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Number of items: 31.

Broda, Simon; Krause, Jochen; Paolella, Marc (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8:184-203.

Paolella, Marc (2018). Fundamental Statistical Inference: A Computational Approach. New York: John Wiley & Sons.

Paolella, Marc (2018). Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH. New York: John Wiley & Sons.

Butler, Ronald; Paolella, Marc (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations. Econometrics, 5(3):43.

Paolella, Marc (2017). The Univariate Collapsing Method for Portfolio Optimization. Econometrics, 5(2):18.

Paolella, Marc (2016). Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. Econometrics, 4(2):25.

Paolella, Marc; Polak, Pawel (2015). COMFORT: A common market factor non-Gaussian returns model. Journal of Econometrics, 187(2):593-605.

Paolella, Marc (2015). Multivariate asset return prediction with mixture models. European Journal of Finance, 21(13-14):1214-1252.

Paolella, Marc (2015). New graphical methods and test statistics for testing composite normality. Econometrics, 3(3):532-560.

Paolella, Marc (2014). Fast methods for large-scale non-elliptical portfolio optimization. Annals of Financial Economics, 9(2):1-32.

Krause, Jochen; Paolella, Marc (2014). A fast, accurate method for value-at-risk and expected shortfall. Econometrics, 2(2):98-122.

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 (2004). Modeling higher frequency macroeconomic data: an application to German monthly money demand. Applied Economics Quarterly (Konjunkturpolitik), 50(2):--.

Paolella, Marc (2003). Computing moments of ratios of quadratic forms in normal variables. Computational Statistics & Data Analysis, 42(3):313-331.

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; Butler, R W (2002). Calculating the density and distribution function for the singly and doubly noncentral F. Statistics and Computing, 12(1):9-16.

Paolella, Marc; Butler, R W (2002). Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios. Journal of the American Statistical Association, 97(459):836-846.

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

Paolella, Marc (2001). Testing the stable paretian assumption. Mathematical and Computer Modelling, 34:--.

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; Butler, R W (1998). Approximate distributions for the various serial correlograms. Bernoulli, 4(4):497-518.

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 Jul 23 05:06:37 2019 CEST.