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Citations of
Markus Haas

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2005. "Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics. [Downloadable!]

Articles

  1. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 493-530. [Downloadable!] (restricted)

    Cited by:

    1. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    2. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    3. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
      Other versions:
    4. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
    5. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    6. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
    7. Prof. Dr. Walter Krämer, . "Long memory with Markov-Switching GARCH," Working Papers 6, Business and Social Statistics Department, University Dortmund, revised Oct 2006. [Downloadable!]
    8. Markus Haas & Stefan Mittnik & Marc S. Paolella, 2006. "Modelling and predicting market risk with Laplace--Gaussian mixture distributions," Applied Financial Economics, Taylor and Francis Journals, vol. 16(15), pages 1145-1162, October. [Downloadable!] (restricted)
    9. Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, . "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, University Dortmund, revised May 2006. [Downloadable!]
      Other versions:

  3. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 211-250. [Downloadable!] (restricted)

    Cited by:

    1. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    2. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006007, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    3. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Working Papers 07-29, Bank of Canada. [Downloadable!]
      Other versions:
    4. Markus Haas & Stefan Mittnik & Marc S. Paolella, 2005. "While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phen," CFS Working Paper Series 2005/11, Center for Financial Studies. [Downloadable!]
    5. Luc, Bauwens & J.V.K., ROMBOUTS, 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2005058, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    6. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
    7. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
      Other versions:
    8. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    9. Markus Haas & Stefan Mittnik & Marc S. Paolella, 2006. "Modelling and predicting market risk with Laplace--Gaussian mixture distributions," Applied Financial Economics, Taylor and Francis Journals, vol. 16(15), pages 1145-1162, October. [Downloadable!] (restricted)
    10. Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, . "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, University Dortmund, revised May 2006. [Downloadable!]
      Other versions:
    11. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2), pages 1411-1411. [Downloadable!] (restricted)

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This page was last updated on 2008-7-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.