Content
Working Papers
- Berninger, C., Rügamer, D. and Stöcker, A. "A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 22, 2020
- Berninger, C. and Pfeiffer, J. "The Gauss2++ Model - A Consistent Risk Neutral and Real World Calibration", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 21, 2020
- Kurz, M. S. "A note on low-dimensional Kalman smoother for systems with lagged states in the measurement equation", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 20, 2018
- Kurz, M. S. and Mittnik, S. "Risk Assessment and Spurious Seasonality", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 19, 2018
- Bauer, J., Fink, H. and Stoller, E. "Are gross margins of structured products priced in a market-consistent way? Evidence from the new issuer estimated value", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 18, 2016
- Fink, H. and Mittnik, S. "Quanto pricing models beyond Black-Scholes", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 16, 2016
- Fuest, A. and Mittnik, S. "Modeling Liquidity Impact on Volatility: A GARCH-FunXL Approach", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 15, 2015
- Fink, H. and Geppert, S. "Implied correlation indices and volatility forecasting", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 14, 2015
- Fink, H. "Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 13, 2015
- Kato, M., Mittnik, S., Samaan, D., and Semmler, W. "Employment and Output Effects of Climate Policies", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 12, 2013
- Kim, Y.S., Lee, J., Mittnik, S., and Park, J. "Quanto Option Pricing in the Presence of Fat Tails and Asymmetric Dependence", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 11, 2013
- Ergashev, B., Mittnik, S. and Sekeris, E. "A Bayesian Approach to Extreme Value Estimation in Operational Risk Modeling", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 10, 2013
- Mittnik, S. "VaR–implied Tail–correlation Matrices", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 09, 2013
- Mittnik, S., Robinzonov, N. and Wohlrabe, K. "The Micro Dynamics of Macro Announcements", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 08, 2013
- Mittnik, S. and Semmler, W. "The Real Consequences of" Financial Stress", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 07, 2012
- Mittnik, S., Robinzonov, N. and M. Spindler "Boosting the Anatomy of Volatility", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 06, 2012
- Mittnik, S. and Semmler, W. "Regime Dependence of the Fiscal Multiplier", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 05, 2012
- Mittnik, S., "Solvency II Calibrations: Where Curiosity Meets Spuriosity", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 04, 2011
- Mittnik, S., Paterlini, S. and Yener, T. "Operational-Risk Dependencies and the Determination of Risk Capital", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 03, 2011
- Ferrari, D. and Paterlini, S. "Efficient and robust estimation for financial returns: an approach based on q-entropy", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 02, 2010
- Mittnik, S. and Yener, T. "Estimating Operational Risk Capital for Correlated, Rare Events", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 01, 2009