This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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.

Other registered authors

Personal Details

First Name: Markus
Middle Name:
Last Name: Haas
Suffix:

RePEc Short-ID: pha387

Email:
Homepage:
Postal Address:
Phone:

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, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Markus Haas & Stefan Mittnik & Mark S. Paolella, 2008. "Asymmetric Multivariate Normal Mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies. [Downloadable!]

  2. 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!]

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

  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. 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

  1. 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)

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

  3. 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:

  4. 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)

  5. 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)

  6. 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):
  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-ECM: Econometrics (1) 2008-03-01 Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2008-03-01 Author is listed
  5. NEP-FIN: Finance (1) 2005-07-18 Author is listed
  6. NEP-FMK: Financial Markets (2) 2005-07-18 2008-03-01 Author is listed
  7. NEP-FOR: Forecasting (1) 2005-07-18 Author is listed
  8. NEP-IFN: International Finance (1) 2005-07-18 Author is listed
  9. NEP-MON: Monetary Economics (1) 2005-07-18 Author is listed
  10. NEP-RMG: Risk Management (1) 2008-03-01 Author is listed
Did you know? IDEAS is not the only service displaying RePEc data. Choose on RePEc which service fits your needs best.

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.