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Information about:
Markus Haas

Personal Details | Affiliation | Works
This is information that was supplied by Markus Haas in registering through RePEc. If you are Markus Haas , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Markus
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Last Name: Haas
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RePEc Short-ID: pha387

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Markus Haas & Stefan Mittnik & Marc S. Paolella, 2006. "Multivariate Normal Mixture GARCH," CFS Working Paper Series 2006/09, Center for Financial Studies. [Downloadable!]

  2. 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!]

  3. 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!]
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Articles

  1. 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)

  2. 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)

  3. 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)

  4. 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)

  5. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, Economics Bulletin, vol. 7(2), pages 1-9. [Downloadable!]

  6. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]

  7. 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:

  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. 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)

  10. 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):
  1. NEP-CBA: Central Banking (1) 2005-07-18 Author is listed
  2. NEP-CFN: Corporate Finance (1) 2005-07-18 Author is listed
  3. NEP-FIN: Finance (1) 2005-07-18 Author is listed
  4. NEP-FMK: Financial Markets (1) 2005-07-18 Author is listed
  5. NEP-FOR: Forecasting (1) 2005-07-18 Author is listed
  6. NEP-IFN: International Finance (1) 2005-07-18 Author is listed
  7. 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.