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Multivariate regimeswitching GARCH with an application to international stock markets

Listed author(s):
  • Haas, Markus
  • Mittnik, Stefan

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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Paper provided by Center for Financial Studies (CFS) in its series CFS Working Paper Series with number 2008/08.

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Date of creation: 2008
Handle: RePEc:zbw:cfswop:200808
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