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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Working papers
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.
"Pareto Improving Social Security Reform when Financial Markets are Incomplete!? ,"
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
Haas, Markus, 2009.
"Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes ,"
Statistics & Probability Letters ,
Elsevier, vol. 79(15), pages 1674-1683, August.
[Downloadable!] (restricted)
Markus Haas, 2009.
"Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution ,"
Applied Economics Letters ,
Taylor and Francis Journals, vol. 16(12), pages 1277-1283.
[Downloadable!] (restricted)
Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009.
"Asymmetric multivariate normal mixture GARCH ,"
Computational Statistics & Data Analysis ,
Elsevier, vol. 53(6), pages 2129-2154, April.
[Downloadable!] (restricted)
Haas, Markus, 2008.
"The autocorrelation structure of the Markov-switching asymmetric power GARCH process ,"
Statistics & Probability Letters ,
Elsevier, vol. 78(12), pages 1480-1489, September.
[Downloadable!] (restricted)
Markus Haas, 2007.
"Do investors dislike kurtosis? ,"
Economics Bulletin ,
Economics Bulletin, vol. 7(2), pages 1-9.
[Downloadable!]
Markus Haas, 2007.
"Volatility Components and Long Memory-Effects Revisited ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 11(2).
[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 1 paper by this author was 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-FIN : Finance (1) 2005-07-18 Author is listed
NEP-FMK : Financial Markets (1) 2005-07-18 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
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This page was last updated on 2009-12-7.
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 .