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Journal of econometrics
CFS Working Paper Series
655
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
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Stationarity of stable power-GARCH processes
Mittnik, Stefan
;
Paolella, Marc S.
;
Rachev, Svetlozar T.
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 97-108
Persistent link: https://www.econbiz.de/10006770265
Saved in:
2
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
Saved in:
3
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:
4
Latest developments on heavy-tailed distributions
Paolella, Marc S.
(
contributor
)
-
2013
Persistent link: https://www.econbiz.de/10009706160
Saved in:
5
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/10009706200
Saved in:
6
Editorial: Latest developments on heavy-tailed distributions
Paolella, Marc S.
;
Renault, Eric
;
Samorodnitsky, Gennady
; …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 183-185
Persistent link: https://www.econbiz.de/10009706211
Saved in:
7
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
8
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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