All Publications

ZORA Publication List

Publications

• Journal Article

  • 2025

    • Paolella, Marc S; Polak, Pawel; Walker, Patrick S (2025). Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations Journal of Time Series Analysis, 46(2):353-377.

  • 2023

    • Broda, Simon A; Paolella, Marc (2023). ARCHModels.jl: Estimating ARCH Models in Julia Journal of Statistical Software, 107(5):1-25.
    • Hediger, Simon; Näf, Jeffrey; Paolella, Marc S; Polak, Pawel (2023). Heterogeneous Tail Generalized Common Factor Modeling Digital Finance, 5:389-420.
    • Paolella, Marc S; Polak, Paweł (2023). Density and Risk Prediction with Non-Gaussian COMFORT Models Annals of Financial Economics, 18(01):2250033.

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

  • 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 (2015). Multivariate asset return prediction with mixture models The European Journal of Finance, 21(13-14):1214-1252.
    • 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; Polak, Pawel (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails International Review of Economics and Finance, 40:282-297.
    • Paolella, Marc S (2015). New graphical methods and test statistics for testing composite normality Econometrics, 3(3):532-560.

  • 2014

    • Krause, Jochen; Paolella, Marc S (2014). A fast, accurate method for value-at-risk and expected shortfall Econometrics, 2(2):98-122.
    • Paolella, Marc (2014). Fast methods for large-scale non-elliptical portfolio optimization Annals of Financial Economics, 9(2):1-32.

  • 2013

    • 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.
    • 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.

  • 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; Paolella, Marc S (2009). CHICAGO: A fast and accurate method for portfolio risk calculation Journal of Financial Econometrics, 7(4):412-436.
    • 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.

  • 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

    • 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.
    • 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.

  • 2004

    • Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). Mixed normal conditional heteroskedasticity Journal of Financial Econometrics, 2(2):211-250.
    • 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 (2004). Modeling higher frequency macroeconomic data: an application to German monthly money demand Applied Economics Quarterly, 50(2):--.

  • 2003

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

  • 2002

    • 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.
    • Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2002). Stationarity of stable power-GARCH processes Journal of Econometrics, 106(1):97-107.
    • 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; Rachev, Svetlozar T (2000). Diagnosing and treating the fat tails in financial returns data Journal of Empirical Finance, 7(3-4):389-416.
    • 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.

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

• 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.

Pagination