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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Unconditional and conditional distributional models for the Nikkei index
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000985609
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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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A tail estimator for the index of the stable Paretian distribution
Mittnik, Stefan - 1996
Persistent link: https://www.econbiz.de/10001410592
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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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Detecting asymmetries in observed time serien and unobserved disturbances
Kurz-Kim, Jeong-Ryeol; Mittnik, Stefan; Račev, Svetlozar T. - 1996
Persistent link: https://www.econbiz.de/10000955840
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Statistical inference in time series with unit root in the presence of infinite-variance disturbances
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10001410603
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Stable paretian models in finance
Račev, Svetlozar T.; Mittnik, Stefan - 2000
Persistent link: https://www.econbiz.de/10001354951
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Modeling asset returns with alternative stable distributions
Mittnik, Stefan - In: Econometric reviews 12 (1993) 3, pp. 261-330
Persistent link: https://www.econbiz.de/10001156115