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Müller, Sebastian Christoph; Haas, Markus - In: Empirical investigations of current monetary and fiscal …, (pp. 51-118). 2017

Persistent link: https://www.econbiz.de/10012134574

Dynamic mixture models for financial time series

Haas, Markus - 2004 - 1. Aufl.

Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...

Persistent link: https://www.econbiz.de/10002452594

Volatility components and long memory-effects revisited

Haas, Markus - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10009513029

Skew-normal mixture and Markov-switching GARCH processes

Haas, Markus - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-54

Persistent link: https://www.econbiz.de/10009515142

Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution

Haas, Markus - In: Applied economics letters 16 (2009) 10/12, pp. 1277-1283

Persistent link: https://www.econbiz.de/10003886839

A note on optimal portfolios under regime-switching

Haas, Markus - In: Finance research letters 19 (2016), pp. 209-216

Persistent link: https://www.econbiz.de/10011657640

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Persistent link: https://www.econbiz.de/10001707592

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 211-250

Persistent link: https://www.econbiz.de/10002214262

A new approach to Markov-switching GARCH models

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 4, pp. 493-530

Persistent link: https://www.econbiz.de/10002349828

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120