Markus J. Fülle

University of Goettingen (Göttingen)

Platz der Gottinger Sieben 3

Gottingen, D-37073

Germany

  • University of Goettingen (Göttingen)

SCHOLARLY PAPERS

4

DOWNLOADS

249

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  Risk forecasting with Vine copulas  ”

  • University of Goettingen (Göttingen)

Scholarly Papers (4)

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1.

BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series

Number of pages: 35 Posted: 09 Dec 2022 Last Revised: 16 Dec 2022
Markus J. Fülle, Alexander Lange, Christian Hafner and Helmut Herwartz
University of Goettingen (Göttingen), University of Goettingen (Göttingen), Catholic University of Louvain (UCL) - School of Statistics and University of Goettingen (Göttingen)
Downloads 89 (433,803)

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BEKK Model, Multivariate GARCH, Leverage Effect, Value-At-Risk, Impulse Response Functions, R

2.

Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

Number of pages: 34 Posted: 09 Jun 2022 Last Revised: 02 Jan 2023
Markus J. Fülle and Helmut Herwartz
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 69 (505,910)

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Copula, MGARCH, Markov Switching, Forecasting, VaR, Expected Shortfall

3.

Is Gold Always a Safe-Haven? Evidence from a Novel Markov-Switching Multivariate GARCH Model with Copula-Distributed Innovations

Number of pages: 59 Posted: 18 Nov 2021 Last Revised: 29 Aug 2022
Markus J. Fülle and Helmut Herwartz
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 61 (538,795)

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Copula, multivariate GARCH models, Markov switching, safe-haven, gold, stock market

4.

Spatial GARCH Models for Unknown Spatial Locations - An Application to Financial Stock Returns

Number of pages: 20 Posted: 17 Oct 2022
Markus J. Fülle and Philipp Otto
University of Goettingen (Göttingen) and Leibniz University Hannover
Downloads 30 (702,213)

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Spatial GARCH, spatial weight matrix, stock returns, balance sheet, funancial risk spillover, unknown locations