Hot Links
Akkreditierung

  • Marc Paolella
    Prof. Dr.
    Professor of Empirical Finance

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

    Details  Team  Teaching  Research Projects  


  • Publications from Marc Paolella
    Marc Paolella currently has 33 publications online...

    To find publications from other authors, please use the search mask in Publications
     
  • Publications in academic journals (29)
    Time-varying Mixture GARCH Models and Asymmetric Volatility
    Haas M., Krause J., Paolella M., Steude S.
    In: North American Journal of Economics and Finance, forthcoming, 2013
    Multivariate Asset Return Prediction with Mixture Models
    Paolella M.
    In: European Journal of Finance, forthcoming, 2013
    Stable Mixture GARCH Models
    Broda S., Haas M., Krause J., Paolella M., Steude S.
    In: Annals of Econometrics (The Journal of Econometrics), 2012
    Evaluating the density of ratios of noncentral quadratic forms in normal variables
    Paolella M., Broda S.
    In: Computational Statistics and Data Analysis, 2009, pages: 1264-1270
    Asymmetric multivariate normal mixture GARCH
    Haas M., Mittnik S., Paolella M.
    In: Computational Statistics and Data Analysis, 2009, pages: 2129-2154
    Assessing and improving the performance of nearly efficient unit root tests in small samples
    Paolella M., Carstensen K., Broda S.
    In: Econometrics Reviews, 2009, pages: 468-494
    CHICAGO: A fast and accurate method for portfolio risk calculation
    Paolella M., Broda S.
    In: Journal of Financial Econometrics, 2009, pages: 412-436
    An econometric analysis of emission allowance prices
    Taschini L., Paolella M.
    In: Journal of Banking and Finance, 2008, pages: 2022-2032
    Uniform saddlepoint approximations for ratios of quadratic forms
    Butler R., Paolella M.
    In: Bernoulli, 2008, pages: 140-154
    Risk Prediction: A DWARF-like Approach
    Steude S., Paolella M.
    In: The Journal of Risk Model Validation, 2008, pages: 25-43
    Bias-adjusted estimation in the ARX(1) model
    Paolella M., Carstensen K., Broda S.
    In: Computational Statistics and Data Analysis, 2007, pages: 3355-3367
    Saddlepoint approximations for the doubly noncentral t distribution
    Paolella M., Broda S.
    In: Computational Statistics and Data Analysis, 2007, pages: 2907-2918
    Value-at-Risk Prediction: A Comparison of Alternative Strategies
    Kuester K., Mittnik S., Paolella M.
    In: Journal of Financial Econometrics, Mar 2006
    Accurate Value-at-Risk Forecasting Based on the Normal-GARCH Model
    Hartz C., Mittnik S., Paolella M.
    In: Computational Statistics and Data Analysis, 2006
    Modeling and Predicting Market Risk With Laplace-Gaussian Mixture Distributions
    Haas M., Mittnik S., Paolella M.
    In: Applied Financial Economics, 2006
    A New Approach to Markov-Switching GARCH Models
    Haas M., Mittnik S., Paolella 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
    Mittnik S., Paolella M., Rachev S.
    In: Journal of Econometrics, 2002
    Calculating the Density and Distribution Function for the Singly andDoubly Noncentral F
    Butler R., Paolella M.
    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 CurrencyExchange Rates
    Mittnik S., Paolella M.
    In: Journal of Forecasting, 2000
    Diagnosing and Treating the Fat Tails in Financial Returns Data
    Mittnik S., Paolella M., Rachev S.
    In: Journal of Empirical Finance, 2000
    A Simple Estimator for the Characteristic Exponent of the Stable Paretian Distribution
    Mittnik S., Paolella M.
    In: Mathematical and Computer Modelling, 1999
    A Tail Estimator for the Index of the Stable Paretian Distribution
    Mittnik S., Paolella M., Rachev S.
    In: Communications in Statistics-Theory and Methods, 1998
    Unconditional and Conditional Distributional Models for the Nikkei Index
    Mittnik S., Paolella M., Rachev S.
    In: Asia-Pacific Financial Markets, 1998
    Approximate Distributions for the Various Serial Correlograms
    Butler R., Paolella M.
    In: Bernoulli, 1998
    Chapter or Artikel in collective books (4)
    Mixture and Regime-switching GARCH Models
    Haas M., Paolella M.
    In: Handbook of Volatility Models and Their Applications, 2012
    Saddlepoint approximations: A review and some new applications
    Paolella M., Broda S.
    In: Handbook of Computational Statistics, Berlin, 2012
    Expected shortfall for distributions in finance
    Paolella M., Broda S.
    In: Statistical Tools for Finance and Insurance, Berlin / Heidelberg, 2011, pages: 57-99
    Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
    Mittnik S., Paolella M.
    In: Handbook of Heavy Tailed Distributions in Finance, North-Holland, 2003