Multivariate regimeswitching GARCH with an application to international stock markets

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection and computation of Value-at-Risk.

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Year of publication:	2008
Authors:	Haas, Markus ; Mittnik, Stefan
Publisher:	Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS)
Subject:	ARCH-Modell \| Multivariate Analyse \| Markovscher Prozess \| Volatilität \| Theorie \| Schätzung \| Kapitalertrag \| Börsenkurs \| Value at Risk \| USA \| Deutschland \| Großbritannien \| Conditional Volatility \| Markov-Switching \| Multivariate GARCH

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Series:	CFS Working Paper ; 2008/08
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	559763263 [GVK] hdl:10419/25543 [Handle] RePEc:zbw:cfswop:200808 [RePEc]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G10 - General Financial Markets. General ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010298391