Markus Haas : Citation Profile


Are you Markus Haas?

Christian-Albrechts-Universität Kiel

7

H index

6

i10 index

322

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 20
   Journals where Markus Haas has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 14 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha387
   Updated: 2020-08-01    RAS profile: 2019-07-26    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Markus Haas.

Is cited by:

Bauwens, Luc (31)

Rombouts, Jeroen (24)

Dufays, Arnaud (12)

Stentoft, Lars (10)

Hafner, Christian (9)

Mittnik, Stefan (9)

Alexander, Carol (7)

Cheung, Yin-Wong (7)

Funke, Michael (6)

Maheu, John (6)

BenSaïda, Ahmed (5)

Cites to:

Engle, Robert (24)

Teräsvirta, Timo (21)

Bollerslev, Tim (14)

Granger, Clive (13)

Rombouts, Jeroen (13)

Laurent, Sébastien (13)

Bauwens, Luc (12)

Mittnik, Stefan (11)

Guidolin, Massimo (10)

Timmermann, Allan (8)

McAleer, Michael (7)

Main data


Where Markus Haas has published?


Journals with more than one article published# docs
Economics Bulletin3
Studies in Nonlinear Dynamics & Econometrics3
Statistics & Probability Letters2
Journal of Financial Econometrics2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)6
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Markus Haas (2018 and 2017)


YearTitle of citing document
2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

Full description at Econpapers || Download paper

2019Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series. (2019). Cripps, Sally ; Gerlach, Richard ; Marchant, Roman ; James, Nick . In: Papers. RePEc:arx:papers:1902.03350.

Full description at Econpapers || Download paper

2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

Full description at Econpapers || Download paper

2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius. In: BIS Working Papers. RePEc:bis:biswps:652.

Full description at Econpapers || Download paper

2017A Markov-switching regression model with non-Gaussian innovations: estimation and testing. (2017). De Angelis, Luca ; Cinzia, Viroli. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:2:p:22:n:3.

Full description at Econpapers || Download paper

2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

Full description at Econpapers || Download paper

2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

Full description at Econpapers || Download paper

2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

Full description at Econpapers || Download paper

2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

Full description at Econpapers || Download paper

2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

Full description at Econpapers || Download paper

2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

Full description at Econpapers || Download paper

2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

Full description at Econpapers || Download paper

2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

Full description at Econpapers || Download paper

2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

Full description at Econpapers || Download paper

2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

Full description at Econpapers || Download paper

2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

Full description at Econpapers || Download paper

2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

Full description at Econpapers || Download paper

2019Using nonparametric copulas to measure crude oil price co-movements. (2019). Jacho-Chávez, David ; Huynh, Kim ; Jacho-Chavez, David T. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:211-223.

Full description at Econpapers || Download paper

2020Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232.

Full description at Econpapers || Download paper

2018Hedge ratio on Markov regime-switching diagonal Bekk–Garch model. (2018). Zhipeng, Yan ; Shenghong, LI. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:49-55.

Full description at Econpapers || Download paper

2019A characterization of CAT bond performance indices. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:431-437.

Full description at Econpapers || Download paper

2019Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility. (2019). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:74-81.

Full description at Econpapers || Download paper

2019Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

Full description at Econpapers || Download paper

2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

Full description at Econpapers || Download paper

2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

Full description at Econpapers || Download paper

2019Modeling volatility of precious metals markets by using regime-switching GARCH models. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Mubashra, Sana ; Naeem, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303022.

Full description at Econpapers || Download paper

2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

Full description at Econpapers || Download paper

2019Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

Full description at Econpapers || Download paper

2020The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach. (2020). Xiao, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:173-186.

Full description at Econpapers || Download paper

2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

Full description at Econpapers || Download paper

2018A dynamic Markov regime-switching GARCH model and its cumulative impulse response function. (2018). Kim, Yujin ; Hwang, Eunju. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:20-30.

Full description at Econpapers || Download paper

2019Ergodicity conditions for a double mixed Poisson autoregression. (2019). Demmouche, Nacer ; Aknouche, Abdelhakim. In: Statistics & Probability Letters. RePEc:eee:stapro:v:147:y:2019:i:c:p:6-11.

Full description at Econpapers || Download paper

2018Shipping equity risk behavior and portfolio management. (2018). VISVIKIS, ILIAS ; Kyriakou, Ioannis ; Papapostolou, Nikos C ; Pouliasis, Panos K. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:116:y:2018:i:c:p:178-200.

Full description at Econpapers || Download paper

2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

Full description at Econpapers || Download paper

2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

Full description at Econpapers || Download paper

2018Testing for misspecification in the short-run component of GARCH-type models. (2018). Flachaire, Emmanuel ; Chuffart, Thomas ; Peguin-Feissolle, Anne. In: Post-Print. RePEc:hal:journl:hal-02083772.

Full description at Econpapers || Download paper

2019Active portfolio management in the Andean countries stock markets with Markov-Switching GARCH models. (2019). Alvarez-Garcia, Jose ; Aguilasocho-Montoya, Dora ; de la Torre-Torres, Oscar V. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:601-616.

Full description at Econpapers || Download paper

2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

Full description at Econpapers || Download paper

2018Ergodicity conditions for a double mixed Poisson autoregression. (2018). Aknouche, Abdelhakim ; Demouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:88843.

Full description at Econpapers || Download paper

2018Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:90781.

Full description at Econpapers || Download paper

2018Bayesian MCMC analysis of periodic asymmetric power GARCH models. (2018). Aknouche, Abdelhakim ; Touche, Nassim ; Demmouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:91136.

Full description at Econpapers || Download paper

2019Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process.. (2019). Ibrahim, Omar. In: MPRA Paper. RePEc:pra:mprapa:98091.

Full description at Econpapers || Download paper

2018On Chinese stock markets: How have they evolved over time?. (2018). Giménez-Gómez, José-Manuel ; Cano-Berlanga, Sebastian ; Gimenez-Gomez, Jose-Manuel. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2602-4.

Full description at Econpapers || Download paper

2017Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels. (2017). Correia, Pedro ; Henrique, Pedro . In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-016-0267-0.

Full description at Econpapers || Download paper

2018Mixture periodic GARCH models: theory and applications. (2018). Hamdi, Fayal ; Souam, Said . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1348-9.

Full description at Econpapers || Download paper

2017Assessing the effectiveness of local and global quadratic hedging under GARCH models. (2017). Augustyniak, Maciej ; Simard, Clarence ; Godin, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1305-1318.

Full description at Econpapers || Download paper

2018Bayesian Markov Switching Tensor Regression for Time-varying Networks. (2018). Billio, Monica ; Iacopini, Matteo ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2018:14.

Full description at Econpapers || Download paper

2017On equity risk prediction and tail spillovers. (2017). Papapostolou, Nikos ; Kyriakou, Ioannis ; Pouliasis, Panos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:22:y:2017:i:4:p:379-393.

Full description at Econpapers || Download paper

Works by Markus Haas:


YearTitleTypeCited
2007Volatility Components and Long Memory-Effects Revisited In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2010Skew-Normal Mixture and Markov-Switching GARCH Processes In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article6
2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper16
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2013Time-Varying Mixture GARCH Models and Asymmetric Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper10
2013Time-varying mixture GARCH models and asymmetric volatility.(2013) In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2007Do investors dislike kurtosis? In: Economics Bulletin.
[Full Text][Citation analysis]
article4
2012A Note on the Moments of the Skew-Normal Distribution In: Economics Bulletin.
[Full Text][Citation analysis]
article1
2018A note on the absolute moments of the bivariate normal distribution In: Economics Bulletin.
[Full Text][Citation analysis]
article0
2009Asymmetric multivariate normal mixture GARCH In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article16
2008Asymmetric multivariate normal mixture GARCH.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2016A note on optimal portfolios under regime–switching In: Finance Research Letters.
[Full Text][Citation analysis]
article1
2016A note on optimal portfolios under regime-switching.(2016) In: Annual Conference 2016 (Augsburg): Demographic Change.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2010Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations In: Finance Research Letters.
[Full Text][Citation analysis]
article1
2006Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts In: Journal of Financial Stability.
[Full Text][Citation analysis]
article7
2004Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2005Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2008The autocorrelation structure of the Markov-switching asymmetric power GARCH process In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
2009Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article2
2004Mixed Normal Conditional Heteroskedasticity In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article83
2002Mixed normal conditional heteroskedasticity.(2002) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83
paper
2004A New Approach to Markov-Switching GARCH Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article151
2009Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution In: Applied Economics Letters.
[Full Text][Citation analysis]
article2
2006Modelling and predicting market risk with Laplace-Gaussian mixture distributions In: Applied Financial Economics.
[Full Text][Citation analysis]
article10
2005Modeling and predicting market risk with Laplace-Gaussian mixture distributions.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2006Multivariate normal mixture GARCH In: CFS Working Paper Series.
[Full Text][Citation analysis]
paper3
2008Multivariate regimeswitching GARCH with an application to international stock markets In: CFS Working Paper Series.
[Full Text][Citation analysis]
paper7
2015Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team