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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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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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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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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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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Persistent link: https://www.econbiz.de/10001707592
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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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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