Markus Haas : Citation Profile

Christian-Albrechts-Universität Kiel

8

H index

7

i10 index

463

Citations

RESEARCH PRODUCTION:

19

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 28
   Journals where Markus Haas has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 15 (3.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha387
   Updated: 2025-04-12    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)

Funke, Michael (6)

Cites to:

Bauwens, Luc (28)

Engle, Robert (28)

Bollerslev, Tim (23)

Teräsvirta, Timo (19)

Laurent, Sébastien (17)

Rombouts, Jeroen (15)

Mittnik, Stefan (11)

Lazar, Emese (9)

Guidolin, Massimo (9)

Zakoian, Jean-Michel (8)

Timmermann, Allan (8)

Main data

Production by document typechapterpaperarticle20022003200420052006200720082009201020112012201320142015201620172018052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20022003200420052006200720082009201020112012201320142015201620172018010203040Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received200420052006200720082009201020112012201320142015201620172018201920202021202220232024202502040Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year200220032004200520062007200820092010201120122013201420152016201720180100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents123456789100100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Markus Haas has published?

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

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

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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

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

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

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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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Works by Markus Haas:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article2
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper19
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		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]		article243
In: .
[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]		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]		paper2

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