Journal Publications

ZORA Publication List

Publications

• 2013

  • Broda, S. A., Haas, M., Krause, J., Paolella, M. S., & Steude, S. C. (2013). Stable mixture GARCH models Journal of Econometrics, 172, 292–306. https://doi.org/10.1016/j.jeconom.2012.08.012

• 2009

  • Broda, S., & Paolella, M. S. (2009). Evaluating the density of ratios of noncentral quadratic forms in normal variables Computational Statistics & Data Analysis, 53, 1264–1270. https://doi.org/10.1016/j.csda.2008.10.035
  • Haas, M., Mittnik, S., & Paolella, M. S. (2009). Asymmetric multivariate normal mixture GARCH Computational Statistics & Data Analysis, 53, 2129–2154. https://doi.org/10.1016/j.csda.2007.12.018
  • Broda, S., & Paolella, M. S. (2009). CHICAGO: A fast and accurate method for portfolio risk calculation Journal of Financial Econometrics, 7, 412–436. https://doi.org/10.1093/jjfinec/nbp011
  • Broda, S., Carstensen, K., & Paolella, M. S. (2009). Assessing and improving the performance of nearly efficient unit root tests in small samples Econometric Reviews, 28, 468–494. https://doi.org/10.1080/07474930802467282

• 2008

  • Paolella, M. S., & Taschini, L. (2008). An econometric analysis of emission allowance prices Journal of Banking and Finance, 32, 2022–2032. https://doi.org/10.1016/j.jbankfin.2007.09.024
  • Butler, R. W., & Paolella, M. S. (2008). Uniform saddlepoint approximations for ratios of quadratic forms Bernoulli, 14, 140–154. https://doi.org/10.3150/07-BEJ6169
  • Paolella, M. S., & Steude, S. C. (2008). Risk Prediction: A DWARF-like Approach Journal of Risk Model Validation, 2, 25–43. http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0996751&loginpage=Login.asp&site=ehost-live

• 2007

  • Broda, S., Paolella, M. S., & Carstensen, K. (2007). Bias-adjusted estimation in the ARX(1) model Computational Statistics & Data Analysis, 51, 3355–3367. https://doi.org/10.1016/j.csda.2006.07.009
  • Broda, S., & Paolella, M. S. (2007). Saddlepoint approximations for the doubly noncentral t distribution Computational Statistics & Data Analysis, 51, 2907–2918. https://doi.org/10.1016/j.csda.2006.11.024

• 2006

  • Kuester, K., Mittnik, S., & Paolella, M. S. (2006). Value-at-risk prediction: A comparison of alternative strategies Journal of Financial Econometrics, 4, 53–89. https://doi.org/10.1093/jjfinec/nbj002
  • Paolella, M., Hartz, C., & Mittnik, S. (2006). Accurate value-at-risk forecasting based on the Normal-GARCH model Computational Statistics & Data Analysis, 51, 2295–2312. https://doi.org/10.1016/j.csda.2006.09.017
  • Haas, M., Mittnik, S., & Paolella, M. S. (2006). Modeling and predicting market risk with Laplace-Gaussian mixture distributions Applied Financial Economics, 16, 1145–1162. https://doi.org/10.1080/09603100500438817

• 2004

  • Paolella, M., Haas, M., & Mittnik, S. (2004). Mixed normal conditional heteroskedasticity Journal of Financial Econometrics, 2, 211–250. https://doi.org/10.1093/jjfinec/nbh009
  • Paolella, M., Haas, M., & Mittnik, S. (2004). A new approach to markov-switching GARCH models Journal of Financial Econometrics, 2, 493–530. https://doi.org/10.1093/jjfinec/nbh020
  • Paolella, M. (2004). Modeling higher frequency macroeconomic data: an application to German monthly money demand Applied Economics Quarterly, 50. http://aeq.diw.de/aeq/index.jsp?n=0010&p=5&c=summary/AEQ_04_2_1

• 2003

  • Paolella, M. S. (2003). Computing moments of ratios of quadratic forms in normal variables Computational Statistics & Data Analysis, 42, 313–331. https://doi.org/10.1016/S0167-9473(02)00213-X

• 2002

  • Butler, R. W., & Paolella, M. S. (2002). Calculating the density and distribution function for the singly and doubly noncentral F Statistics and Computing, 12, 9–16. https://doi.org/10.1023/A:1013160019893
  • Butler, R. W., & Paolella, M. S. (2002). Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios Journal of the American Statistical Association, 97, 836–846. https://doi.org/10.1198/16214502388618636
  • Mittnik, S., Paolella, M. S., & Rachev, S. T. (2002). Stationarity of stable power-GARCH processes Journal of Econometrics, 106, 97–107. https://doi.org/10.1016/S0304-4076(01)00089-6

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