Details about Markus Haas
Access statistics for papers by Markus Haas.
Last updated 2025-02-07. Update your information in the RePEc Author Service.
Short-id: pha387
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Working Papers
2016
- A note on optimal portfolios under regime-switching
VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association View citations (2)
See also Journal Article A note on optimal portfolios under regime–switching, Finance Research Letters, Elsevier (2016) View citations (2) (2016)
2015
- Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (2)
2013
- Time-Varying Mixture GARCH Models and Asymmetric Volatility
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (11)
See also Journal Article Time-varying mixture GARCH models and asymmetric volatility, The North American Journal of Economics and Finance, Elsevier (2013) View citations (13) (2013)
2011
- Stable Mixture GARCH Models
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
See also Journal Article Stable mixture GARCH models, Journal of Econometrics, Elsevier (2013) View citations (21) (2013)
2008
- Asymmetric multivariate normal mixture GARCH
CFS Working Paper Series, Center for Financial Studies (CFS) 
See also Journal Article Asymmetric multivariate normal mixture GARCH, Computational Statistics & Data Analysis, Elsevier (2009) View citations (23) (2009)
- Multivariate regimeswitching GARCH with an application to international stock markets
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (10)
2006
- Multivariate normal mixture GARCH
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (6)
2005
- Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
CFS Working Paper Series, Center for Financial Studies (CFS) 
Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) View citations (4)
See also Journal Article Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts, Journal of Financial Stability, Elsevier (2006) View citations (8) (2006)
- Modeling and predicting market risk with Laplace-Gaussian mixture distributions
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)
See also Journal Article Modelling and predicting market risk with Laplace-Gaussian mixture distributions, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (11) (2006)
2002
- Mixed normal conditional heteroskedasticity
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (30)
See also Journal Article Mixed Normal Conditional Heteroskedasticity, Journal of Financial Econometrics, Oxford University Press (2004) View citations (107) (2004)
Journal Articles
2018
- 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 View citations (2)
- A note on the absolute moments of the bivariate normal distribution
Economics Bulletin, 2018, 38, (1), 650-656
2016
- A note on optimal portfolios under regime–switching
Finance Research Letters, 2016, 19, (C), 209-216 View citations (2)
See also Working Paper A note on optimal portfolios under regime-switching, VfS Annual Conference 2016 (Augsburg): Demographic Change (2016) View citations (2) (2016)
2013
- Stable mixture GARCH models
Journal of Econometrics, 2013, 172, (2), 292-306 View citations (21)
See also Working Paper Stable Mixture GARCH Models, Swiss Finance Institute Research Paper Series (2011) View citations (1) (2011)
- Time-varying mixture GARCH models and asymmetric volatility
The North American Journal of Economics and Finance, 2013, 26, (C), 602-623 View citations (13)
See also Working Paper Time-Varying Mixture GARCH Models and Asymmetric Volatility, Swiss Finance Institute Research Paper Series (2013) View citations (11) (2013)
2012
- A Note on the Moments of the Skew-Normal Distribution
Economics Bulletin, 2012, 32, (4), 3306-3312 View citations (1)
2010
- Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations
Finance Research Letters, 2010, 7, (2), 86-97 View citations (4)
- Skew-Normal Mixture and Markov-Switching GARCH Processes
Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (4), 56 View citations (9)
2009
- Asymmetric multivariate normal mixture GARCH
Computational Statistics & Data Analysis, 2009, 53, (6), 2129-2154 View citations (23)
See also Working Paper Asymmetric multivariate normal mixture GARCH, CFS Working Paper Series (2008) (2008)
- Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution
Applied Economics Letters, 2009, 16, (12), 1277-1283 View citations (3)
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
Statistics & Probability Letters, 2009, 79, (15), 1674-1683 View citations (3)
2008
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process
Statistics & Probability Letters, 2008, 78, (12), 1480-1489
2007
- Do investors dislike kurtosis?
Economics Bulletin, 2007, 7, (2), 1-9 View citations (6)
- Volatility Components and Long Memory-Effects Revisited
Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 39 View citations (4)
2006
- 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 (8)
See also Working Paper Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts, CFS Working Paper Series (2005) (2005)
- Modelling and predicting market risk with Laplace-Gaussian mixture distributions
Applied Financial Economics, 2006, 16, (15), 1145-1162 View citations (11)
See also Working Paper Modeling and predicting market risk with Laplace-Gaussian mixture distributions, CFS Working Paper Series (2005) View citations (2) (2005)
2004
- A New Approach to Markov-Switching GARCH Models
Journal of Financial Econometrics, 2004, 2, (4), 493-530 View citations (251)
- Mixed Normal Conditional Heteroskedasticity
Journal of Financial Econometrics, 2004, 2, (2), 211-250 View citations (107)
See also Working Paper Mixed normal conditional heteroskedasticity, CFS Working Paper Series (2002) View citations (30) (2002)
Undated
- Improved duration-based backtesting of value-at-risk
Journal of Risk
Chapters
2009
- Portfolio Selection with Common Correlation Mixture Models
Springer View citations (2)
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