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Prof. Dr. Marc Paolella - Publications

Professor of Empirical Finance

@alleloap.crambf.uzh.ch
PLM-H304A, Plattenstr. 14, 8032 Zürich
+41 44 634 45 84
CV vCard Details Team Teaching Publications Supervised theses Conferences

Journal Articles (34)

COMFORT: A common market factor non-Gaussian returns model
Marc Paolella, Pawel Polak
In: Journal of Econometrics, Vol. 187 (No. 2), p. 593-605, August 2015.


Multivariate asset return prediction with mixture models
Marc Paolella
In: European Journal of Finance, Vol. 21 (No. 13-14), p. 1214-1252, January 2015.


ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails
Marc Paolella, Pawel Polak
In: International Review of Economics and Finance, Vol. 40 (No. 10-27), p. 282-297, 2015.


New Graphical Methods and Test Statistics for Testing Composite Normality
Marc Paolella
In: Econometrics, Vol. 3 (No. 3), p. 532-560, 2015.


Fast methods for large-scale non-elliptical portfolio optimization
Marc Paolella
In: Annals of Financial Economics, Vol. 9 (No. 2), p. 1-32, September 2014.


A fast, accurate method for value-at-risk and expected shortfall
Jochen Krause, Marc Paolella
In: Econometrics, Vol. 2 (No. 2), p. 98-122, June 2014.


Time-varying mixture GARCH models and asymmetric volatility
Markus Haas, Jochen Krause, Marc Paolella, Sven Christian Steude
In: North American Journal of Economics and Finance, Vol. 26, p. 602-623, 2013.


Stable mixture GARCH models
Simon Broda, Markus Haas, Jochen Krause, Marc Paolella, Sven Christian Steude
In: Journal of Econometrics, Vol. 172 (No. 2), p. 292-306, 2013.


Evaluating the density of ratios of noncentral quadratic forms in normal variables
Simon Broda, Marc Paolella
In: Computational Statistics and Data Analysis, Vol. 53 (No. 4), p. 1264-1270, February 2009.


Asymmetric multivariate normal mixture GARCH
Markus Haas, Stefan Mittnik, Marc Paolella
In: Computational Statistics and Data Analysis, Vol. 53 (No. 6), p. 2129-2154, January 2009.


Assessing and improving the performance of nearly efficient unit root tests in small samples
Simon Broda, Kai Carstensen, Marc Paolella
In: Econometric Reviews, Vol. 28 (No. 5), p. 468-494, 2009.


CHICAGO: A fast and accurate method for portfolio risk calculation
Simon Broda, Marc Paolella
In: Journal of Financial Econometrics, Vol. 7 (No. 4), p. 412-436, 2009.


An econometric analysis of emission allowance prices
Marc Paolella, Luca Taschini
In: Journal of Banking and Finance, Vol. 32 (No. 10), p. 2022-2032, October 2008.


Risk Prediction: A DWARF-like Approach
Marc Paolella, Sven Christian Steude
In: The Journal of Risk Model Validation, Vol. 2 (No. 1), p. 25-43, 2008.


Uniform saddlepoint approximations for ratios of quadratic forms
Ronald W Butler, Marc Paolella
In: Bernoulli, Vol. 14 (No. 1), p. 140-154, 2008.


Bias-adjusted estimation in the ARX(1) model
Simon Broda, Marc Paolella, Kai Carstensen
In: Computational Statistics and Data Analysis, Vol. 51 (No. 7), p. 3355-3367, April 2007.


Saddlepoint approximations for the doubly noncentral t distribution
Simon Broda, Marc Paolella
In: Computational Statistics and Data Analysis, Vol. 51 (No. 6), p. 2907-2918, March 2007.


Value-at-risk prediction: A comparison of alternative strategies
Keith Kuester, Stefan Mittnik, Marc Paolella
In: Journal of Financial Econometrics, Vol. 4 (No. 1), p. 53-89, 2006.


Accurate value-at-risk forecasting based on the Normal-GARCH model
Marc Paolella, Christoph Hartz, Stefan Mittnik
In: Computational Statistics & Data Analysis, Vol. 51 (No. 4), p. 2295-2312, 2006.


Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Marc Paolella, Markus Haas, Stefan Mittnik
In: Applied Financial Economics, Vol. 16 (No. 15), p. 1145-1162, 2006.


A new approach to markov-switching GARCH models
Marc Paolella, Markus Haas, Stefan Mittnik
In: Journal of Financial Econometrics, Vol. 2 (No. 4), p. 493-530, 2004.


Modeling higher frequency macroeconomic data: an application to German monthly money demand
Marc Paolella
In: Applied Economics Quarterly (Konjunkturpolitik), Vol. 50 (No. 2), 2004.


Mixed normal conditional heteroskedasticity
Marc Paolella, Markus Haas, Stefan Mittnik
In: Journal of Financial Econometrics, Vol. 2 (No. 2), p. 211-250, 2004.


Computing moments of ratios of quadratic forms in normal variables
Marc Paolella
In: Computational Statistics & Data Analysis, Vol. 42 (No. 3), p. 313-331, 2003.


Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios
Marc Paolella, R W Butler
In: Journal of the American Statistical Association, Vol. 97 (No. 459), p. 836-846, 2002.


Calculating the density and distribution function for the singly and doubly noncentral F
Marc Paolella, R W Butler
In: Statistics and Computing, Vol. 12 (No. 1), p. 9-16, 2002.


Stationarity od stable power-GARCH processes
Marc Paolella, Stefan Mittnik, S Rachev
In: Journal of Econometrics, Vol. 106 (No. 1), p. 97-107, 2002.


Testing the stable paretian assumption
Marc Paolella
In: Mathematical and Computer Modelling, Vol. 34, 2001.


Diagnosing and treating the fat tails in financial returns data
Marc Paolella, Stefan Mittnik, S Rachev
In: Journal of Empirical Finance, Vol. 7 (No. 3-4), p. 389-416, 2000.


Conditional density and value-at-risk prediciton of Asian currency exchange rates
Marc Paolella, Stefan Mittnik
In: Journal of Forecasting, Vol. 19 (No. 4), p. 313-333, 2000.


A simple estimator for the characteristic exponent of the stable paretian distribution
Marc Paolella, Stefan Mittnik
In: Mathematical and Computer Modelling, Vol. 29, 1999.


Approximate distributions for the various serial correlograms
Marc Paolella, R W Butler
In: Bernoulli, Vol. 4 (No. 4), p. 497-518, 1998.


Unconditional and conditional distributional models for the Nikkei index
Marc Paolella, Stefan Mittnik, S Rachev
In: Asia - Pacific Financial Markets, Vol. 5 (No. 2), p. 99-128, 1998.


A tail estimator for the index of the stable paretian distribution
Marc Paolella, Stefan Mittnik, S Rachev
In: Communications in Statistics. Theory and Methods, Vol. 27 (No. 5), p. 1239-1262, 1998.


Books (4)

Fundamental statistics: a computational approach
Marc Paolella
Epub ahead of print, 2013.


Intermediate statistics: a computational approach
Marc Paolella
Epub ahead of print, 2013.


Intermediate Probability: A Computational Approach
Marc Paolella
West Sussex, England, 2007.


Fundamental Probability: A Computational Approach
Marc Paolella
West Sussex, England, 2006.


Book Chapters (6)

Mixture and regime-switching GARCH models
Marc Paolella, Markus Haas
Editor(s): Luc Bauwens, Christian M Hafner, Sebastian Laurent
In: Handbook of volatility models and their applications, Wiley, Hoboken, NJ, p. 71-102, June 2012.


Saddlepoint approximations: A review and some new applications
Marc Paolella, Simon Broda
Editor(s): James E Gentle, Wolfgang K Härdle, Yuichi Mori
In: Handbook of Computational Statistics : Concepts and Methods, Springer Verlag, Berlin, p. 953-984, 2012.


Expected shortfall for distributions in finance
Marc Paolella, Simon Broda
Editor(s): Pavel Cizek, Wolfgang K Härdle, Rafal Weron
In: Statistical Tools for Finance and Insurance, Springer, Berlin / Heidelberg, p. 57-99, 2011.


Prediciton of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Marc Paolella, Stefan Mittnik
Editor(s): S Rachev
In: Handbook of Heavy-Tailed Distributions in Finance, Elsevier North–Holland, Amsterdam, p. 387-403, 2003.


On Median Unbiased Inference for First Order Autoregressive Models
Marc Paolella, K Carstensen
Editor(s): Ingo Klein, Stefan Mittnik
In: Contributions to Modern Econometrics: From Data Analysis to Economic Policy, Kluwer Academic Publishers, New York, p. 23-38, 2003.


Stable Paretian Modeling in Finance: Some Empirical and Theoretical Aspects
Marc Paolella, Stefan Mittnik, S Rachev
Editor(s): R Adler, R Feldmann, M Taqqu
In: A Practical Guide to Heavy Tailed Data, Birkhäuser, Bosotn, p. 79-93, 1998.


Working Papers (1)

ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails
Marc Paolella
Swiss Finance Institute Research Paper, No. 10-27, 2010.