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Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations

Haas, Markus - In: Finance research letters 7 (2010) 2, pp. 86-97

Persistent link: https://www.econbiz.de/10009272769

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

Time-varying mixture GARCH models and asymmetric volatility

Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623

Persistent link: https://www.econbiz.de/10010370491

Modeling and predicting market risk with Laplace-Gaussian mixture distributions

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003351512

Modelling and predicting market risk with Laplace-Gaussian mixture distributions

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Applied financial economics 16 (2006) 15, pp. 1145-1162

Persistent link: https://www.econbiz.de/10003385575

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