The following pages link to Stefan Mittnik (Q803699):
Displaying 41 items.
- (Q699426) (redirect page) (← links)
- Computing the probability density function of the stable Paretian distribution (Q699429) (← links)
- Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (Q803700) (← links)
- The determination of the state covariance matrix of moving-average processes without computation (Q899917) (← links)
- Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes (Q899930) (← links)
- The real consequences of financial stress (Q900379) (← links)
- Modeling nonlinear processes with generalized autoregressions (Q921784) (← links)
- Stable distributions for asset returns (Q921834) (← links)
- Asymmetric multivariate normal mixture GARCH (Q961408) (← links)
- Unconditional and conditional distributional models for the Nikkei index (Q1000455) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Iterative versus noniterative derivation of moving average parameters of ARMA processes (Q1094063) (← links)
- Multivariate time series analysis with state space models (Q1116606) (← links)
- Testing cointegrating coefficients in vector autoregressive error correction models (Q1128547) (← links)
- Forecasting international growth rates with leading indicators: A system- theoretic approach (Q1202455) (← links)
- An approximation procedure for asymmetric stable Paretian densities (Q1297871) (← links)
- Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (Q1314479) (← links)
- Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples (Q1334708) (← links)
- Integral and asymptotic representations of geo-stable densities (Q1352361) (← links)
- Option pricing for stable and infinitely divisible asset returns (Q1596868) (← links)
- A simple estimator for the characteristic exponent of the stable Paretian distribution (Q1596876) (← links)
- Test of association between multivariate stable vectors. (Q1596878) (← links)
- Maximum likelihood estimation of stable Paretian models. (Q1596882) (← links)
- Statistical inference in regression with heavy-tailed integrated variables (Q1600535) (← links)
- The distribution of test statistics for outlier detection in heavy-tailed samples (Q1600537) (← links)
- Time series with unit roots and infinite-variance disturbances (Q1808615) (← links)
- Stationarity of stable power-GARCH processes. (Q1858909) (← links)
- Stable GARCH models for financial time series (Q1904510) (← links)
- Tail estimation of the stable index \(\alpha\) (Q1921190) (← links)
- VaR-implied tail-correlation matrices (Q2016009) (← links)
- Differential evolution and combinatorial search for constrained index-tracking (Q2267300) (← links)
- Value-at-risk and asset allocation with stable return distributions (Q2567524) (← links)
- Portfolio optimization when risk factors are conditionally varying and heavy tailed (Q2642602) (← links)
- (Q2709279) (← links)
- A new representation for the characteristic function of strictly geo-stable vectors (Q2725311) (← links)
- Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models (Q3142742) (← links)
- Modeling Operational Risk: Estimation and Effects of Dependencies (Q3298512) (← links)
- Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances (Q3368195) (← links)
- Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data (Q3368288) (← links)
- (Q3433875) (← links)
- Value-at-Risk Prediction: A Comparison of Alternative Strategies (Q5226705) (← links)
