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Stefan Mittnik

Global rank #6863 92%

Institution: Ludwig-Maximilians-Universität München

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.en.finmetrics.statistik.uni-muenchen.de/index.html

First Publication: 1987

Most Recent: 2015

RePEc ID: pmi387 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 0.00 2.18 7.37 0.00 15.08

Publication Statistics

Raw Publications 13
Coauthorship-Adjusted Count 16.32

Publications (13)

Year Article Journal Tier Authors
2015 Quanto option pricing in the presence of fat tails and asymmetric dependence Journal of Econometrics A 4
2015 Stock market volatility: Identifying major drivers and the nature of their impact Journal of Banking & Finance B 3
2014 VaR-implied tail-correlation matrices Economics Letters C 1
2013 The real consequences of financial stress Journal of Economic Dynamics and Control B 2
2012 Regime dependence of the fiscal multiplier Journal of Economic Behavior and Organization B 2
2002 Stationarity of stable power-GARCH processes Journal of Econometrics A 3
1998 CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES Econometric Theory B 3
1998 Testing cointegrating coefficients in vector autoregressive error correction models Economics Letters C 3
1993 Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions Journal of Econometrics A 2
1991 Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models Journal of Economic Dynamics and Control B 1
1990 Macroeconomic forecasting experience with balanced state space models International Journal of Forecasting B 1
1987 The determination of the state covariance matrix of moving-average processes without computation Economics Letters C 1
1987 Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes Economics Letters C 1