Markus Haas
Names
Identifer
Contact
Affiliations
-
Christian-Albrechts-Universität Kiel
/ Institut für Quantitative Betriebs- und Volkswirtschaftslehre (QBER)
Research profile
author of:
- Volatility Components and Long Memory-Effects Revisited (RePEc:bpj:sndecm:v:11:y:2007:i:2:n:3)
by Haas Markus - Skew-Normal Mixture and Markov-Switching GARCH Processes (RePEc:bpj:sndecm:v:14:y:2010:i:4:n:1)
by Haas Markus - A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:2)
by Haas Markus & Liu Ji-Chun - Unknown item RePEc:cfs:cfswop:wp200509 (paper)
- Unknown item RePEc:cfs:cfswop:wp200609 (paper)
- Stable Mixture GARCH Models (RePEc:chf:rpseri:rp1139)
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE - Time-Varying Mixture GARCH Models and Asymmetric Volatility (RePEc:chf:rpseri:rp1304)
by Markus Haas & Jochen Krause & Marc S. Paolella & Sven C. Steude - Do investors dislike kurtosis? (RePEc:ebl:ecbull:eb-06g00072)
by Markus Haas - A Note on the Moments of the Skew-Normal Distribution (RePEc:ebl:ecbull:eb-12-00725)
by Markus Haas - A note on the absolute moments of the bivariate normal distribution (RePEc:ebl:ecbull:eb-17-00492)
by Markus Haas - Asymmetric multivariate normal mixture GARCH (RePEc:eee:csdana:v:53:y:2009:i:6:p:2129-2154)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Time-varying mixture GARCH models and asymmetric volatility (RePEc:eee:ecofin:v:26:y:2013:i:c:p:602-623)
by Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C. - Stable mixture GARCH models (RePEc:eee:econom:v:172:y:2013:i:2:p:292-306)
by Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C. - A note on optimal portfolios under regime–switching (RePEc:eee:finlet:v:19:y:2016:i:c:p:209-216)
by Haas, Markus - Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations (RePEc:eee:finlet:v:7:y:2010:i:2:p:86-97)
by Haas, Markus - Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts (RePEc:eee:finsta:v:2:y:2006:i:1:p:28-54)
by Haas, Markus & Mittnik, Stefan & Mizrach, Bruce - The autocorrelation structure of the Markov-switching asymmetric power GARCH process (RePEc:eee:stapro:v:78:y:2008:i:12:p:1480-1489)
by Haas, Markus - Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (RePEc:eee:stapro:v:79:y:2009:i:15:p:1674-1683)
by Haas, Markus - Mixed Normal Conditional Heteroskedasticity (RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250)
by Markus Haas - A New Approach to Markov-Switching GARCH Models (RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530)
by Markus Haas - Improved duration-based backtesting of value-at-risk (RePEc:rsk:journ4:2161007)
by Markus Haas - Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts (RePEc:rut:rutres:200424)
by Markus Haas & Stefan Mittnik & Bruce Mizrach - Portfolio Selection with Common Correlation Mixture Models (RePEc:spr:conchp:978-3-7908-2050-8_4)
by Markus Haas & Stefan Mittnik - Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution (RePEc:taf:apeclt:v:16:y:2009:i:12:p:1277-1283)
by Markus Haas - Modelling and predicting market risk with Laplace-Gaussian mixture distributions (RePEc:taf:apfiec:v:16:y:2006:i:15:p:1145-1162)
by Markus Haas & Stefan Mittnik & Marc Paolella - Mixed normal conditional heteroskedasticity (RePEc:zbw:cfswop:200210)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts (RePEc:zbw:cfswop:200509)
by Haas, Markus & Mittnik, Stefan & Mizrach, Bruce - Modeling and predicting market risk with Laplace-Gaussian mixture distributions (RePEc:zbw:cfswop:200511)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Multivariate normal mixture GARCH (RePEc:zbw:cfswop:200609)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Asymmetric multivariate normal mixture GARCH (RePEc:zbw:cfswop:200807)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Multivariate regimeswitching GARCH with an application to international stock markets (RePEc:zbw:cfswop:200808)
by Haas, Markus & Mittnik, Stefan - Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets (RePEc:zbw:vfsc15:112855)
by Haas, Markus & Liu, Ji-Chun - A note on optimal portfolios under regime-switching (RePEc:zbw:vfsc16:145493)
by Haas, Markus