Markus Haas () (University of Munich, Institute of Statistics) Stefan Mittnik (Department of Statistics, University of Munich, Center for Financial Studies, Frankfurt, and Ifo Institute for Economic Research, Munich)
Abstract
We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value–at–Risk.
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Publisher Info
Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2008/08.
Length: 48 pages Date of creation: Jan 2008 Date of revision: Handle: RePEc:cfs:cfswop:wp200808
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