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Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data

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Time variations and covariations in the expectation and volatility of stock market returns

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Dynamic mixture models for financial time series

Haas, Markus - 2004 - 1. Aufl.

Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...

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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

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The application of multivariate GARCH models to turbulent financial markets

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