All Publications

ZORA Publication List

Publications

• Book Section

  • 2011

    • Paolella, M. S., & Broda, S. (2011). Expected shortfall for distributions in finance In P. Cizek, W. K. Härdle, & R. Weron (Eds.), Statistical Tools for Finance and Insurance (pp. 57–99). Springer. https://doi.org/10.1007/978-3-642-18062-0_2

  • 2003

    • Paolella, M., & Carstensen, K. (2003). On Median Unbiased Inference for First Order Autoregressive Models In I. Klein & S. Mittnik (Eds.), Contributions to Modern Econometrics: From Data Analysis to Economic Policy (pp. 23–38). Kluwer Academic Publishers. http://www.springer.com/economics/econometrics/book/978-1-4020-7334-2
    • Paolella, M., & Mittnik, S. (2003). Prediciton of Financial Downside-Risk with Heavy-Tailed Conditional Distributions In S. Rachev (Ed.), Handbook of Heavy-Tailed Distributions in Finance (pp. 387–403). Elsevier North–Holland.

  • 1998

    • Paolella, M., Mittnik, S., & Rachev, S. (1998). Stable Paretian Modeling in Finance: Some Empirical and Theoretical Aspects In R. Adler, R. Feldmann, & M. Taqqu (Eds.), A Practical Guide to Heavy Tailed Data (pp. 79–93). Birkhäuser.

• Conference or Workshop item

  • 2012

    • Paolella, M., & Hartz, C. (2012, January 13). Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions? Fifth International Conference of the Thailand Econometric Society, Chiang Mai University.

• Dissertation

  • 2025

    • Sadeghi, M. H. (2025). Selected statistical approaches in quantitative risk management (Dissertation, University of Zurich)

  • 2024

    • Chitsiripanich, S. (2024). New momentum, reversal, and multivariate discrete mixtures for portfolio selection (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-269955

  • 2021

    • De Nard, G. (2021). Asset return prediction and covariance matrix estimation for portfolio selection in large dimensions (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-206333

• Monograph

  • 2018

    • Paolella, M. (2018). Fundamental Statistical Inference: A Computational Approach John Wiley & Sons.
    • Paolella, M. (2018). Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH John Wiley & Sons.

  • 2007

    • Paolella, M. S. (2007). Intermediate Probability : A Computational Approach. John Wiley & Sons. https://doi.org/10.1002/9780470035061

  • 2006

    • Paolella, M. S. (2006). Fundamental Probability : A Computational Approach. John Wiley & Sons. https://doi.org/10.1002/0470035358

• Working Paper

  • 2023

    • Paolella, M., Polak, P., & Walker, P. S. (2023). Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility (No. 4652551; SSRN). https://doi.org/10.2139/ssrn.4652551

  • 2022

    • Chitsiripanich, S., Paolella, M. S., Polak, P., & Walker, P. (2022). Momentum Without Crashes (No. 22–87; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4280465
    • Paolella, M. S., & Polak, P. (2022). Density and Risk Prediction with Non-Gaussian COMFORT Models (No. 22–88; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.4280472

  • 2021

    • Hediger, S., Näf, J., Paolella, M. S., & Polak, P. (2021). Heterogeneous Tail Generalized Common Factor Modeling (No. 21–73; SSRN). https://doi.org/10.2139/ssrn.3951806
    • Paolella, M. S. (2021). Various Course Proposals for: Mathematics with a View Towards (the Theoretical Underpinnings of) Machine Learning (No. 21–65; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.3923528

  • 2020

    • Broda, S. A., & Paolella, M. S. (2020). Archmodels.Jl: Estimating Arch Models in Julia (No. 3551503; Econometrics: Computer Programs & Software SSRN EJournal). https://doi.org/10.2139/ssrn.3551503

  • 2019

    • Paolella, M., Polak, P., & Walker, P. (2019). A Flexible Regime Switching Model for Asset Returns (No. 19–27; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.3389305

Pagination