Multivariate regime–switching 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 illustr
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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Metadaten
Author:Markus Haas, Stefan Mittnik
URN:urn:nbn:de:hebis:30-53250
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,08
Series (Serial Number):CFS working paper series (2008, 08)
Document Type:Working Paper
Language:English
Year of Completion:2008
Year of first Publication:2008
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2008/03/03
Tag:Conditional Volatility; Markov–Switching; Multivariate GARCH
Issue:Version January 2008
Pagenumber:48
HeBIS PPN:195436113
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C51 Model Construction and Estimation
G10 General
G11 Portfolio Choice; Investment Decisions
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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