Similar Search Results - EconBiz

The micro dynamics of macro announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for...

Persistent link: https://www.econbiz.de/10010190208

Stock market volatility: Identifying major drivers and the nature of their impact

Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011543844

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

Alternative methods for multivariate time series analysis with applications to US money-output data

Mittnik, Stefan - 1987

Persistent link: https://www.econbiz.de/10000775562

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

Modeling the persistence of conditional volatility with GARCH-stable processes

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000984425

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000985609

Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models

Mittnik, Stefan - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 857-870

Persistent link: https://www.econbiz.de/10001147139

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger - 1996

Persistent link: https://www.econbiz.de/10001410584

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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