Markus Haas : Citation Profile

Christian-Albrechts-Universität Kiel

8

H index

7

i10 index

474

Citations

RESEARCH PRODUCTION:

19

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 29
   Journals where Markus Haas has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 15 (3.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha387
   Updated: 2026-01-17    RAS profile: 2025-02-07    
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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 (33)

Rombouts, Jeroen (24)

Dufays, Arnaud (13)

Mittnik, Stefan (13)

Hafner, Christian (11)

Alexander, Carol (10)

Stentoft, Lars (10)

Lazar, Emese (9)

Maheu, John (8)

Cheung, Yin-Wong (7)

Pouliasis, Panos (6)

Cites to:

Bauwens, Luc (28)

Engle, Robert (28)

Bollerslev, Tim (23)

Teräsvirta, Timo (19)

Laurent, Sébastien (17)

Rombouts, Jeroen (15)

Mittnik, Stefan (11)

Guidolin, Massimo (9)

Lazar, Emese (9)

Hafner, Christian (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
Journal of Financial Econometrics2
Statistics & Probability Letters2
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 (2025 and 2024)

YearTitle of citing document
2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2024Modelling financial returns with mixtures of generalized normal distributions. (2024). Duttilo, Pierdomenico. In: Papers. RePEc:arx:papers:2411.11847.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

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2025The Theoretical Properties of Novel Risk-Based Asset Allocation Strategies using Portfolio Volatility and Kurtosis. (2025). Riso, Luigi ; Braga, Maria Debora ; Zoia, Maria Grazia. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0044.

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2024The functional central limit theorem for Markov-switching GARCH model. (2024). Lee, Oesook ; Kwon, Dream. In: Economics Letters. RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524002118.

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2024Markovian analysis of U.S. Treasury volatility: Asymmetric responses to macroeconomic announcements. (2024). Pasini, Simona ; Guarniero, Pieralberto ; Gigante, Gimede. In: Economics Letters. RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524002064.

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2025News sentiment and investment risk management: Innovative evidence from the large language models. (2025). Liu, Tong ; Shi, Yanlin. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006086.

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2025Penalized estimation of finite mixture models. (2025). Budanova, Sofya. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000120.

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2024The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Hasanov, Akram ; Khajimuratov, Nizomjon Shukurullaevich ; Qizi, Madina Mansur ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062.

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2025Within-regime volatility dynamics for observable- and Markov-switching score-driven models. (2025). Blazsek, Szabolcs ; Shadoff, Samantha R ; Kong, Dejun. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401660x.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2025Forecasting CPI inflation under economic policy and geopolitical uncertainties. (2025). Chakraborty, Tanujit ; Sengupta, Shovon ; Singh, Sunny Kumar. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:953-981.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2024The energy transition: The behavior of renewable energy stock during the times of energy security uncertainty. (2024). Uddin, Gazi ; Okhrin, Yarema ; Igeland, Philip ; Yahya, Muhammad ; Schroeder, Leon. In: Renewable Energy. RePEc:eee:renene:v:221:y:2024:i:c:s0960148123016610.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Quantum Majorization in Market Crash Prediction. (2024). Oosterlee, Cornelis W ; Cirillo, Pasquale ; Souto, Luis A ; Montana, Rhet J. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:204-:d:1545469.

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2024Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm. (2024). Liang, Rubing ; Xia, Qiang ; Qin, Binbin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10337-4.

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2024The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America. (2024). Dima, Tefana Maria. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:3:d:10.1007_s10663-024-09618-y.

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2024Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456.

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2024Periodically homogeneous Markov chains: The discrete state space case. (2024). Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:122287.

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2025On using fuzzy clustering for detecting the number of states in Markov switching models. (2025). Domianello, Luca Scaffidi ; Otranto, Edoardo. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:3:d:10.1007_s10479-025-06585-w.

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2024Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?. (2024). Barreto, Abdinardo Moreira ; Mandal, Anandadeep ; Power, Gabriel J. In: Annals of Data Science. RePEc:spr:aodasc:v:11:y:2024:i:2:d:10.1007_s40745-022-00446-0.

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2024Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis. (2024). Kayal, Parthajit ; Dutta, Sumanjay. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00104-x.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024Predicting tail risks by a Markov switching MGARCH model with varying copula regimes. (2024). Fulle, Markus J ; Herwartz, Helmut. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2163-2186.

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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]		article3
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]		article2
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper20
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2013Time-Varying Mixture GARCH Models and Asymmetric Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper13
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 nother version. Agregated cites: 13		article
2007Do investors dislike kurtosis? In: Economics Bulletin.
[Full Text][Citation analysis]		article6
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 nother 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 nother 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 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.
[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]		article103
2002Mixed normal conditional heteroskedasticity.(2002) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 103		paper
2004A New Approach to Markov-Switching GARCH Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article251
Improved duration-based backtesting of value-at-risk In: Journal of Risk.
[Full Text][Citation analysis]		article0
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]		article3
2006Modelling and predicting market risk with Laplace-Gaussian mixture distributions In: Applied Financial Economics.
[Full Text][Citation analysis]		article13
2005Modeling and predicting market risk with Laplace-Gaussian mixture distributions.(2005) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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]		paper11
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]		paper2

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