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Mittnik, Stefan

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Author ID: mittnik.stefan Recent zbMATH articles by "Mittnik, Stefan"
Published as: Mittnik, S.; Mittnik, Stefan
Documents Indexed: 63 Publications since 1987, including 7 Books

Publications by Year

Citations contained in zbMATH

53 Publications have been cited 594 times in 437 Documents Cited by Year
Stable Paretian models in finance. Zbl 0972.91060
Rachev, Svetlozar; Mittnik, Stefan
153
2000
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
Mittnik, Stefan; Rachev, Svetlozar T.
81
1993
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
25
2008
Maximum likelihood estimation of stable Paretian models. Zbl 1098.62520
Mittnik, S.; Rachev, S. T.; Doganoglu, T.; Chenyao, D.
25
1999
Alternative multivariate stable distributions and their applications to financial modeling. Zbl 0725.90006
Mittnik, Stefan; Rachev, Svetlozar T.
22
1991
Computing the probability density function of the stable Paretian distribution. Zbl 1003.60020
Mittnik, S.; Doganoglu, T.; Chenyao, D.
16
1999
Stable distributions for asset returns. Zbl 0709.62708
Mittnik, Stefan; Rachev, Svetlozar T.
16
1989
Stable GARCH models for financial time series. Zbl 0836.90037
Panorska, A. K.; Mittnik, S.; Rachev, S. T.
15
1995
Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023
Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S.
14
1998
Differential evolution and combinatorial search for constrained index-tracking. Zbl 1183.91167
Krink, Thiemo; Mittnik, Stefan; Paterlini, Sandra
13
2009
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
13
1998
Asymmetric multivariate normal mixture GARCH. Zbl 1453.62101
Haas, Markus; Mittnik, Stefan; Paolella, Marc S.
12
2009
Stationarity of stable power-GARCH processes. Zbl 1043.62074
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
12
2002
Tail estimation of the stable index \(\alpha\). Zbl 0855.62015
Mittnik, S.; Rachev, S. T.
12
1996
Option pricing for stable and infinitely divisible asset returns. Zbl 0990.91023
Mittnik, S.; Rachev, S. T.
10
1999
Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models. Zbl 0780.62016
Mittnik, Stefan; Zadrozny, Peter A.
9
1993
Multivariate time series analysis with state space models. Zbl 0666.62086
Mittnik, S.
9
1989
Financial econometrics. From basics to advanced modeling techniques. Zbl 1154.62079
Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank J.; Focardi, Sergio M.; Jašić, Teo
8
2007
Accurate value-at-risk forecasting based on the normal-GARCH model. Zbl 1157.62504
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc
8
2006
Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples. Zbl 0799.62100
Zadrozny, P. A.; Mittnik, S.
8
1994
Computation of theoretical autocovariance matrices of multivariate autoregressive moving average time series. Zbl 0699.62085
Mittnik, Stefan
8
1990
Integral and asymptotic representations of geo-stable densities. Zbl 0867.60005
Klebanov, L. B.; Melamed, J. A.; Mittnik, S.; Rachev, S. T.
7
1996
Statistical inference in regression with heavy-tailed integrated variables. Zbl 1003.62070
Mittnik, S.; Paulauskas, V.; Rachev, S. T.
6
2001
Artificial intelligence in air combat games. Zbl 0609.90108
Rodin, E. Y.; Lirov, Y.; Mittnik, S.; McElhaney, B. G.; Wilbur, L.
6
1987
Value-at-risk prediction: a comparison of alternative strategies. Zbl 1418.91609
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S.
5
2007
Portfolio optimization when risk factors are conditionally varying and heavy tailed. Zbl 1161.91389
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan
5
2007
Stable Paretian models in econometrics. I. Zbl 0956.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1999
Time series with unit roots and infinite-variance disturbances. Zbl 0939.62093
Rachev, S. T.; Mittnik, S.; Kim, J.-R.
5
1998
An approximation procedure for asymmetric stable Paretian densities. Zbl 0924.65154
Doganoglu, Toker; Mittnik, Stefan
5
1998
A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
5
1998
Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances. Zbl 0888.90034
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1997
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions. Zbl 0787.62093
Braun, Phillip A.; Mittnik, Stefan
5
1993
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes. Zbl 1328.62531
Mittnik, Stefan
5
1987
The real consequences of financial stress. Zbl 1327.91051
Mittnik, Stefan; Semmler, Willi
4
2013
A simple estimator for the characteristic exponent of the stable Paretian distribution. Zbl 0990.62021
Mittnik, S.; Paolella, M. S.
4
1999
Quanto option pricing in the presence of fat tails and asymmetric dependence. Zbl 1337.91104
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho
3
2015
Estimating a banking-macro model using a multi-regime VAR. Zbl 1315.91049
Mittnik, Stefan; Semmler, Willi
3
2014
Value-at-risk and asset allocation with stable return distributions. Zbl 1177.62123
Mittnik, Stefan; Rachev, Svetlozar; Schwartz, Eduardo
3
2002
Test of association between multivariate stable vectors. Zbl 1098.62534
Mittnik, S.; Rachev, S. T.; Rüschendorf, L.
3
1999
Computing theoretical autocovariances of multivariate autoregressive moving average models by using a block Levinson method. Zbl 0797.62074
Mittnik, Stefan
3
1993
A new representation for the characteristic function of strictly geo-stable vectors. Zbl 0979.60008
Klebanov, Lev B.; Mittnik, Stefan; Rachev, Svetlozar T.; Volkovich, Vladimir E.
2
2000
Stable Paretian models in econometrics. II. Zbl 0962.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
2
1999
Testing cointegrating coefficients in vector autoregressive error correction models. Zbl 0899.90054
Hansen, Gerd; Kim, Jeong-Ryeol; Mittnik, Stefan
2
1998
System-theoretic methods in economic modelling. II. Zbl 0679.00023
Mittnik, S. (ed.)
2
1989
The determination of the state covariance matrix of moving-average processes without computation. Zbl 1328.62530
Mittnik, Stefan
2
1987
VaR-implied tail-correlation matrices. Zbl 1290.91191
Mittnik, Stefan
1
2014
Portfolio selection with common correlation mixture models. Zbl 1154.91600
Haas, Markus; Mittnik, Stefan
1
2009
Stock market, interest rate and output: a model and estimation for US time series data. Zbl 1080.91562
Chiarella, Carl; Semmler, Willi; Mittnik, Stefan; Zhu, Peiyuan
1
2002
Special issue: Stable non-Gaussian models in finance and econometrics. Zbl 0991.00020
Mittnik, Stefan (ed.); Rachev, Svetlozar (ed.)
1
2001
Detecting asymmetries in observed linear time series and unobserved disturbances. Zbl 1078.91567
Kim, Jeong-Ryeol; Mittnik, Stefan; Rachev, Svetlozar T.
1
1996
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models. Zbl 0727.62085
Mittnik, Stefan
1
1991
Modeling nonlinear processes with generalized autoregressions. Zbl 0709.62082
Mittnik, Stefan
1
1990
Iterative versus noniterative derivation of moving average parameters of ARMA processes. Zbl 0629.62093
Mittnik, Stefan
1
1988
Quanto option pricing in the presence of fat tails and asymmetric dependence. Zbl 1337.91104
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho
3
2015
Estimating a banking-macro model using a multi-regime VAR. Zbl 1315.91049
Mittnik, Stefan; Semmler, Willi
3
2014
VaR-implied tail-correlation matrices. Zbl 1290.91191
Mittnik, Stefan
1
2014
The real consequences of financial stress. Zbl 1327.91051
Mittnik, Stefan; Semmler, Willi
4
2013
Differential evolution and combinatorial search for constrained index-tracking. Zbl 1183.91167
Krink, Thiemo; Mittnik, Stefan; Paterlini, Sandra
13
2009
Asymmetric multivariate normal mixture GARCH. Zbl 1453.62101
Haas, Markus; Mittnik, Stefan; Paolella, Marc S.
12
2009
Portfolio selection with common correlation mixture models. Zbl 1154.91600
Haas, Markus; Mittnik, Stefan
1
2009
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
25
2008
Financial econometrics. From basics to advanced modeling techniques. Zbl 1154.62079
Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank J.; Focardi, Sergio M.; Jašić, Teo
8
2007
Value-at-risk prediction: a comparison of alternative strategies. Zbl 1418.91609
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S.
5
2007
Portfolio optimization when risk factors are conditionally varying and heavy tailed. Zbl 1161.91389
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan
5
2007
Accurate value-at-risk forecasting based on the normal-GARCH model. Zbl 1157.62504
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc
8
2006
Stationarity of stable power-GARCH processes. Zbl 1043.62074
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
12
2002
Value-at-risk and asset allocation with stable return distributions. Zbl 1177.62123
Mittnik, Stefan; Rachev, Svetlozar; Schwartz, Eduardo
3
2002
Stock market, interest rate and output: a model and estimation for US time series data. Zbl 1080.91562
Chiarella, Carl; Semmler, Willi; Mittnik, Stefan; Zhu, Peiyuan
1
2002
Statistical inference in regression with heavy-tailed integrated variables. Zbl 1003.62070
Mittnik, S.; Paulauskas, V.; Rachev, S. T.
6
2001
Special issue: Stable non-Gaussian models in finance and econometrics. Zbl 0991.00020
Mittnik, Stefan (ed.); Rachev, Svetlozar (ed.)
1
2001
Stable Paretian models in finance. Zbl 0972.91060
Rachev, Svetlozar; Mittnik, Stefan
153
2000
A new representation for the characteristic function of strictly geo-stable vectors. Zbl 0979.60008
Klebanov, Lev B.; Mittnik, Stefan; Rachev, Svetlozar T.; Volkovich, Vladimir E.
2
2000
Maximum likelihood estimation of stable Paretian models. Zbl 1098.62520
Mittnik, S.; Rachev, S. T.; Doganoglu, T.; Chenyao, D.
25
1999
Computing the probability density function of the stable Paretian distribution. Zbl 1003.60020
Mittnik, S.; Doganoglu, T.; Chenyao, D.
16
1999
Option pricing for stable and infinitely divisible asset returns. Zbl 0990.91023
Mittnik, S.; Rachev, S. T.
10
1999
Stable Paretian models in econometrics. I. Zbl 0956.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1999
A simple estimator for the characteristic exponent of the stable Paretian distribution. Zbl 0990.62021
Mittnik, S.; Paolella, M. S.
4
1999
Test of association between multivariate stable vectors. Zbl 1098.62534
Mittnik, S.; Rachev, S. T.; Rüschendorf, L.
3
1999
Stable Paretian models in econometrics. II. Zbl 0962.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
2
1999
Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023
Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S.
14
1998
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
13
1998
Time series with unit roots and infinite-variance disturbances. Zbl 0939.62093
Rachev, S. T.; Mittnik, S.; Kim, J.-R.
5
1998
An approximation procedure for asymmetric stable Paretian densities. Zbl 0924.65154
Doganoglu, Toker; Mittnik, Stefan
5
1998
A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
5
1998
Testing cointegrating coefficients in vector autoregressive error correction models. Zbl 0899.90054
Hansen, Gerd; Kim, Jeong-Ryeol; Mittnik, Stefan
2
1998
Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances. Zbl 0888.90034
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1997
Tail estimation of the stable index \(\alpha\). Zbl 0855.62015
Mittnik, S.; Rachev, S. T.
12
1996
Integral and asymptotic representations of geo-stable densities. Zbl 0867.60005
Klebanov, L. B.; Melamed, J. A.; Mittnik, S.; Rachev, S. T.
7
1996
Detecting asymmetries in observed linear time series and unobserved disturbances. Zbl 1078.91567
Kim, Jeong-Ryeol; Mittnik, Stefan; Rachev, Svetlozar T.
1
1996
Stable GARCH models for financial time series. Zbl 0836.90037
Panorska, A. K.; Mittnik, S.; Rachev, S. T.
15
1995
Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples. Zbl 0799.62100
Zadrozny, P. A.; Mittnik, S.
8
1994
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
Mittnik, Stefan; Rachev, Svetlozar T.
81
1993
Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models. Zbl 0780.62016
Mittnik, Stefan; Zadrozny, Peter A.
9
1993
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions. Zbl 0787.62093
Braun, Phillip A.; Mittnik, Stefan
5
1993
Computing theoretical autocovariances of multivariate autoregressive moving average models by using a block Levinson method. Zbl 0797.62074
Mittnik, Stefan
3
1993
Alternative multivariate stable distributions and their applications to financial modeling. Zbl 0725.90006
Mittnik, Stefan; Rachev, Svetlozar T.
22
1991
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models. Zbl 0727.62085
Mittnik, Stefan
1
1991
Computation of theoretical autocovariance matrices of multivariate autoregressive moving average time series. Zbl 0699.62085
Mittnik, Stefan
8
1990
Modeling nonlinear processes with generalized autoregressions. Zbl 0709.62082
Mittnik, Stefan
1
1990
Stable distributions for asset returns. Zbl 0709.62708
Mittnik, Stefan; Rachev, Svetlozar T.
16
1989
Multivariate time series analysis with state space models. Zbl 0666.62086
Mittnik, S.
9
1989
System-theoretic methods in economic modelling. II. Zbl 0679.00023
Mittnik, S. (ed.)
2
1989
Iterative versus noniterative derivation of moving average parameters of ARMA processes. Zbl 0629.62093
Mittnik, Stefan
1
1988
Artificial intelligence in air combat games. Zbl 0609.90108
Rodin, E. Y.; Lirov, Y.; Mittnik, S.; McElhaney, B. G.; Wilbur, L.
6
1987
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes. Zbl 1328.62531
Mittnik, Stefan
5
1987
The determination of the state covariance matrix of moving-average processes without computation. Zbl 1328.62530
Mittnik, Stefan
2
1987
all top 5

Cited by 655 Authors

45 Rachev, Svetlozar T.
29 Mittnik, Stefan
15 Fabozzi, Frank J.
14 Kozubowski, Tomasz J.
10 Panorska, Anna K.
9 Meintanis, Simos G.
8 Ortobelli, Sergio
8 Paolella, Marc S.
8 Tian, Zheng
6 Meerschaert, Mark M.
6 Mélard, Guy
6 Schmid, Wolfgang
6 Stoyanov, Stoyan V.
6 Tsionas, Efthymios G.
5 Kim, Young Shin S.
5 Klein, André
5 Paterlini, Sandra
5 Qin, Ruibing
5 Semmler, Willi
5 Tichý, Tomáš
4 Chan, Ngai Hang
4 Chen, Zhanshou
4 Havenner, Arthur M.
4 Heyde, Christopher Charles
4 Ibragimov, Rustam
4 Jin, Hao
4 Kim, Youngshin
4 Linton, Oliver Bruce
4 Liu, Shuangzhe
4 McAleer, Michael
4 Okhrin, Yarema
4 Ortobelli Lozza, Sergio
4 Paulauskas, Vygantas Ionovič
4 Peiris, M. Shelton
4 Rodin, Ervin Y.
4 Samorodnitsky, Gennady Pinkhosovich
4 Shin, Dongwan
3 Bianchi, Michele Leonardo
3 Bodnar, Taras
3 Calzolari, Giorgio
3 Fan, Zhaozhi
3 Giacometti, Rosella
3 Ignatieva, Katja
3 Kilian, Lutz
3 Klebanov, Lev B.
3 Kokoszka, Piotr S.
3 Lombardi, Marco J.
3 Marinelli, Carlo
3 Nolan, John P.
3 Peng, Liang
3 Peters, Gareth William
3 Ruiz, Esther
3 Rüschendorf, Ludger
3 Scheffler, Hans-Peter
3 Veredas, David
3 Wang, Jun
3 Weron, Aleksander
3 Weron, Rafał
3 Zhang, Rongmao
2 Angelelli, Enrico
2 Baek, Changryong
2 Bellini, Fabio
2 Biglova, Almira
2 Bottolo, Leonardo
2 Broda, Simon A.
2 Cavicchioli, Maddalena
2 Corsi, Fulvio
2 Curto, José Dias
2 D’Addona, Stefano
2 Doganoglu, Toker
2 Domma, Filippo
2 Dorfman, Jeffrey H.
2 Fasen, Vicky
2 Francq, Christian
2 Galbraith, John W.
2 Gerlach, Richard H.
2 Ghosh, B. K.
2 Giuzio, Margherita
2 Golosnoy, Vasyl
2 Halbleib, Roxana
2 Han, Sier
2 Hartz, Christoph
2 Horváth, Lajos
2 Hotta, Luiz Koodi
2 Jiménez-Gamero, María Dolores
2 Jin, Zi
2 Korolev, Viktor Yur’evich
2 Kouaissah, Noureddine
2 Krink, Thiemo
2 Lando, Tommaso
2 Lee, Sangyeol
2 Lee, Taewook
2 Lirov, Yuval
2 Matsui, Muneya
2 McCulloch, J. Huston
2 Medeiros, Marcelo C.
2 Menn, Christian
2 Pan, Jiazhu
2 Perera, Indeewara
2 Perri, Pier Francesco
...and 555 more Authors
all top 5

Cited in 106 Serials

35 Journal of Econometrics
33 Mathematical and Computer Modelling
32 Computational Statistics and Data Analysis
15 Statistics & Probability Letters
15 Quantitative Finance
14 Annals of Operations Research
13 Econometric Theory
12 Journal of Economic Dynamics & Control
12 Communications in Statistics. Theory and Methods
10 Journal of Multivariate Analysis
10 Econometric Reviews
10 Applied Mathematics Letters
10 Journal of Statistical Computation and Simulation
8 Computers & Mathematics with Applications
8 Journal of Time Series Analysis
8 Statistical Papers
7 International Journal of Theoretical and Applied Finance
6 Journal of Statistical Planning and Inference
6 European Journal of Operational Research
6 Journal of the Korean Statistical Society
5 Mathematics and Computers in Simulation
5 Economics Letters
5 Journal of Applied Statistics
5 Computational Management Science
5 Journal of Statistical Theory and Practice
4 Metrika
4 Chaos, Solitons and Fractals
4 Annals of the Institute of Statistical Mathematics
4 Statistics
4 Computational Statistics
4 Communications in Statistics. Simulation and Computation
4 Stochastic Processes and their Applications
4 Chaos
4 Statistics and Computing
3 Physica A
3 The Annals of Statistics
3 Journal of Computational and Applied Mathematics
3 Mathematical Methods of Operations Research
3 North American Actuarial Journal
3 Review of Derivatives Research
3 Statistical Methods and Applications
3 Annals of Finance
2 Scandinavian Journal of Statistics
2 Journal of Applied Probability
2 Insurance Mathematics & Economics
2 Computers & Operations Research
2 Journal of Theoretical Probability
2 The Annals of Applied Probability
2 Automation and Remote Control
2 Linear Algebra and its Applications
2 Test
2 The Journal of Fourier Analysis and Applications
2 The Econometrics Journal
2 ASTIN Bulletin
2 Asia-Pacific Financial Markets
2 AStA. Advances in Statistical Analysis
1 The Canadian Journal of Statistics
1 Computer Physics Communications
1 Journal of Computational Physics
1 Journal of Mathematical Analysis and Applications
1 Journal of Mathematical Physics
1 The Annals of Probability
1 Duke Mathematical Journal
1 Fuzzy Sets and Systems
1 International Statistical Review
1 Journal of Differential Equations
1 Kybernetika
1 Metron
1
1 Operations Research Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Probability Theory and Related Fields
1 Sequential Analysis
1 Computational Economics
1 Journal of Mathematical Sciences (New York)
1 Applied Mathematical Finance
1 Mathematical Problems in Engineering
1 Mathematical Finance
1 Nonlinear Dynamics
1 Journal of Inequalities and Applications
1 Studies in Nonlinear Dynamics and Econometrics
1 Extremes
1 Statistical Inference for Stochastic Processes
1 Communications in Nonlinear Science and Numerical Simulation
1 Stochastic Environmental Research and Risk Assessment
1 CEJOR. Central European Journal of Operations Research
1 Acta et Commentationes Universitatis Tartuensis de Mathematica
1 Methodology and Computing in Applied Probability
1 Applied Stochastic Models in Business and Industry
1 International Game Theory Review
1 Brazilian Journal of Probability and Statistics
1 Decisions in Economics and Finance
1 Stochastic Models
1 Journal of Machine Learning Research (JMLR)
1 OR Spectrum
1 Journal of Applied Mathematics and Computing
1 Thai Journal of Mathematics
1 Journal of Industrial and Management Optimization
1 Advances in Data Analysis and Classification. ADAC
1 Optimization Letters
...and 6 more Serials

Citations by Year