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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

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

Stationary of stable power-GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107

Persistent link: https://www.econbiz.de/10001633694

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

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Asia-Pacific financial markets 5 (1998) 2, pp. 99-128

Persistent link: https://www.econbiz.de/10001372063

Stationarity of stable power-GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-108

Persistent link: https://www.econbiz.de/10006770265

Chi-Square-Type Distributions for Heavy-Tailed Variates

Mittnik, Stefan; Rachev, Svetlozar T.; Kim, Jeong-Ryeol - In: Econometric theory 14 (1998) 3, pp. 339-354

Persistent link: https://www.econbiz.de/10006993040

Diagnosing and treating the fat tails in financial returns data

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of empirical finance 7 (2000) 3, pp. 389

Persistent link: https://www.econbiz.de/10007241085

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392