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Number of items: 17.

Gambacciani, Marco; Paolella, Marc S (2017). Robust normal mixtures for financial portfolio allocation. Econometrics and Statistics, 3:91-111.

Paolella, Marc S (2017). Asymmetric stable Paretian distribution testing. Econometrics and Statistics, 1:19-39.

Paolella, Marc S; Polak, Pawel (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails. International Review of Economics and Finance, 40:282-297.

Broda, Simon; Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Stable mixture GARCH models. Journal of Econometrics, 172(2):292-306.

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.

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 Verlag, 953-984.

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.

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.

Paolella, Marc S; Taschini, Luca (2008). An econometric analysis of emission allowance prices. Journal of Banking and Finance, 32(10):2022-2032.

Paolella, Marc S; Steude, Sven C (2008). Risk Prediction: A DWARF-like Approach. The Journal of Risk Model Validation, 2(1):25-43.

Butler, Ronald W; Paolella, Marc S (2008). Uniform saddlepoint approximations for ratios of quadratic forms. Bernoulli, 14(1):140-154.

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.

This list was generated on Sun Jul 21 21:30:04 2019 CEST.