Markus Haas

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Stable mixture GARCH models Journal of Econometrics	2017-05-12	Paper
Stable mixture GARCH models Journal of Econometrics	2017-05-12	Paper
Skew-Normal Mixture and Markov-Switching GARCH Processes Studies in Nonlinear Dynamics & Econometrics	2010-12-21	Paper
Asymmetric multivariate normal mixture GARCH Computational Statistics and Data Analysis	2010-03-30	Paper
Value-at-risk via mixture distributions reconsidered Applied Mathematics and Computation	2009-11-23	Paper
Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes Statistics & Probability Letters	2009-07-29	Paper
Portfolio Selection with Common Correlation Mixture Models Contributions to Economics	2009-02-26	Paper
The autocorrelation structure of the Markov-switching asymmetric power GARCH process Statistics & Probability Letters	2008-09-17	Paper
Volatility Components and Long Memory-Effects Revisited Studies in Nonlinear Dynamics & Econometrics	2008-04-04	Paper

Research outcomes over time

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