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Publications

by members of

Christian-Albrechts-Universität Kiel → Institut für Quantitative Betriebs- und Volkswirtschaftslehre (QBER)

University of Kiel → Institute for Quantitative Business and Economics Research

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2016

  1. Haas, Markus, 2016, "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145493.

2015

  1. Haas, Markus & Liu, Ji-Chun, 2015, "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112855.

2013

  1. Markus Haas & Jochen Krause & Marc S. Paolella & Sven C. Steude, 2013, "Time-Varying Mixture GARCH Models and Asymmetric Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-04, Jan.

2011

  1. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011, "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-39, Sep.

2008

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008, "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/07.
  2. Haas, Markus & Mittnik, Stefan, 2008, "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/08.

2006

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006, "Multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/09.

2005

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2005, "Modeling and predicting market risk with Laplace-Gaussian mixture distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/11.

2004

  1. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.

2002

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002, "Mixed normal conditional heteroskedasticity," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/10.

Journal articles

2018

  1. Haas Markus & Liu Ji-Chun, 2018, "A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 3, pages 1-27, June, DOI: 10.1515/snde-2016-0019.
  2. Markus Haas, 2018, "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, volume 38, issue 1, pages 650-656.

2016

  1. Haas, Markus, 2016, "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, volume 19, issue C, pages 209-216, DOI: 10.1016/j.frl.2016.08.001.

2013

  1. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 602-623, DOI: 10.1016/j.najef.2013.02.024.
  2. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Stable mixture GARCH models," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2012.08.012.

2012

  1. Markus Haas, 2012, "A Note on the Moments of the Skew-Normal Distribution," Economics Bulletin, AccessEcon, volume 32, issue 4, pages 3306-3312.

2010

  1. Haas Markus, 2010, "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-56, September, DOI: 10.2202/1558-3708.1765.
  2. Haas, Markus, 2010, "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, volume 7, issue 2, pages 86-97, June.

2009

  1. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009, "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2129-2154, April.
  2. Haas, Markus, 2009, "Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes," Statistics & Probability Letters, Elsevier, volume 79, issue 15, pages 1674-1683, August.
  3. Markus Haas, 2009, "Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution," Applied Economics Letters, Taylor & Francis Journals, volume 16, issue 12, pages 1277-1283, DOI: 10.1080/17446540802400441.

2008

  1. Haas, Markus, 2008, "The autocorrelation structure of the Markov-switching asymmetric power GARCH process," Statistics & Probability Letters, Elsevier, volume 78, issue 12, pages 1480-1489, September.

2007

  1. Haas Markus, 2007, "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-39, May, DOI: 10.2202/1558-3708.1411.
  2. Markus Haas, 2007, "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, volume 7, issue 2, pages 1-9.

2006

  1. 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, volume 2, issue 1, pages 28-54, April.
  2. Markus Haas & Stefan Mittnik & Marc Paolella, 2006, "Modelling and predicting market risk with Laplace-Gaussian mixture distributions," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 15, pages 1145-1162, DOI: 10.1080/09603100500438817.

2004

  1. Markus Haas, 2004, "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 2, pages 211-250.
  2. Markus Haas, 2004, "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 4, pages 493-530.

Chapters

2009

  1. Markus Haas & Stefan Mittnik, 2009, "Portfolio Selection with Common Correlation Mixture Models," Contributions to Economics, Springer, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth, "Risk Assessment", DOI: 10.1007/978-3-7908-2050-8_4.

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