Markus Haas : Citation Profile


Are you Markus Haas?

Christian-Albrechts-Universität Kiel

7

H index

6

i10 index

349

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 21
   Journals where Markus Haas has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 14 (3.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha387
   Updated: 2021-10-16    RAS profile: 2021-08-02    
   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)

Mittnik, Stefan (9)

Hafner, Christian (9)

Cheung, Yin-Wong (7)

Alexander, Carol (7)

Funke, Michael (6)

Maheu, John (6)

Pouliasis, Panos (5)

Cites to:

Engle, Robert (21)

Teräsvirta, Timo (18)

Rombouts, Jeroen (13)

Bollerslev, Tim (13)

Bauwens, Luc (12)

Granger, Clive (12)

Mittnik, Stefan (11)

Laurent, Sébastien (11)

Timmermann, Allan (8)

Guidolin, Massimo (8)

McAleer, Michael (6)

Main data


Where Markus Haas has published?


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

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 (2021 and 2020)


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

Full description at Econpapers || Download paper

2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

Full description at Econpapers || Download paper

2020Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020). Kim, Young Shin ; Peng, Cheng. In: Papers. RePEc:arx:papers:2009.11367.

Full description at Econpapers || Download paper

2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

Full description at Econpapers || Download paper

2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Ka, Charles ; Chang, Kuang-Liang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_004.

Full description at Econpapers || Download paper

2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

Full description at Econpapers || Download paper

2021Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563.

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

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

2020Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2020). Ferreiro, Javier Ojea. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030116x.

Full description at Econpapers || Download paper

2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

Full description at Econpapers || Download paper

2021News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models. (2021). Ho, Kin-Yip ; Shi, Yanlin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309961.

Full description at Econpapers || Download paper

2020Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826.

Full description at Econpapers || Download paper

2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

Full description at Econpapers || Download paper

2020Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Ho, Kin-Yip ; Gao, Guangyuan ; Shi, Yanlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

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

2020A Characterization of CAT Bond Performance Indices. (2020). Godin, Frederic ; Lai, Van Son ; Trottier, Denis-Alexandre. In: Working Papers. RePEc:ipg:wpaper:2020-008.

Full description at Econpapers || Download paper

2020Markov Regime-Switching in-Mean Model with Tempered Stable Distribution. (2020). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:4:d:10.1007_s10614-019-09882-2.

Full description at Econpapers || Download paper

2020Impacts of Covid-19 Pandemic and Persistence of Volatility in the Returns of the Brazilian Stock Exchange: An Application of the Markov Regime Switching GARCH (MRS-GARCH) Model. (2020). Gonalves, Carlos Alberto. In: International Journal of Applied Economics, Finance and Accounting. RePEc:oap:ijaefa:2020:p:62-72.

Full description at Econpapers || Download paper

2021Testing for the Number of Regimes in Financial Time Series GARCH Volatility. (2021). Tahiri, Abdellah ; Mamode, Naushad Ali ; Bouzahir, Hassane ; Benaid, Brahim. In: International Journal of Applied Economics, Finance and Accounting. RePEc:oap:ijaefa:2021:p:82-94.

Full description at Econpapers || Download paper

2020Stationarity and ergodicity of Markov switching positive conditional mean models. (2020). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:102503.

Full description at Econpapers || Download paper

2020Markov switching asymmetric GARCH model: stability and forecasting. (2020). Alemohammad, N ; Alizadeh, S H ; Rezakhah, S. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:3:d:10.1007_s00362-018-0992-2.

Full description at Econpapers || Download paper

2021Cryptocurrencies value?at?risk and expected shortfall: Do regime?switching volatility models improve forecasting?. (2021). MacIel, Leandro. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4840-4855.

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]
article0
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]
paper11
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: 11
article
2007Do investors dislike kurtosis? In: Economics Bulletin.
[Full Text][Citation analysis]
article5
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: VfS 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]
article87
2002Mixed normal conditional heteroskedasticity.(2002) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87
paper
2004A New Approach to Markov-Switching GARCH Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article172
2009Portfolio Selection with Common Correlation Mixture Models In: Contributions to Economics.
[Citation analysis]
chapter0
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]
article11
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: 11
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: VfS 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 March, 2 2021. Contact: CitEc Team