Markus Haas : Citation Profile

Are you Markus Haas?

Christian-Albrechts-Universität Kiel

8

H index

7

i10 index

428

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 26
   Journals where Markus Haas has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 15 (3.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha387
   Updated: 2023-08-19    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)

Alexander, Carol (10)

Stentoft, Lars (10)

Hafner, Christian (9)

Maheu, John (8)

Cheung, Yin-Wong (7)

Funke, Michael (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)

Timmermann, Allan (8)

Zakoian, Jean-Michel (8)

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
The 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 (2022 and 2021)

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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2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

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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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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022Stationarity and ergodicity of Markov switching positive conditional mean models. (2022). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459.

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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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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.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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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.

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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.

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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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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.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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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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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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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.

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2021Ethical and unethical investments under extreme market conditions. (2021). Troster, Victor ; Kang, Sang Hoon ; Uddin, Gazi Salah ; Rholm, Anna ; Olofsson, Petter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002726.

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2022How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241.

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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.

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2022A closed-form estimator for the Markov switching in mean model. (2022). Shi, Yanlin. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001884.

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2022COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?. (2022). Masih, Abul ; Chowdhury, Mohammad Ashraful ; Abdullah, Mohammad ; Ferdous, Mohammad Ashraful. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001639.

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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.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
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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2021Regime-switching energy price volatility: The role of economic policy uncertainty. (2021). Etienne, Xiaoli L ; Scarcioffolo, Alexandre R. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:336-356.

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2022Policy suggestions from a simple framework with extreme outcomes. (2022). Mamun, Khawaja A ; Jaffee, Dwight ; Chollete, Loran. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:374-398.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2022On the volatility of cryptocurrencies. (2022). Stengos, Thanasis ; Papapanagiotou, Georgios ; Panagiotidis, Theodore. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s027553192200112x.

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2022How Perceived Organizational Support, Identification with Organization and Work Engagement Influence Job Satisfaction: A Gender-Based Perspective. (2022). Marques, Carla Susana ; Galvo, Anderson Rei ; Mascarenhas, Carla. In: Administrative Sciences. RePEc:gam:jadmsc:v:12:y:2022:i:2:p:66-:d:828762.

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2021A Finite Mixture GARCH Approach with EM Algorithm for Energy Forecasting Applications. (2021). Qu, Xiuli ; Peng, Yidong ; Zhang, Yang ; Erdem, Ergin ; Shi, Jing. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:9:p:2352-:d:540432.

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2021Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula. (2021). Muteba Mwamba, John Weirstrass ; Mwambi, Sutene Mwambetania. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:2:p:30-:d:566104.

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2022Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation. (2022). Mittnik, Stefan ; Kim, Youngshin ; Peng, Cheng. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:230-:d:821738.

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2022On the volatility of cryptocurrencies. (2022). Stengos, Thanasis ; Papapanagiotou, Georgios ; Panagiotidis, Theodore. In: Working Papers. RePEc:gue:guelph:2022-02.

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2022Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan. (2022). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09343-7.

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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.

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2022Energy commodities: A study on model selection for estimating Value-at-Risk. (2022). Pinho, Carlos ; Amaro, Raphael. In: Applied Econometrics. RePEc:ris:apltrx:0456.

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2021The new international regulation of market risk: Roles of VaR and CVaR in model validation. (2021). Dionne, Georges ; Hassani, Samir Saissi. In: Working Papers. RePEc:ris:crcrmw:2020_003.

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2022Nordic stock market performance of the travel and leisure industry during the first wave of Covid-19 pandemic. (2022). Falk, Martin ; Lin, Xiang. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:5:p:1240-1257.

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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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2021Statistical inference for mixture GARCH models with financial application. (2021). Cavicchioli, Maddalena. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:4:d:10.1007_s00180-021-01092-5.

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2021Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period. (2021). Jeribi, Ahmed ; Ghorbel, Achraf. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00181-6.

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2021The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries. (2021). Sahabi, Bahram ; Zolfaghari, Mehdi. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00413-0.

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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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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.

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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.
[Full Text][Citation analysis]		article2
2010Skew-Normal Mixture and Markov-Switching GARCH Processes In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article1
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper18
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		article
2013Time-Varying Mixture GARCH Models and Asymmetric Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
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: 12		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]		article20
2008Asymmetric multivariate normal mixture GARCH.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2016A note on optimal portfolios under regime–switching In: Finance Research Letters.
[Full Text][Citation analysis]		article2
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: 2		paper
2010Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations In: Finance Research Letters.
[Full Text][Citation analysis]		article2
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: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article98
2002Mixed normal conditional heteroskedasticity.(2002) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 98		paper
2004A New Approach to Markov-Switching GARCH Models In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article220
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.
[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 In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2
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]		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.
[Full Text][Citation analysis]		paper1

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