All Publications

ZORA Publication List

Publications

Journal Article
- 2023
  - Hediger, Simon; Näf, Jeffrey; Paolella, Marc S; Polak, Pawel (2023). Heterogeneous Tail Generalized Common Factor Modeling. Digital Finance, 5:389-420.
- 2021
  - Paolella, Marc S; Polak, Pawel; Walker, Patrick S (2021). A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. Journal of Banking and Finance, 125:106046.
- 2019
  - Paolella, Marc S; Polak, Paweł; Walker, Patrick S (2019). Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. Journal of Econometrics, 213(2):493-515.
  - Näf, Jeffrey; Paolella, Marc S; Polak, Paweł (2019). Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. Journal of Multivariate Analysis, 172:84-106.
- 2018
  - Broda, Simon A; Krause, Jochen; Paolella, Marc S (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8:184-203.
- 2017
  - Butler, Ronald W; Paolella, Marc S (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations. Econometrics, 5(3):43.
  - Gambacciani, Marco; Paolella, Marc S (2017). Robust normal mixtures for financial portfolio allocation. Econometrics and Statistics, 3:91-111.
  - Paolella, Marc S (2017). The Univariate Collapsing Method for Portfolio Optimization. Econometrics, 5(2):18.
  - Paolella, Marc S (2017). Asymmetric stable Paretian distribution testing. Econometrics and Statistics, 1:19-39.
- 2016
  - Paolella, Marc S (2016). Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. Econometrics, 4(2):25.
- 2015
  - Paolella, Marc S; Polak, Pawel (2015). COMFORT: A common market factor non-Gaussian returns model. Journal of Econometrics, 187(2):593-605.
  - Paolella, Marc S (2015). Multivariate asset return prediction with mixture models. The European journal of finance, 21(13-14):1214-1252.
  - Paolella, Marc S (2015). New graphical methods and test statistics for testing composite normality. Econometrics, 3(3):532-560.
  - Paolella, Marc S; Polak, Pawel (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails. International Review of Economics and Finance, 40:282-297.
- 2014
  - Paolella, Marc (2014). Fast methods for large-scale non-elliptical portfolio optimization. Annals of Financial Economics, 9(2):1-32.
  - Krause, Jochen; Paolella, Marc S (2014). A fast, accurate method for value-at-risk and expected shortfall. Econometrics, 2(2):98-122.
- 2013
  - Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Time-varying mixture GARCH models and asymmetric volatility. North American Journal of Economics and Finance, 26:602-623.
  - Broda, Simon A; Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Stable mixture GARCH models. Journal of Econometrics, 172(2):292-306.
- 2009
  - Broda, Simon; Paolella, Marc S (2009). Evaluating the density of ratios of noncentral quadratic forms in normal variables. Computational Statistics and Data Analysis, 53(4):1264-1270.
  - Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2009). Asymmetric multivariate normal mixture GARCH. Computational Statistics and Data Analysis, 53(6):2129-2154.
  - Broda, Simon; Carstensen, Kai; Paolella, Marc S (2009). Assessing and improving the performance of nearly efficient unit root tests in small samples. Econometric Reviews, 28(5):468-494.
  - Broda, Simon; Paolella, Marc S (2009). CHICAGO: A fast and accurate method for portfolio risk calculation. Journal of Financial Econometrics, 7(4):412-436.
- 2008
  - Paolella, Marc S; Taschini, Luca (2008). An econometric analysis of emission allowance prices. Journal of Banking and Finance, 32(10):2022-2032.
  - Butler, Ronald W; Paolella, Marc S (2008). Uniform saddlepoint approximations for ratios of quadratic forms. Bernoulli, 14(1):140-154.
  - Paolella, Marc S; Steude, Sven C (2008). Risk Prediction: A DWARF-like Approach. The Journal of Risk Model Validation, 2(1):25-43.
- 2007
  - Broda, Simon; Paolella, Marc S; Carstensen, Kai (2007). Bias-adjusted estimation in the ARX(1) model. Computational Statistics and Data Analysis, 51(7):3355-3367.
  - Broda, Simon; Paolella, Marc S (2007). Saddlepoint approximations for the doubly noncentral t distribution. Computational Statistics and Data Analysis, 51(6):2907-2918.
- 2006
  - Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2006). Modeling and predicting market risk with Laplace-Gaussian mixture distributions. Applied Financial Economics, 16(15):1145-1162.
  - Paolella, Marc; Hartz, Christoph; Mittnik, Stefan (2006). Accurate value-at-risk forecasting based on the Normal-GARCH model. Computational Statistics & Data Analysis, 51(4):2295-2312.
  - Kuester, Keith; Mittnik, Stefan; Paolella, Marc S (2006). Value-at-risk prediction: A comparison of alternative strategies. Journal of Financial Econometrics, 4(1):53-89.
- 2004
  - Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). Mixed normal conditional heteroskedasticity. Journal of Financial Econometrics, 2(2):211-250.
  - Paolella, Marc (2004). Modeling higher frequency macroeconomic data: an application to German monthly money demand. Applied Economics Quarterly (Konjunkturpolitik), 50(2):--.
  - Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). A new approach to markov-switching GARCH models. Journal of Financial Econometrics, 2(4):493-530.
- 2003
  - Paolella, Marc S (2003). Computing moments of ratios of quadratic forms in normal variables. Computational Statistics & Data Analysis, 42(3):313-331.
- 2002
  - Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2002). Stationarity of stable power-GARCH processes. Journal of Econometrics, 106(1):97-107.
  - Butler, R W; Paolella, Marc S (2002). Calculating the density and distribution function for the singly and doubly noncentral F. Statistics and Computing, 12(1):9-16.
  - Butler, Ronald W; Paolella, Marc S (2002). Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios. Journal of the American Statistical Association, 97(459):836-846.
- 2001
  - Paolella, Marc S (2001). Testing the stable Paretian assumption. Mathematical and Computer Modelling, 34(9-11):1095-1112.
- 2000
  - Mittnik, Stefan; Paolella, Marc S (2000). Conditional density and value-at-risk prediciton of Asian currency exchange rates. Journal of Forecasting, 19(4):313-333.
  - Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2000). Diagnosing and treating the fat tails in financial returns data. Journal of Empirical Finance, 7(3-4):389-416.
- 1999
  - Mittnik, Stefan; Paolella, Marc S (1999). A simple estimator for the characteristic exponent of the stable paretian distribution. Mathematical and Computer Modelling, 29(10-12):161-176.
- 1998
  - Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (1998). A tail estimator for the index of the stable paretian distribution. Communications in Statistics. Theory and Methods, 27(5):1239-1262.
  - Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (1998). Unconditional and conditional distributional models for the Nikkei index. Asia - Pacific Financial Markets, 5(2):99-128.
  - Paolella, Marc; Butler, R W (1998). Approximate distributions for the various serial correlograms. Bernoulli, 4(4):497-518.
Book Section
- 2018
  - Paolella, Marc S; Polak, Pawel (2018). COBra: Copula-Based Portfolio Optimization. In: Kreinovich, Vladik; Sriboonchitta, Songsak; Chakpitak, Nopasit. Predictive Econometrics and Big Data. Cham: Springer International Publishing, 36-77.
- 2012
  - Paolella, Marc S; Haas, Markus (2012). Mixture and regime-switching GARCH models. In: Bauwens, Luc; Hafner, Christian M; Laurent, Sebastian. Handbook of volatility models and their applications. Hoboken, NJ: Wiley, 71-102.
  - Paolella, Marc S; Broda, Simon (2012). Saddlepoint approximations: A review and some new applications. In: Gentle, James E; Härdle, Wolfgang K; Mori, Yuichi. Handbook of Computational Statistics : Concepts and Methods. Berlin: Springer (Bücher), 953-984.
- 2011
  - Paolella, Marc S; Broda, Simon (2011). Expected shortfall for distributions in finance. In: Cizek, Pavel; Härdle, Wolfgang K; Weron, Rafal. Statistical Tools for Finance and Insurance. Berlin / Heidelberg: Springer, 57-99.
- 2003
  - Paolella, Marc; Carstensen, K (2003). On Median Unbiased Inference for First Order Autoregressive Models. In: Klein, Ingo; Mittnik, Stefan. Contributions to Modern Econometrics: From Data Analysis to Economic Policy. New York: Kluwer Academic Publishers, 23-38.
  - Paolella, Marc; Mittnik, Stefan (2003). Prediciton of Financial Downside-Risk with Heavy-Tailed Conditional Distributions. In: Rachev, S. Handbook of Heavy-Tailed Distributions in Finance. Amsterdam: Elsevier North–Holland, 387-403.

Pagination