Journal Publications

ZORA Publication List

Publications

• 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.

Pagination