Stefan Mittnik

Economics and Econometrics · 1990–2015

A researcher in the Science corpus: 13 papers; trusts 77 researchers and is trusted by 41 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 110 citations into it; #2,895 of 23,481 by trust here, #2,831 by citations
• Finance — 95 citations into it; #909 of 10,518 by trust here, #834 by citations
• Statistics and Probability — 32 citations into it; #3,634 of 12,932 by trust here, #2,629 by citations
• Artificial Intelligence — 10 citations into it
• Economics & Operations Research — 6 citations into it
• Management Science and Operations Research — 6 citations into it
• Time-Series & Forecasting — 5 citations into it

Whom Stefan Mittnik trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Tim Bollerslev
3. N. Shephard
4. Torben G. Andersen
5. Robert F. Engle
6. Roberto Perotti
7. Peter Buhlmann
8. Jerome H. Friedman
9. P. R. Hansen
10. Francis X. Diebold

Who trusts Stefan Mittnik overall

1. Badi H. Baltagi
2. P. Giot
3. James W. Taylor
4. Dongming Zhu
5. Svetlozar T. Rachev
6. Sébastien-Yves Laurent
7. Peter A. Zadrozny
8. Wei Sun
9. Marc S. Paolella
10. José Dias Curto

Papers from Stefan Mittnik's perspective

Ordered by how strongly the researchers Stefan Mittnik trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
3. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
4. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
5. The distribution of realized stock return volatility
6. A Simple Long Memory Model of Realized Volatility
7. MODELING AND FORECASTING REALIZED VOLATILITY
8. Power and bipower variation with stochastic volatility and jumps
9. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
10. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Their papers

• The Volatility of Realized Volatility (2005) — 435 citations
• Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005) — 683 citations
• Conditional density and value‐at‐risk prediction of Asian currency exchange rates (2000) — 194 citations
• A New Approach to Markov-Switching GARCH Models (2004) — 558 citations
• Stationarity of stable power-GARCH processes (2002) — 89 citations
• Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (2003) — 77 citations
• Mixed Normal Conditional Heteroskedasticity (2004) — 214 citations
• Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries (2001) — 112 citations
• Stock market volatility: Identifying major drivers and the nature of their impact (2015) — 128 citations
• The Real Consequences of Financial Stress (2013) — 118 citations
• Regime dependence of the fiscal multiplier (2012) — 123 citations
• Stable Paretian Models in Finance (2000) — 785 citations
• Macroeconomic Forecasting Using Pooled International Data (1990)