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Title:Multivariate regimeswitching GARCH with an application to international stock markets PDF Logo
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
Multivariate GARCH
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-53250
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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