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors (2022) (0)
- On the Methodology of Business Cycle Analysis (2007) (0)
- Dynamic properties in nonlinear multivariate time series models (1999) (0)
- Monthly Returns for 20 Stocks: December 2000 - November 2005 (2012) (0)
- Quanto Pricing beyond Black–Scholes (2021) (0)
- On Efficient Exact Maximum Likelihood Estimation of High-Order ARMA Models (1992) (0)
- CFS Working Paper Series (2013) (0)
- ARMA and ARCH Models with Infinite-Variance Innovations (2012) (0)
- Efficient generation of covariance sequences of multiple ARMA processes (1988) (0)
- Modeling Univariate Time Series (2012) (0)
- Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls (1986) (0)
- Iterative versus noniterative derivation of moving average parameters of ARMA processes (1988) (0)
- Risk-managed Collective Pension Schemes with Intergenerational Benefit Smoothing (2021) (0)
- Macroeconomic dynamics and econometric modelling (1987) (0)
- Discussion Paper 2013-011 The Real Consequences of Financial Stress (2013) (0)
- “Paolo Baffi” Centre on Central Banking and Financial Regulation (2009) (0)
- Approaches to ARIMA Modeling and Forecasting (2012) (0)
- WP / 19 / 145 Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model by (2019) (0)
- Financial Econometrics: Scope and Methods (2012) (0)
- Operational Risk Modeling: An Evaluation of Competing Strategies (2010) (0)
- Risk Assessment and Spurious Seasonality (2018) (0)
- Hedonic Models of Real Estate Prices: GAM and Environmental Factors (2022) (0)
- Modeling Operational Risk: Estimation and Effects of Dependencies (2010) (0)
- Review of Probability and Statistics (2012) (0)
- No . 2008 / 07 Asymmetric Multivariate Normal Mixture GARCH (2008) (0)
- Cointegration and State Space Models (2012) (0)
- 12 ASYMMETRIES IN BUSINESS CYCLES : ECONOMETRIC TECHNIQUES AND EMPIRICAL EVIDENCE (0)
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What Schools Are Affiliated With Stefan Mittnik?
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