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Modelling and predicting market risk with Laplace-Gaussian mixture distributions
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Applied financial economics 16 (2006) 15, pp. 1145-1162
Persistent link: https://www.econbiz.de/10003385575
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Volatility components and long memory-effects revisited
Haas, Markus - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10009513029
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Skew-normal mixture and Markov-switching GARCH processes
Haas, Markus - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-54
Persistent link: https://www.econbiz.de/10009515142
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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
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Stock market, interest rate and output : a model and estimation for US time series data
Chiarella, Carl; Mittnik, Stefan; Semmler, Willi; Zhu, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 1
Persistent link: https://www.econbiz.de/10001790001
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Detecting asymmetries in observed linear time series and unobserved disturbances
Kurz-Kim, Jeong-Ryeol (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 3, pp. 131-143
Persistent link: https://www.econbiz.de/10001769628