Seminar für Finanzökonometrie





  • Dynamic Mixture Models for Financial Time Series, Pro Business, Berlin, 2004   



  • Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations, Finance Research Letters, 7, 2010,  86-97
  • Skew-normal Mixture and Markov-switching GARCH Processes, erscheint in: Studies in Nonlinear Dynamics & Econometrics, 2010.
  • Value-at-Risk via Mixture Distributions Reconsidered, Applied Mathematics and Computation  215, 2009, 2103-2119.
  • Gering korrelierte Anlageklassen - Diversifikationsmodell der Vergangenheit?, Studienreihe des Bayerischen Finanz Zentrum e.V., München, 2009 (mit S. Mittnik und T. Yener)
  • Korrelationsbasierte Diversifikation – ein zukunftsfähiger Ansatz? Absolut Report 52, 2009, 44-53 (mit S. Mittnik und T. Yener)
  • Asymmetric Multivariate Normal Mixture GARCH,  Computational Statistics and Data Analysis, 53, 2009, 2129-2154 (mit S. Mittnik und M. S. Paolella)
  • The Autocorrelation Structure of the Markov-switching Asymmetric Power GARCH Process, Statistics & Probability Letters 78, 2008, 1480-1489
  • Financial Economics: Fat-tailed Distributions, in: Encyclopedia of Complexity and Systems Science, Vol. 4, Heidelberg: Springer-Verlag, 2009,  3404-3435 (mit C. Pigorsch)
  • Modelling Skewness and Kurtosis with the Skewed Gauss-Laplace Sum Distribution, Applied Financial Economics Letters 16, 2009, 1277-1283
  • Portfolio Selection with Common Correlation Mixture Models, erscheint in: G. Bol, S. T. Rachev und R. Würth (Hrsg.): Risk Assessment: Decisions in Banking in Finance, Physica
  • Volatility Components and Long Memory-Effects Revisited, Studies in Nonlinear Dynamics and Econometrics 11, No. 2, 2007
  • Do Investors dislike Kurtosis?, Economics Bulletin 7, No. 2, 2007
  • Modelling and Predicting Market Risk with Laplace-Gaussian Mixture Distributions, Applied Financial Economics 16, No. 15, 2006 (mit S. Mittnik und M. S. Paolella)
  • Assessing Central Bank Credibility during the EMS Crisis: Comparing Option and Spot Market-Based Forecasts, Journal of Financial Stability 2, 2006 (mit S. Mittnik und B. Mizrach)
  • Improved Duration-Based Backtesting of Value-at-Risk, Journal of Risk 8, No. 2, 2006
  • A New Approach to Markov-switching GARCH Models, Journal of Financial Econometrics 2, No. 4, 2004 (mit S. Mittnik und M. S. Paolella)
  • Mixed Normal Conditional Heteroskedasticity, Journal of Financial Econometrics 2, No. 2, 2004  (mit S. Mittnik und M. S. Paolella)