World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
34
Citations
7957
World Ranking
3034
National Ranking
104

Overview

Stefan Mittnik is affiliated with Ludwig-Maximilians-Universität München in Germany. Their research focuses primarily on the field of Economics, Econometrics, and Finance, with 32 publications in this area. Within this broad domain, they have contributed to specialized subfields such as Finance, Economics and Econometrics, Renewable Energy, Sustainability and the Environment, Geophysics, and Management Science and Operations Research.

Their work covers multiple topics, including stochastic processes and financial applications, financial risk and volatility modeling, complex systems and time series analysis, financial markets and investment strategies, housing market and economics, market dynamics and volatility, as well as climate change policy and economics.

Stefan Mittnik has published research in various journals and venues. Frequent publication outlets include Studies in Nonlinear Dynamics and Econometrics with 14 publications, Journal of Risk and Financial Management with 4 publications, arXiv (Cornell University) with 4, SSRN Electronic Journal with 2, and Econometrics with 1.

Some of their recent papers include:

  • Climate Disaster Risks-Empirics and a Multi-Phase Dynamic Model, 2020, Econometrics
  • ESG-Valued Portfolio Optimization and Dynamic Asset Pricing, 2022, arXiv (Cornell University)
  • Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors, 2022, Journal of Risk and Financial Management
  • Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes, 2024, Risks
  • Die Substitution fossiler Energieträger - die Analyse wirtschaftlicher Kurz- und Langfristwirkungen, 2022, Vierteljahrshefte zur Wirtschaftsforschung

The scientist has collaborated frequently with several coauthors, including:

  • Heather M. Anderson
  • Robert A. Becker
  • Hilde C. Bjørnland
  • Francesco Ravazzolo
  • KyungHi Chang

Best Publications

  • Stable Paretian Models in Finance

    Svetlozar T. Rachev;Stefan Mittnik

  • Value-at-Risk Prediction: A Comparison of Alternative Strategies

    Keith Kuester;Stefan Mittnik;Marc S. Paolella

  • A New Approach to Markov-Switching GARCH Models

    Markus Haas;Stefan Mittnik;Marc S. Paolella

  • The Volatility of Realized Volatility

    Fulvio Corsi;Stefan Mittnik;Christian Pigorsch;Uta Pigorsch

  • Modeling asset returns with alternative stable distributions

    Stefan Mittnik;Svetlozar T. Rachev

  • Mixed Normal Conditional Heteroskedasticity

    Markus Haas;Stefan Mittnik;Marc S. Paolella

  • Conditional density and value‐at‐risk prediction of Asian currency exchange rates

    Stefan Mittnik;Marc S. Paolella

  • Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions

    Phillip A. Braun;Stefan Mittnik

  • Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data

    Stefan Mittnik;Stefan Mittnik;Stefan Mittnik;Peter Zadrozny

  • Regime dependence of the fiscal multiplier

    Stefan Mittnik;Willi Semmler

  • Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries

    Stefan Mittnik;Thorsten Neumann

  • Maximum likelihood estimation of stable Paretian models

    S. Mittnik;S. T. Rachev;T. Doganoglu;D. Chenyao

  • Computing the probability density function of the stable Paretian distribution

    S. Mittnik;T. Doganoglu;D. Chenyao

  • Stock market volatility: Identifying major drivers and the nature of their impact

    Stefan Mittnik;Nikolay Robinzonov;Martin Spindler;Martin Spindler

  • Stationarity of stable power-GARCH processes

    Stefan Mittnik;Marc S. Paolella;Svetlozar T. Rachev

  • Diagnosing and treating the fat tails in financial returns data

    Stefan Mittnik;Marc S. Paolella;Svetlozar T. Rachev

  • The Real Consequences of Financial Stress

    Stefan Mittnik;Willi Semmler

  • Accurate value-at-risk forecasting based on the normal-GARCH model

    Christoph Hartz;Stefan Mittnik;Marc Paolella

  • Stable Paretian modeling in finance: some empirical and theoretical aspects

    Stefan Mittnik;Svetlozar T. Rachev;Marc S. Paolella

  • Stable GARCH models for financial time series

    A.K. Panorska;S. Mittnik;S.T. Rachev

  • Differential Evolution and Combinatorial Search for Constrained Index Tracking

    Thiemo Krink;Stefan Mittnik;Sandra Paterlini

Frequent Co-Authors

Svetlozar T. Rachev
Svetlozar T. Rachev Texas Tech University
Frank J. Fabozzi
Frank J. Fabozzi Johns Hopkins University
Eckhard Platen
Eckhard Platen University of Technology Sydney
Carl Chiarella
Carl Chiarella University of Technology Sydney
Andrew Harvey
Andrew Harvey University of Cambridge
Mark F. J. Steel
Mark F. J. Steel University of Warwick
A. M. Robert Taylor
A. M. Robert Taylor University of Essex
Helmut Lütkepohl
Helmut Lütkepohl Freie Universität Berlin
Peter C. B. Phillips
Peter C. B. Phillips Yale University
Olivier Scaillet
Olivier Scaillet University of Geneva

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