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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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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