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

Working Papers

2016

1. 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

2. 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

3. 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

4. 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

5. 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)
6. Multivariate regimeswitching GARCH with an application to international stock markets
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (11)

2006

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

2005

8. 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)
9. 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

10. 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

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 View citations (2)
2. A note on the absolute moments of the bivariate normal distribution
   Economics Bulletin, 2018, 38, (1), 650-656

2016

3. 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

4. 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)
5. 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

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

2010

7. 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)
8. Skew-Normal Mixture and Markov-Switching GARCH Processes
   Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (4), 56 View citations (9)

2009

9. 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)
10. Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution
    Applied Economics Letters, 2009, 16, (12), 1277-1283 View citations (3)
11. 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

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

2007

13. Do investors dislike kurtosis?
    Economics Bulletin, 2007, 7, (2), 1-9 View citations (6)
14. Volatility Components and Long Memory-Effects Revisited
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 39 View citations (5)

2006

15. 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)
16. 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

17. A New Approach to Markov-Switching GARCH Models
    Journal of Financial Econometrics, 2004, 2, (4), 493-530 View citations (259)
18. 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

19. Improved duration-based backtesting of value-at-risk
    Journal of Risk

Chapters

2009

1. Portfolio Selection with Common Correlation Mixture Models
   Springer View citations (2)