Patrick S. Walker

University of Zurich, Department of Banking and Finance

Plattenstrasse 14

Zürich, CH-8032

Switzerland

http://www.bf.uzh.ch/

OLZ AG

Gessnerallee 38

Zurich, Zurich 8001

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 28,008

SSRN RANKINGS

Top 28,008

in Total Papers Downloads

3,381

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Momentum Without Crashes

Swiss Finance Institute Research Paper No. 22-87
Number of pages: 53 Posted: 18 Nov 2022 Last Revised: 23 Nov 2022
University of Zurich - Department Finance, University of Zurich - Department Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 1,929 (15,897)

Abstract:

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Fractional Differencing, Momentum Factor, Momentum Crashes, Reversal Strategy

2.

Outperforming Equal Weighting

Number of pages: 11 Posted: 20 Dec 2023
Antonello Cirulli and Patrick S. Walker
OLZ AG and University of Zurich, Department of Banking and Finance
Downloads 780 (59,717)

Abstract:

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Naive Diversification, Equally Weighted Portfolio, Momentum Anomaly, Low-Volatility Anomaly, Portfolio Optimization

3.

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
Marc S. Paolella, Pawel Polak and Patrick S. Walker
University of Zurich - Department Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 322 (172,886)
Citation 3

Abstract:

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

4.

A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs

Swiss Finance Institute Research Paper No. 19-51
Number of pages: 33 Posted: 27 Sep 2019
Marc S. Paolella, Pawel Polak and Patrick S. Walker
University of Zurich - Department Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 269 (208,331)

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Dynamic Conditional Correlations; Multivariate GARCH; Multivariate Generalized Hyperbolic Distribution; Principle Component Analysis; Financial Systemic Risk

5.

Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility

Number of pages: 29 Posted: 08 Dec 2023
Marc S. Paolella, Pawel Polak and Patrick S. Walker
University of Zurich - Department Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 81 (554,929)

Abstract:

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Elliptical Distributions, GARCH, Heavy-Tails, Multivariate Generalized Hyperbolic Distribution, Risk Parity