Marc Paolella
Marc Paolella
Department of Banking and Finance, University of Zurich
Verified email at bf.uzh.ch - Homepage
Title
Cited by
Cited by
Year
Value-at-risk prediction: A comparison of alternative strategies
K Kuester, S Mittnik, MS Paolella
Journal of Financial Econometrics 4 (1), 53-89, 2006
7152006
A new approach to Markov-switching GARCH models
M Haas, S Mittnik, MS Paolella
Journal of financial econometrics 2 (4), 493-530, 2004
4902004
An econometric analysis of emission allowance prices
MS Paolella, L Taschini
Journal of Banking & Finance 32 (10), 2022-2032, 2008
408*2008
Mixed normal conditional heteroskedasticity
M Haas, S Mittnik, MS Paolella
Journal of financial Econometrics 2 (2), 211-250, 2004
2362004
Conditional density and value‐at‐risk prediction of Asian currency exchange rates
S Mittnik, MS Paolella
Journal of Forecasting 19 (4), 313-333, 2000
2222000
Intermediate probability: A computational approach
MS Paolella
John Wiley & Sons, 2007
1532007
Stable Paretian modeling in finance: Some empirical and theoretical aspects
S Mittnik, ST Rachev, MS Paolella
A practical guide to heavy tails, 79-110, 1998
125*1998
Stationarity of stable power-GARCH processes
S Mittnik, MS Paolella, ST Rachev
Journal of Econometrics 106 (1), 97-107, 2002
1142002
Diagnosing and treating the fat tails in financial returns data
S Mittnik, MS Paolella, ST Rachev
Journal of Empirical Finance 7 (3-4), 389-416, 2000
1092000
Accurate value-at-risk forecasting based on the normal-GARCH model
C Hartz, S Mittnik, M Paolella
Computational Statistics & Data Analysis 51 (4), 2295-2312, 2006
1072006
Chicago: A fast and accurate method for portfolio risk calculation
SA Broda, MS Paolella
Journal of Financial Econometrics 7 (4), 412-436, 2009
872009
Prediction of financial downside-risk with heavy-tailed conditional distributions
S Mittnik, MS Paolella
Handbook of heavy tailed distributions in finance, 385-404, 2003
852003
Unconditional and conditional distributional models for the Nikkei index
S Mittnik, MS Paolella, ST Rachev
Asia-Pacific Financial Markets 5 (2), 99-128, 1998
791998
Stable mixture GARCH models
SA Broda, M Haas, J Krause, MS Paolella, SC Steude
Journal of Econometrics 172 (2), 292-306, 2013
69*2013
Asymmetric multivariate normal mixture GARCH
M Haas, S Mittnik, MS Paolella
Computational Statistics & Data Analysis 53 (6), 2129-2154, 2009
472009
Expected shortfall for distributions in finance
SA Broda, MS Paolella
Statistical tools for finance and insurance, 57-99, 2011
462011
Mixture and regime-switching GARCH models
MS Paolella, M Haas, L Bauwens, CM Hafner, S Laurent
Wiley handbooks in financial engineering and econometrics, 71-102, 2012
452012
A tail estimator for the index of the stable Paretian distribution
S Mittnik, MS Paolella, ST Rachev
Communications in Statistics-Theory and Methods 27 (5), 1239-1262, 1998
441998
Testing the stable Paretian assumption
MS Paolella
Mathematical and Computer Modelling 34 (9-11), 1095-1112, 2001
432001
Modelling and predicting market risk with Laplace–Gaussian mixture distributions
M Haas, S Mittnik, MS Paolella
Applied Financial Economics 16 (15), 1145-1162, 2006
312006
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Articles 1–20