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  • Marc Paolella
    Prof. Dr.
    Professor of Empirical Finance

    marc.paolella[at]bf.uzh.ch
    +41 44 634 45 84
    Plattenstr. 22(PLE);  Room G03

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  • Publikationen von Marc Paolella
    Marc Paolella hat derzeit 38 Publikationen online...

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  • Publikationen in akademischen Fachzeitschriften (27)
    Stable Mixture GARCH Models
    Paolella M., Broda S., Haas M., Krause J., Steude S.
    In: Annals of Econometrics (The Journal of Econometrics), 2012
    Evaluating the density of ratios of noncentral quadratic forms in normal variables
    Broda S., Paolella M.
    In: Broda, 2009, pages: 1264-1270
    Asymmetric multivariate normal mixture GARCH
    Paolella M., Haas M., Mittnik S.
    In: Haas, 2009, pages: 2129-2154
    Assessing and improving the performance of nearly efficient unit root tests in small samples
    Broda S., Carstensen K., Paolella M.
    In: Broda, 2009, pages: 468-494
    CHICAGO: A fast and accurate method for portfolio risk calculation
    Broda S., Paolella M.
    In: Broda, 2009, pages: 412-436
    An econometric analysis of emission allowance prices
    Paolella M., Taschini L.
    In: Paolella, 2008, pages: 2022-2032
    Risk Prediction: A DWARF-like Approach
    Steude S., Paolella M.
    In: Paolella, 2008, pages: 25-43
    Uniform saddlepoint approximations for ratios of quadratic forms
    Paolella M., Butler R.
    In: Butler, 2008, pages: 140-154
    Bias-adjusted estimation in the ARX(1) model
    Broda S., Carstensen K., Paolella M.
    In: Broda, 2007, pages: 3355-3367
    Saddlepoint approximations for the doubly noncentral t distribution
    Broda S., Paolella M.
    In: Broda, 2007, pages: 2907-2918
    Value-at-Risk Prediction: A Comparison of Alternative Strategies
    Mittnik S., Paolella M., Kuester K.
    In: Journal of Financial Econometrics, Mar 2006
    Accurate Value-at-Risk Forecasting Based on the Normal-GARCH Model
    Paolella M., Hartz C., Mittnik S.
    In: Computational Statistics and Data Analysis, 2006
    Modeling and Predicting Market Risk With Laplace-Gaussian Mixture Distributions
    Paolella M., Mittnik S., Haas M.
    In: Applied Financial Economics, 2006
    A New Approach to Markov-Switching GARCH Models
    Paolella M., Mittnik S., Haas M.
    In: Journal of Financial Econometrics, 2004
    Mixed Normal Conditional Heteroskedasticity
    Haas M., Mittnik S., Paolella M.
    In: Journal of Financial Econometrics, 2004
    Modeling German Monthly Money Demand
    Paolella M.
    In: Applied Economics Quarterly, 2004
    Computing Moments of Ratios of Quadratic Forms in Normal Variables
    Paolella M.
    In: Computational Statistics and Data Analysis, 2003
    Stationarity of Stable Power-GARCH Processes
    Paolella M., Mittnik S., Rachev S.
    In: Journal of Econometrics, 2002
    Calculating the Density and Distribution Function for the Singly and Doubly Noncentral F
    Paolella M., Butler R.
    In: Statistics and Computing, 2002
    Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios
    Butler R., Paolella M.
    In: Journal of the American Statistical Association, 2002
    Testing the Stable Paretian Assumption
    Paolella M.
    In: Mathematical and Computer Modelling, 2001
    Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates
    Paolella M., Mittnik S.
    In: Journal of Forecasting, 2000
    Diagnosing and Treating the Fat Tails in Financial Returns Data
    Paolella M., Mittnik S., Rachev S.
    In: Journal of Empirical Finance, 2000
    A Simple Estimator for the Characteristic Exponent of the Stable Paretian Distribution
    Paolella M., Mittnik S.
    In: Mathematical and Computer Modelling, 1999
    A Tail Estimator for the Index of the Stable Paretian Distribution
    Paolella M., Mittnik S., Rachev S.
    In: Communications in Statistics-Theory and Methods, 1998
    Unconditional and Conditional Distributional Models for the Nikkei Index
    Paolella M., Mittnik S., Rachev S.
    In: Asia-Pacific Financial Markets, 1998
    Approximate Distributions for the Various Serial Correlograms
    Paolella M., Butler R.
    In: Bernoulli, 1998
    Bücher (4)
    Intermediate Probability: A Computational Approach
    Paolella M.
    Sep 2007, pages: 415
    Fundamental Probability: A Computational Approach
    Paolella M.
    Mar 2006, pages: 488
    Fundamental Statistics: A Compuational Approach
    Paolella M.
    in preparation
    Intermediate Statistics: A Computational Approach
    Paolella M.
    in preparation
    Kapitel oder Artikel in Büchern (6)
    Mixture and Regime-switching GARCH Models
    Paolella M., Haas M.
    In: Handbook of Volatility Models and Their Applications, Apr 2012
    Expected Shortfall for Distributions in Finance
    Broda S., Paolella M.
    In: Statistical Tools for Finance and Insurance, 2011
    Saddlepoint Approximations: A Review and Some New Applications
    Paolella M., Broda S.
    In: Handbook of Computational Statistics, Berlin, 2011
    On Median Unbiased Inference for First Order Autoregressive Models
    Carstensen K., Paolella M.
    In: Contributions to Modern Econometrics: From Data Analysis to , 2003
    Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
    Paolella M., Mittnik S.
    In: Handbook of Heavy Tailed Distributions in Finance, North-Holland, 2003
    Stable Paretian Modeling in Finance: Some Empirical and Theoretical Aspects
    Mittnik S., Paolella M., Rachev S.
    In: A Practical Guide to Heavy Tailed Data, Boston, MA, 1998, pages: 79 - 110
    Andere Publikation (1)
    Review: Financial Modeling Under Non-Gaussian Assumption
    Paolella M.
    In: Journal of the American Statistical Association, 2009