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

  • University of Zurich, Department of Banking and Finance

  • OLZ AG

SCHOLARLY PAPERS

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Scholarly Papers (3)

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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
Soros Chitsiripanich, Marc S. Paolella, Pawel Polak and Patrick S. Walker
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 1,615 (17,723)

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Fractional Differencing, Momentum Factor, Momentum Crashes, Reversal Strategy

2.

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 of Banking and Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 277 (171,110)
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GARCH; Markov Switching; Multivariate Generalized Hyperbolic Distribution; Portfolio Optimization; Value-at-Risk

3.

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 of Banking and Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 215 (219,039)

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