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Number of items: 15.

Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2009). Asymmetric multivariate normal mixture GARCH. Computational Statistics and Data Analysis, 53(6):2129-2154.

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.

Paolella, Marc; Haas, Markus; Mittnik, Stefan (2006). Modeling and predicting market risk with Laplace-Gaussian mixture distributions. Applied Financial Economics, 16(15):1145-1162.

Kuester, Keith; Mittnik, Stefan; Paolella, Marc (2006). Value-at-risk prediction: A comparison of alternative strategies. Journal of Financial Econometrics, 4(1):53-89.

Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). A new approach to markov-switching GARCH models. Journal of Financial Econometrics, 2(4):493-530.

Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). Mixed normal conditional heteroskedasticity. Journal of Financial Econometrics, 2(2):211-250.

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.

Paolella, Marc; Mittnik, Stefan; Rachev, S (2002). Stationarity od stable power-GARCH processes. Journal of Econometrics, 106(1):97-107.

Paolella, Marc; Mittnik, Stefan (2000). Conditional density and value-at-risk prediciton of Asian currency exchange rates. Journal of Forecasting, 19(4):313-333.

Paolella, Marc; Mittnik, Stefan; Rachev, S (2000). Diagnosing and treating the fat tails in financial returns data. Journal of Empirical Finance, 7(3-4):389-416.

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

Paolella, Marc; Mittnik, Stefan; Rachev, S (1998). A tail estimator for the index of the stable paretian distribution. Communications in Statistics. Theory and Methods, 27(5):1239-1262.

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

Paolella, Marc; Mittnik, Stefan; Rachev, S (1998). Unconditional and conditional distributional models for the Nikkei index. Asia - Pacific Financial Markets, 5(2):99-128.

This list was generated on Tue Sep 24 10:47:26 2019 CEST.