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 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. JEL Classification: C32, C51, G10, G11
| Author: | Markus Haas, Stefan Mittnik |
|---|---|
| URN: | urn:nbn:de:hebis:30-53250 |
| Series (Serial Number) | CFS working paper series (2008, 08) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 03.03.2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | Conditional Volatility ; Markov–Switching ; Multivariate GARCH |
| HeBIS PPN: | 195436113 |
| Institutes: | Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
