Markus Haas at IDEAS
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Information
about: Markus Haas
Personal Details | Affiliation | Works
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Personal Details
First Name: Markus
Middle Name:
Last Name: Haas
Suffix:
RePEc Short-ID: pha387
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Works | Working papers | Articles | Access
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Working papers
Markus Haas & Stefan Mittnik & Mark S. Paolella, 2008.
"Asymmetric Multivariate Normal Mixture GARCH ,"
CFS Working Paper Series
2008/07, Center for Financial Studies.
[Downloadable!]
Markus Haas & Stefan Mittnik, 2008.
"Multivariate Regime–Switching GARCH with an Application to International Stock Markets ,"
CFS Working Paper Series
2008/08, Center for Financial Studies.
[Downloadable!]
Markus Haas & Stefan Mittnik & Marc S. Paolella, 2006.
"Multivariate Normal Mixture GARCH ,"
CFS Working Paper Series
2006/09, Center for Financial Studies.
[Downloadable!]
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!]
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:
Articles
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)
Markus Haas, 2007.
"Do investors dislike kurtosis? ,"
Economics Bulletin ,
Economics Bulletin, vol. 7(2), pages 1-9.
[Downloadable!]
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:
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)
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)
Markus Haas, 2004.
"Mixed Normal Conditional Heteroskedasticity ,"
Journal of Financial Econometrics ,
Oxford University Press, vol. 2(2), pages 211-250.
[Downloadable!] (restricted)
NEP Fields 2 papers by this author were announced in NEP , and specifically in the following field reports (number of papers):
NEP-CBA : Central Banking (1) 2005-07-18 Author is listed
NEP-CFN : Corporate Finance (1) 2005-07-18 Author is listed
NEP-ECM : Econometrics (1) 2008-03-01 Author is listed
NEP-ETS : Econometric Time Series (1) 2008-03-01 Author is listed
NEP-FIN : Finance (1) 2005-07-18 Author is listed
NEP-FMK : Financial Markets (2) 2005-07-18 2008-03-01 Author is listed
NEP-FOR : Forecasting (1) 2005-07-18 Author is listed
NEP-IFN : International Finance (1) 2005-07-18 Author is listed
NEP-MON : Monetary Economics (1) 2005-07-18 Author is listed
NEP-RMG : Risk Management (1) 2008-03-01 Author is listed
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This page was last updated on 2008-5-7.
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 .