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  • Search: person:"Haas, Markus"
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Year of publication
Subject
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ARCH-Modell 23 ARCH model 19 Theorie 19 Theory 17 GARCH 15 Statistische Verteilung 13 Börsenkurs 12 Statistical distribution 12 Volatilität 12 Schätzung 11 Capital income 10 Kapitaleinkommen 10 Share price 10 Volatility 10 Conditional Volatility 9 Estimation 9 Multivariate GARCH 9 Markov chain 8 Markov-Kette 8 Risikomaß 8 Risk measure 8 USA 7 Forecasting model 6 Leverage Effect 6 Multivariate Analyse 6 Portfolio selection 6 Prognoseverfahren 6 EU-Staaten 5 European Monetary System 5 Geldpolitik 5 Glaubwürdigkeit 5 Optionspreistheorie 5 Portfolio-Management 5 United States 5 Zeitreihenanalyse 5 GARCH-Prozess 4 Heteroscedasticity 4 Heteroskedastizität 4 Kurtosis 4 Mixtures 4
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Online availability
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Free 44 Undetermined 19
Type of publication
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Book / Working Paper 53 Article 37
Type of publication (narrower categories)
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Working Paper 17 Article in journal 12 Aufsatz in Zeitschrift 12 Arbeitspapier 10 Graue Literatur 9 Non-commercial literature 9 Aufsatz im Buch 4 Book section 4 Conference Paper 2 Hochschulschrift 2 Collection of articles written by one author 1 Dissertation u.a. Prüfungsschriften 1 Sammlung 1 Thesis 1
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Language
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English 51 Undetermined 36 German 4
Author
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Haas, Markus 86 Mittnik, Stefan 45 Paolella, Marc S. 34 Krause, Jochen 7 Mizrach, Bruce 6 Steude, Sven C. 5 Broda, Simon A. 4 Mizrach, Bruce Marshall 4 Steude, Sven Christian 4 Müller, Sebastian Christoph 3 Liu, Ji-Chun 2 Markus, Haas 2 BRODA, Simon A. 1 Braun, Alexander 1 HAAS, Markus 1 Haas, Anette 1 Hildebrand, Christian 1 Janser, Markus 1 KRAUSE, Jochen 1 PAOLELLA, Marc S. 1 Paolella, Marc 1 Paolella, Mark S. 1 STEUDE, Sven C. 1 Thistle, Paul D. 1
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Institution
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Center for Financial Studies 11 Institut für Schweizerisches Bankwesen <Zürich> 2 Christian-Albrechts-Universität zu Kiel 1 Department of Economics, Rutgers University-New Brunswick 1
Published in...
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CFS Working Paper Series 11 CFS Working Paper 9 CFS working paper series 7 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 5 Economics Bulletin 3 Studies in Nonlinear Dynamics & Econometrics 3 Working Paper 3 Applied financial economics 2 Empirical investigations of current monetary and fiscal policy issues 2 Finance research letters 2 Institut für Schweizerisches Bankwesen Zürich - Working Paper Series 2 Journal of Financial Econometrics 2 Journal of econometrics 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 Quantitative Finanzwirtschaft : Schriftenreihe zu Statistik und Ökonometrie 2 Research paper series / Swiss Finance Institute 2 Statistics & Probability Letters 2 Applied Economics Letters 1 Applied Financial Economics 1 Applied economics letters 1 Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Financial Econometrics 1 Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Empirical Finance II 1 Computational Statistics & Data Analysis 1 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 1 E-Mail-Management : professionelle Kundenkommunikation in Unternehmen und Service-Centern 1 Finance Research Letters 1 IAB-Forschungsbericht : aktuelle Ergebnisse aus der Projektarbeit des Instituts für Arbeitsmarkt- und Berufsforschung 1 Journal of Econometrics 1 Journal of Financial Stability 1 Journal of financial stability 1 QBER Discussion Paper 1 Quantitative Finanzwirtschaft 1 Risk assessment : decisions in banking and finance 1 Swiss Finance Institute Research Paper 1 Swiss Finance Institute Research Paper Series 1 The North American Journal of Economics and Finance 1 The North American journal of economics and finance : a journal of financial economics studies 1 Working papers / Rutgers University, Department of Economics 1
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Source
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ECONIS (ZBW) 44 RePEc 30 EconStor 9 OLC EcoSci 4 USB Cologne (business full texts) 2 USB Cologne (EcoSocSci) 1
Showing 1 - 10 of 90
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Adverse Selection in Insurance Markets : On-Demand Contracts As a Screening Device
Braun, Alexander - 2020
We show that on-demand insurance contracts, an innovative form of coverage recently introduced through the InsurTech sector, can serve as a screening device. To this end, we develop a new adverse selection model consistent with Wilson (1977), Miyazaki (1977) and Spence (1978). Consumers have...
Persistent link: https://www.econbiz.de/10012822927
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A Note on the Absolute Moments of the Bivariate Normal Distribution
Haas, Markus - 2018
Persistent link: https://www.econbiz.de/10012919661
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Integration regionaler Daten zu Flucht/Asyl/Migration in die SGB-II-Typisierung Machbarkeitsstudie
Haas, Anette; Janser, Markus - 2017
Die deutlichen Unterschiede in der regionalen Verteilung und Integration von Zugewanderten wirkt sich auch auf die strukturellen Rahmenbedingungen von Jobcentern aus. Vor diesem Hintergrund untersucht die vorliegende Machbarkeitsstudie, inwiefern das IAB-Verfahren der Typisierung von...
Persistent link: https://www.econbiz.de/10011706107
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A Note on Optimal Portfolios under Regime-Switching
Haas, Markus - 2016
This paper extends the stochastic dominance rules for normal mixture distributions derived by Levy and Kaplanski (2015). First, the portfolios under consideration are allowed to follow different regime-switching processes. Second, the results are extended from second- to fourth-order stochastic...
Persistent link: https://www.econbiz.de/10012999687
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A note on optimal portfolios under regime-switching
Haas, Markus - 2016
This paper extends the stochastic dominance rules for normal mixture distributions derived by Levy and Kaplanski (2015). First, the portfolios under consideration are allowed to follow different regime-switching processes. Second, the results are extended from second- to fourth-order stochastic...
Persistent link: https://www.econbiz.de/10011527620
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Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
Haas, Markus; Liu, Ji-Chun - 2015
We consider a multivariate Markov-switching GARCH model which allows for regime-specific volatility dynamics, leverage effects, and correlation structures. Stationarity conditions are derived, and consistency of the maximum likelihood estimator (MLE) is established under the assumption of...
Persistent link: https://www.econbiz.de/10011301451
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Appendix to : 'A Note on the Moments of the Skew-Normal Distribution'
Haas, Markus - 2014
This appendix contains a minor errata.The paper "A Note on the Moments of the Skew-Normal Distribution" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2404465" http://ssrn.com/abstract=2404465
Persistent link: https://www.econbiz.de/10013057706
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A Note on the Moments of the Skew-Normal Distribution
Haas, Markus - 2014
Azzalini's skew-normal distribution is an attractive tool for modeling the skewness observed in many economic and financial variables. Formulas for the odd moments of the skew-normal distribution have been given by Henze (1986) and, more recently, Martinez et al. (2008). This note provides a...
Persistent link: https://www.econbiz.de/10013057708
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Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - 2013
The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as excellent out-of-sample forecasting...
Persistent link: https://www.econbiz.de/10009721353
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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
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