Pawel Polak

University of Zurich

Rämistrasse 71

Zürich, CH-8006

Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

4

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1,150

CITATIONS
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SSRN RANKINGS

Top 33,403

in Total Papers Citations

11

Scholarly Papers (4)

1.

Portfolio Selection with Active Risk Monitoring

Swiss Finance Institute Research Paper No. 15-17
Number of pages: 39 Posted: 12 Jun 2015
Marc S. Paolella and Pawel Polak
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 408 (70,145)
Citation 2

Abstract:

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COMFORT; Financial Crises; Portfolio Optimization; Risk Monitoring.

2.

COMFORT: A Common Market Factor Non-Gaussian Returns Model

Swiss Finance Institute Research Paper No. 13-38
Number of pages: 28 Posted: 02 Jul 2013 Last Revised: 06 Sep 2014
Marc S. Paolella and Pawel Polak
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 363 (80,361)
Citation 5

Abstract:

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CCC; Common Jumps; Density Forecasting; EM-Algorithm; Fat Tails; GARCH; Multivariate Asymmetric Variance Gamma Distribution; Multivariate Generalized Hyperbolic Distribution; Multivariate Option Pricing; Stochastic Volatility

3.

ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails

Swiss Finance Institute Research Paper No. 10-27
Number of pages: 34 Posted: 22 Jun 2010 Last Revised: 07 Dec 2018
Marc S. Paolella and Pawel Polak
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 294 (101,690)
Citation 5

Abstract:

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Asymmetry, Copula, Density Forecasting, Empirical Finance, Fat Tails, GARCH, Integrated GARCH, Multivariate Distribution, Saddlepoint Approximation, Shrinkage Estimation, Weighted Likelihood

4.

A Flexible Regime Switching Model for Asset Returns

Swiss Finance Institute Research Paper No. 19-27
Number of pages: 52 Posted: 16 May 2019 Last Revised: 25 May 2019
University of Zurich - Department of Banking and Finance, University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 85 (294,556)

Abstract:

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GARCH; Markov Switching; Multivariate Generalized Hyperbolic Distribution; Portfolio Optimization; Value-at-Risk