Details about Markus Haas

Access statistics for papers by Markus Haas.

Last updated 2009-11-02. Update your information in the RePEc Author Service.

Short-id: pha387

Working Papers

2006

1. Multivariate Normal Mixture GARCH
   CFS Working Paper Series, Center for Financial Studies View citations

2005

2. Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts
   CFS Working Paper Series, Center for Financial Studies
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) View citations
   See also Journal Article in Journal of Financial Stability (2006)
3. Pareto Improving Social Security Reform when Financial Markets are Incomplete!?
   CFS Working Paper Series, Center for Financial Studies

Journal Articles

2009

1. Asymmetric multivariate normal mixture GARCH
   Computational Statistics & Data Analysis, 2009, 53, (6), 2129-2154
2. Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution
   Applied Economics Letters, 2009, 16, (12), 1277-1283
3. Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
   Statistics & Probability Letters, 2009, 79, (15), 1674-1683

2008

4. The autocorrelation structure of the Markov-switching asymmetric power GARCH process
   Statistics & Probability Letters, 2008, 78, (12), 1480-1489

2007

5. Do investors dislike kurtosis?
   Economics Bulletin, 2007, 7, (2), 1-9
6. Volatility Components and Long Memory-Effects Revisited
   Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2)
   Also in Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 1411-1411 (2007)

2006

7. Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
   Journal of Financial Stability, 2006, 2, (1), 28-54 View citations
   See also Working Paper (2005)
8. Modelling and predicting market risk with Laplace--Gaussian mixture distributions
   Applied Financial Economics, 2006, 16, (15), 1145-1162

2004

9. A New Approach to Markov-Switching GARCH Models
   Journal of Financial Econometrics, 2004, 2, (4), 493-530 View citations
10. Mixed Normal Conditional Heteroskedasticity
    Journal of Financial Econometrics, 2004, 2, (2), 211-250 View citations