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http://hdl.handle.net/10419/25543
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| Title: | | Multivariate regimeswitching GARCH with an application to international stock markets  |
| Authors: | | Haas, Markus Mittnik, Stefan |
| Issue Date: | | 2008 |
| Series/Report no.: | | CFS Working Paper 2008/08 |
| Abstract: | | 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. |
| Subjects: | | Conditional Volatility MarkovSwitching Multivariate GARCH |
| JEL: | | C32 C51 G10 G11 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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