Journal Publications

ZORA Publication List

Publications

• 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.
  • Gambacciani, Marco; Paolella, Marc S (2017). Robust normal mixtures for financial portfolio allocation Econometrics and Statistics, 3:91-111.
  • Paolella, Marc S (2017). The Univariate Collapsing Method for Portfolio Optimization Econometrics, 5(2):18.
  • 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; 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). Multivariate asset return prediction with mixture models The European Journal of Finance, 21(13-14):1214-1252.
  • Paolella, Marc S (2015). New graphical methods and test statistics for testing composite normality Econometrics, 3(3):532-560.

• 2014

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

• 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.

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