Working Papers

ZORA Publication List

Publications

• 2022

  • Chitsiripanich, Soros; Paolella, Marc S; Polak, Pawel; Walker, Patrick (2022). Momentum Without Crashes. Swiss Finance Institute Research Paper 22-87, University of Zurich.
  • Paolella, Marc S; Polak, Pawel (2022). Density and Risk Prediction with Non-Gaussian COMFORT Models. Swiss Finance Institute Research Paper 22-88, University of Zurich.

• 2021

  • Hediger, Simon; Näf, Jeffrey; Paolella, Marc S; Polak, Pawel (2021). Heterogeneous Tail Generalized Common Factor Modeling. SSRN 21-73, University of Zurich.
  • Paolella, Marc S (2021). Various Course Proposals for: Mathematics with a View Towards (the Theoretical Underpinnings of) Machine Learning. Swiss Finance Institute Research Paper 21-65, University of Zurich.

• 2020

  • Broda, Simon A; Paolella, Marc S (2020). Archmodels.Jl: Estimating Arch Models in Julia. Econometrics: Computer Programs & Software SSRN eJournal 3551503, University of Zurich.

• 2019

  • Paolella, Marc; Polak, Pawel; Walker, Patrick (2019). A Flexible Regime Switching Model for Asset Returns. Swiss Finance Institute Research Paper 19-27, University of Zurich.