Access Statistics for Markus Haas

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts	0	3	11	45	5	17	42	216
Assessing Central Bank Credibility During the ERM Crises: Comparing Option and Spot Market-Based Forecasts	2	2	12	68	1	6	45	250
Asymmetric Multivariate Normal Mixture GARCH	3	10	25	25	7	19	41	41
Multivariate Normal Mixture GARCH	4	9	54	92	6	17	111	213
Multivariate Regime–Switching GARCH with an Application to International Stock Markets	4	17	86	86	9	28	65	65
While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many attractive properties. This paper investigates two methods of combining them and their use in modeling and predicting financial risk. Based on 25 daily stock return series, the empirical results indicate that the new models offer a plausible description of the data. They are also shown to be competitive with, or superior to, use of the hyperbolic distribution, which has gained some popularity in asset-return modeling and, in fact, also nests the Gaussian and Laplace	1	3	18	22	7	16	61	100
Total Working Papers	14	44	206	338	35	103	365	885

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A New Approach to Markov-Switching GARCH Models	5	18	74	133	9	33	118	226
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts	1	2	4	10	6	15	28	48
Do investors dislike kurtosis?	2	8	31	49	9	25	103	156
Mixed Normal Conditional Heteroskedasticity	4	9	28	62	15	62	139	244
Modelling and predicting market risk with Laplace--Gaussian mixture distributions	1	1	11	23	4	11	41	84
Volatility Components and Long Memory-Effects Revisited	0	2	8	8	1	11	31	31
Total Journal Articles	13	40	156	285	44	157	460	789

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Statistics updated 2008-08-03