Markus Haas : Citation Profile


Are you Markus Haas?

Christian-Albrechts-Universität Kiel

8

H index

7

i10 index

433

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 27
   Journals where Markus Haas has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 15 (3.35 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha387
   Updated: 2024-01-16    RAS profile: 2021-08-02    
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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 (13)

Mittnik, Stefan (13)

Stentoft, Lars (10)

Alexander, Carol (10)

Hafner, Christian (9)

Maheu, John (8)

Cheung, Yin-Wong (7)

Pouliasis, Panos (6)

Su, EnDer (6)

Cites to:

Engle, Robert (29)

Bauwens, Luc (28)

Bollerslev, Tim (23)

Teräsvirta, Timo (19)

Laurent, Sébastien (17)

Rombouts, Jeroen (15)

Mittnik, Stefan (12)

Guidolin, Massimo (9)

Hafner, Christian (8)

Zakoian, Jean-Michel (8)

Timmermann, Allan (8)

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
The 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 (2024 and 2023)


YearTitle of citing document
2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Portfolio 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.

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2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2023Anomalous diffusion and long-range memory in the scaled voter model. (2023). Kononovicius, Aleksejus ; Kazakevivcius, Rytis. In: Papers. RePEc:arx:papers:2301.08088.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023.

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2023Regime switching models for circular and linear time series. (2023). Harvey, Andrew ; Palumbo, Dario. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392.

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2023Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207.

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2023Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

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2023Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030.

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2023Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Zhou, Biao ; Tang, Decai. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6.

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2023Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2023Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

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2023Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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Works by Markus Haas:


YearTitleTypeCited
2007Volatility Components and Long Memory-Effects Revisited In: Studies in Nonlinear Dynamics & Econometrics.
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article2
2010Skew-Normal Mixture and Markov-Switching GARCH Processes In: Studies in Nonlinear Dynamics & Econometrics.
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article8
2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
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paper18
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 18
article
2013Time-Varying Mixture GARCH Models and Asymmetric Volatility In: Swiss Finance Institute Research Paper Series.
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paper13
2013Time-varying mixture GARCH models and asymmetric volatility.(2013) In: The North American Journal of Economics and Finance.
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This paper has nother version. Agregated cites: 13
article
2007Do investors dislike kurtosis? In: Economics Bulletin.
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article5
2012A Note on the Moments of the Skew-Normal Distribution In: Economics Bulletin.
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article1
2018A note on the absolute moments of the bivariate normal distribution In: Economics Bulletin.
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article0
2009Asymmetric multivariate normal mixture GARCH In: Computational Statistics & Data Analysis.
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article20
2008Asymmetric multivariate normal mixture GARCH.(2008) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 20
paper
2016A note on optimal portfolios under regime–switching In: Finance Research Letters.
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article2
2016A note on optimal portfolios under regime-switching.(2016) In: VfS Annual Conference 2016 (Augsburg): Demographic Change.
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This paper has nother version. Agregated cites: 2
paper
2010Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations In: Finance Research Letters.
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article2
2006Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts In: Journal of Financial Stability.
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article7
2004Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts.(2004) In: Departmental Working Papers.
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This paper has nother 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 nother version. Agregated cites: 7
paper
2008The autocorrelation structure of the Markov-switching asymmetric power GARCH process In: Statistics & Probability Letters.
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article0
2009Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes In: Statistics & Probability Letters.
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article2
2004Mixed Normal Conditional Heteroskedasticity In: The Journal of Financial Econometrics.
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article98
2002Mixed normal conditional heteroskedasticity.(2002) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 98
paper
2004A New Approach to Markov-Switching GARCH Models In: The Journal of Financial Econometrics.
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article223
2009Portfolio Selection with Common Correlation Mixture Models In: Contributions to Economics.
[Citation analysis]
chapter2
2009Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution In: Applied Economics Letters.
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article2
2006Modelling and predicting market risk with Laplace-Gaussian mixture distributions In: Applied Financial Economics.
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article10
2005Modeling and predicting market risk with Laplace-Gaussian mixture distributions In: CFS Working Paper Series.
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paper2
2006Multivariate normal mixture GARCH In: CFS Working Paper Series.
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paper3
2008Multivariate regimeswitching GARCH with an application to international stock markets In: CFS Working Paper Series.
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paper10
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.
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paper2

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