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Details about Markus Haas

E-mail:
Workplace:Institut für Quantitative Betriebs- und Volkswirtschaftslehre (QBER) (Institute for Quantitative Business and Economics Research), Christian-Albrechts-Universität Kiel (University of Kiel), (more information at EDIRC)

Access statistics for papers by Markus Haas.

Last updated 2019-07-26. Update your information in the RePEc Author Service.

Short-id: pha387


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Working Papers

2016

  1. A note on optimal portfolios under regime-switching
    Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2016)

2015

  1. Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads

2013

  1. Time-Varying Mixture GARCH Models and Asymmetric Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in The North American Journal of Economics and Finance (2013)

2011

  1. Stable Mixture GARCH Models
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Econometrics (2013)

2008

  1. Asymmetric multivariate normal mixture GARCH
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2009)
  2. Multivariate regimeswitching GARCH with an application to international stock markets
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (7)

2006

  1. Multivariate normal mixture GARCH
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (6)

2005

  1. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) Downloads View citations (4)

    See also Journal Article in Journal of Financial Stability (2006)
  2. Modeling and predicting market risk with Laplace-Gaussian mixture distributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2006)

2002

  1. Mixed normal conditional heteroskedasticity
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (30)
    See also Journal Article in Journal of Financial Econometrics (2004)

Journal Articles

2018

  1. A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (3), 27 Downloads View citations (1)
  2. A note on the absolute moments of the bivariate normal distribution
    Economics Bulletin, 2018, 38, (1), 650-656 Downloads

2016

  1. A note on optimal portfolios under regime–switching
    Finance Research Letters, 2016, 19, (C), 209-216 Downloads View citations (1)
    See also Working Paper (2016)

2013

  1. Stable mixture GARCH models
    Journal of Econometrics, 2013, 172, (2), 292-306 Downloads View citations (18)
    See also Working Paper (2011)
  2. Time-varying mixture GARCH models and asymmetric volatility
    The North American Journal of Economics and Finance, 2013, 26, (C), 602-623 Downloads View citations (10)
    See also Working Paper (2013)

2012

  1. A Note on the Moments of the Skew-Normal Distribution
    Economics Bulletin, 2012, 32, (4), 3306-3312 Downloads View citations (1)

2010

  1. Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations
    Finance Research Letters, 2010, 7, (2), 86-97 Downloads View citations (1)
  2. Skew-Normal Mixture and Markov-Switching GARCH Processes
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (4), 1-56 Downloads View citations (7)

2009

  1. Asymmetric multivariate normal mixture GARCH
    Computational Statistics & Data Analysis, 2009, 53, (6), 2129-2154 Downloads View citations (19)
    See also Working Paper (2008)
  2. Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution
    Applied Economics Letters, 2009, 16, (12), 1277-1283 Downloads View citations (2)
  3. Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
    Statistics & Probability Letters, 2009, 79, (15), 1674-1683 Downloads View citations (3)

2008

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

2007

  1. Do investors dislike kurtosis?
    Economics Bulletin, 2007, 7, (2), 1-9 Downloads View citations (4)
  2. Volatility Components and Long Memory-Effects Revisited
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 1-39 Downloads View citations (3)

2006

  1. Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
    Journal of Financial Stability, 2006, 2, (1), 28-54 Downloads View citations (6)
    See also Working Paper (2005)
  2. Modelling and predicting market risk with Laplace-Gaussian mixture distributions
    Applied Financial Economics, 2006, 16, (15), 1145-1162 Downloads View citations (9)
    See also Working Paper (2005)

2004

  1. A New Approach to Markov-Switching GARCH Models
    Journal of Financial Econometrics, 2004, 2, (4), 493-530 Downloads View citations (157)
  2. Mixed Normal Conditional Heteroskedasticity
    Journal of Financial Econometrics, 2004, 2, (2), 211-250 Downloads View citations (86)
    See also Working Paper (2002)
 
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