Resource title

Multivariate regimeswitching GARCH with an application to international stock markets

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Resource description

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.

Resource author

Markus Haas, Stefan Mittnik

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25543

Resource license

Adapt according to the presented license agreement and reference the original author.