Overview
Markus Haas is a financial econometrician (University of Kiel; formerly University of Munich) working on volatility modelling, regime-switching and mixture models, and risk measurement.
Key Contributions / Features
- Markov-switching GARCH (Haas-Mittnik-Paolella 2004): co-developed the parallel, path-independent regime-specific variance model that made MS-GARCH exactly estimable by ML (Markov-Switching GARCH).
- Work on mixed-normal (mixture) GARCH and the dynamic properties of switching volatility processes.
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