Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25543
Authors: 
Haas, Markus
Mittnik, Stefan
Year of Publication: 
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
Markov–Switching
Multivariate GARCH
JEL: 
C32
C51
G10
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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