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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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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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Portfolio selection with common correlation mixture models
Haas, Markus; Mittnik, Stefan - In: Risk assessment : decisions in banking and finance, (pp. 47-76). 2008
Persistent link: https://www.econbiz.de/10003781608
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Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
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Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
Mittnik, Stefan - In: Economics letters 23 (1987) 3, pp. 279-284
Persistent link: https://www.econbiz.de/10001027025
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The determination of the state covariance matrix of moving-average processes without computation
Mittnik, Stefan - In: Economics letters 23 (1987) 2, pp. 177-179
Persistent link: https://www.econbiz.de/10001027051
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Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
Mittnik, Stefan - In: Journal of economic dynamics & control 15 (1991) 4, pp. 731-740
Persistent link: https://www.econbiz.de/10001111238
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Using flexible GARCH models with asymmetric distributions
Paolella, Marc S. - 1997
Persistent link: https://www.econbiz.de/10000984446
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Approximate distributions for the various serial correlograms
Butler, Ronald W. - 1996
Persistent link: https://www.econbiz.de/10001410578
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Modeling higher frequency macroeconomic data : an application to German monthly money demand
Paolella, Marc S. - In: Applied economics quarterly 50 (2004) 2, pp. 113-138
Persistent link: https://www.econbiz.de/10002401340