Stefan Mittnik

Add links
From Wikipedia, the free encyclopedia

This is an old revision of this page, as edited by Bender the Bot (talk | contribs) at 19:50, 4 June 2020 (→‎Biography: HTTP → HTTPS for Deutsche Forschungsgemeinschaft, replaced: http://www.dfg.de/ → https://www.dfg.de/ (3)). The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

Stefan Mittnik
Born (1954-11-29) November 29, 1954 (age 69)
Steinbach, Hesse
NationalityGerman
Academic career
InstitutionLudwig Maximilian University of Munich (LMU Munich)
Center for Financial Studies
FieldEconometrics
Financial economics
Macroeconometrics
Alma materTechnical University Berlin (Dipl. Ing.)
University of Sussex (M.A.)
Washington University in St. Louis (Ph.D.)
Doctoral
advisor		Edward Greenberg
ContributionsFinancial modeling
Macroeconometrics

Stefan Mittnik (born November 29, 1954) is a German economist, currently holds the Chair of Financial Econometrics at the Ludwig Maximilian University of Munich. He is a fellow of the Center for Financial Studies[1] and known for his work on financial market and financial risk modeling as well as macroeconometrics. He is also a co-founder of the German-British robo-advisor Scalable Capital.[2]

Biography

Stefan Mittnik received a degree in business and engineering in 1981 from the Technical University Berlin in Germany. He continued his studies in the UK, earning an MA in development economics at the University of Sussex, and the U.S., earning his Ph.D. in economics and applied mathematics from Washington University in St. Louis in 1987.

After his graduate studies, Mittnik taught at Stony Brook University (1987-1994) and the University of Kiel in Germany (1994-2003). Since 2003 he is Professor of Financial Econometrics at the Ludwig Maximilian University of Munich (LMU Munich) in Germany where he currently also heads the Center for Quantitative Risk Analysis (CEQURA).

Mittnik was research director at the Ifo Institute for Economic Research,[3] Fulbright Program Distinguished Scholar for German Studies at the Department of Economics at Washington University in St. Louis,[4] Theodor Heuss Professor at The New School in New York,[5] member of the Economics Review Board (Fachkollegium) of the Deutsche Forschungsgemeinschaft (German Science Foundation),[6] member of the scientific advisory board of the Deutsche Bundesbank,[7] and served on the editorial boards at a number of scientific journals. The German newspaper Frankfurter Allgemeine Zeitung listed him among the most influential German economists.[8]

Research

Mittnik's main research contributions have been in econometrics, time series analysis, finance, and risk management. Influenced by Benoit Mandelbrot, who was the first to criticize financial economists for relying on the normal distribution and ignoring fat tails in asset returns,[9] he has developed methods for more realistic financial risk modeling, portfolio optimization and option pricing.

Selected publications

  • Mittnik, Stefan and Svetlozar T. Rachev (1993). "Modeling Asset Returns with Alternative Stable Distributions". Econometric Reviews. 12 (3): 261–330. doi:10.1080/07474939308800266.
  • Mittnik, Stefan; Peter A. Zadrozny (1993). "Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models". Econometrica. 61 (4): 857–870. doi:10.2307/2951765. JSTOR 2951765. {{cite journal}}: Unknown parameter |lastauthoramp= ignored (|name-list-style= suggested) (help)
  • Mittnik, Stefan; Phillip A. Braun (1993). "Misspecifications in Vector Autoregressions and Their Effects on Structural Impulse Responses and Variance Decompositions". Journal of Econometrics. 59 (3): 319–341. doi:10.1016/0304-4076(93)90029-5. {{cite journal}}: Unknown parameter |lastauthoramp= ignored (|name-list-style= suggested) (help)
  • Rachev, Svetlozar T.; Stefan Mittnik. (2000). Stable Paretian Modeling in Finance. Chichester: Wiley. ISBN 978-0-471-95314-2. {{cite book}}: Unknown parameter |lastauthoramp= ignored (|name-list-style= suggested) (help)
  • Mittnik, Stefan, Marc S. Paolella and Svetlozar T. Rachev (2002). "Stationarity of Stable Power–GARCH Processes". Journal of Econometrics. 106: 97–107. doi:10.1016/s0304-4076(01)00089-6.{{cite journal}}: CS1 maint: multiple names: authors list (link)
  • Mittnik, Stefan; Thorsten Neumann (2003). "Time Series Evidence on the Non-Linearity Hypothesis for Public Spending". Economic Inquiry. 41 (4): 531–554. doi:10.1093/ei/cbg028. {{cite journal}}: Unknown parameter |lastauthoramp= ignored (|name-list-style= suggested) (help)
  • Haas, Markus, Stefan Mittnik and Marc S. Paolella (2004). "A New Approach to Markov-Switching GARCH Models". Journal of Financial Econometrics. 2 (4): 493–530. doi:10.1093/jjfinec/nbh020.{{cite journal}}: CS1 maint: multiple names: authors list (link)
  • Kuester, Keith, Stefan Mittnik and Marc S. Paolella (2006). "Value-at-Risk Prediction: A Comparison of Alternative Strategies". Journal of Financial Econometrics. 4: 53–89. doi:10.1093/jjfinec/nbj002.{{cite journal}}: CS1 maint: multiple names: authors list (link)
  • Doganoglu, Toker, Christoph Hartz and Stefan Mittnik (2007). "Portfolio Optimization When Risk Factors Are Conditionally Varying and Heavy Tailed". Computational Economics. 29 (3–4): 333–354. doi:10.1007/s10614-006-9071-1.{{cite journal}}: CS1 maint: multiple names: authors list (link)
  • Mittnik, Stefan, Nikolay Robinzonov and Martin Spindler (2015). "Stock Market Volatility: Identifying Major Drivers and the Nature of Their Impact". Journal of Banking and Finance. 58: 1–14. doi:10.1016/j.jbankfin.2015.04.003.{{cite journal}}: CS1 maint: multiple names: authors list (link)
  • Kim, Young Shin, Jaesung Lee, Stefan Mittnik, Jiho Park (2015). "Quanto Option Pricing in the Presence of Fat Tails and Asymmetric Dependence". Journal of Econometrics. 187 (2): 512–520. doi:10.1016/j.jeconom.2015.02.035.{{cite journal}}: CS1 maint: multiple names: authors list (link)

References

  1. ^ Fellows of the Center for Financial Studies [1]
  2. ^ CrunchBase, Scalable Capital [2]
  3. ^ Ifo Institute for Economic Research, Annual Report 2004 [3]
  4. ^ Fulbright Program, German Fulbright Grantees in the U.S., 2004-2005 [4]
  5. ^ “Social Research in a Transforming World: Transatlantic Conversations” honoring 50 years of German Theodor Heuss Professors at The New School [5]
  6. ^ German Research Foundation (DFG) Fachkollegien 2004-2011 [6] [7]
  7. ^ Deutsche Bundesbank, Annual Report, 2008 [8]
  8. ^ Frankfurter Allgemeine Zeitung, F.A.Z.-Ökonomenranking [9]
  9. ^ Benoit Mandelbrot, The variation of certain Speculative Prices, The Journal of Business, 1963 [10]

External links

Retrieved from "https://en.wikipedia.org/w/index.php?title=Stefan_Mittnik&oldid=960765229"