Overview
Stefan Mittnik is a financial econometrician (formerly Chair of Financial Econometrics, University of Munich; Center for Financial Studies; Ifo Institute) known for work on heavy-tailed and stable distributions in finance, volatility modelling, and risk management.
Key Contributions / Features
- Markov-switching GARCH (Haas-Mittnik-Paolella 2004): co-developed the parallel path-independent MS-GARCH model (Markov-Switching GARCH).
- Extensive work on stable-Paretian and other heavy-tailed models for asset returns and on financial risk measurement.
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