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Modeling the persistence of conditional volatility with GARCH-stable processes

Mittnik, Stefan - 1997

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

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

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

Claessen, Holger - 1996

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

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

Claessen, Holger; Mittnik, Stefan - 2002

Persistent link: https://www.econbiz.de/10001718828

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

Claessen, Holger; Mittnik, Stefan - In: The European journal of finance 8 (2002) 3, pp. 302-321

Persistent link: https://www.econbiz.de/10001704471

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Persistent link: https://www.econbiz.de/10001707592

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

Persistent link: https://www.econbiz.de/10001788591

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

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 211-250

Persistent link: https://www.econbiz.de/10002214262

Modeling Liquidity Impact on Volatility : A GARCH-FunXL Approach

Fuest, Andreas - 2017

We introduce a new semiparametric model, GARCH with Functional EXogeneous Liquidity (GARCH-FunXL), to capture the impact of liquidity, as implied by a stock exchange's complete electronic limit order book (LOB), on asset price volatility. LOB-implied liquidity can be viewed as a functional...

Persistent link: https://www.econbiz.de/10012947578