TY  - UNPD
A1  - Haas, Markus
A1  - Mittnik, Stefan
T1  - Multivariate regime–switching GARCH with an application to international stock markets
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,08
N2  - 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.
T3  - CFS working paper series - 2008, 08 
KW  - Conditional Volatility
KW  - Markov–Switching
KW  - Multivariate GARCH
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/222
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-53250
IS  - Version January 2008
ER  -