Marc S. Paolella

University of Zurich - Department of Banking and Finance

Plattenstr. 14

Zürich, 8032

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 3,621

SSRN RANKINGS

Top 3,621

in Total Papers Downloads

10,434

CITATIONS
Rank 12,516

SSRN RANKINGS

Top 12,516

in Total Papers Citations

42

Scholarly Papers (20)

1.

An Econometric Analysis of Emission Trading Allowances

Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45 Posted: 26 Nov 2006 Last Revised: 21 Dec 2009
Luca Taschini and Marc S. Paolella
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads 3,385 (2,898)
Citation 33

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Environmental Finance, GARCH, Greenhouse Gases, Mixture Models, Tail Estimation

2.

Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

Swiss Finance Institute Research Paper No. 11-45
Number of pages: 26 Posted: 10 Oct 2011 Last Revised: 18 Oct 2011
Christoph Hartz and Marc S. Paolella
University of Munich and University of Zurich - Department of Banking and Finance
Downloads 2,120 (6,391)

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Outliers, fat-tailed distributions, GARCH, volatility

3.

Multivariate Normal Mixture GARCH

CFS Working Paper No. 2006/09
Number of pages: 46 Posted: 21 Apr 2006
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance
Downloads 727 (33,434)
Citation 6

Abstract:

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conditional volatility, regime-dependent correlations, leverage effect, multivariate GARCH, second-order dependence, stock market

4.

Stable Mixture GARCH Models

Swiss Finance Institute Research Paper No. 11-39
Number of pages: 38 Posted: 23 Sep 2011 Last Revised: 07 Dec 2018
University of Amsterdam - Amsterdam School of Economics (ASE), University of Kiel - Faculty of Economics and Social Sciences, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 522 (51,762)
Citation 5

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Density Forecasting, Expected Shortfall, Fat Tails, ICA, GARCH, Mixtures, Portfolio Selection, Stable Paretian Distribution, Value-at-Risk

5.

CHICAGO: A Fast and Accurate Method for Portfolio Risk

Swiss Finance Institute Research Paper No. 08-08
Number of pages: 27 Posted: 30 Apr 2008
Simon A. Broda and Marc S. Paolella
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Zurich - Department of Banking and Finance
Downloads 517 (52,388)
Citation 1

Abstract:

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Empirical Finance, Saddlepoint Approximation, Value at Risk

6.

Modeling and Predicting Market Risk with Laplace-Gaussian Mixture Distributions

CFS Working Paper No. 2005/11
Number of pages: 36 Posted: 19 Apr 2005
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance
Downloads 517 (52,388)
Citation 5

Abstract:

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C16, C50

7.

Multivariate Asset Return Prediction with Mixture Models

Swiss Finance Institute Research Paper No. 11-52
Number of pages: 47 Posted: 11 Nov 2011
Marc S. Paolella
University of Zurich - Department of Banking and Finance
Downloads 452 (62,004)
Citation 4

Abstract:

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density forecasting, EM-algorithm, fat tails, mixture distributions, multivariate laplace distribution, Quasi-Bayesian estimation, shrinkage estimation, weighted likelihood

8.

Time-Varying Mixture GARCH Models and Asymmetric Volatility

Swiss Finance Institute Research Paper No. 13-04
Number of pages: 26 Posted: 10 Mar 2013
Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude
University of Kiel - Faculty of Economics and Social Sciences, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 432 (65,472)
Citation 1

Abstract:

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GARCH, News Impact Curve, Leverage Effect, Down-Market Effect, Mixtures, Time-Varying Weights, Value-at-Risk

9.

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 (70,200)
Citation 2

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COMFORT; Financial Crises; Portfolio Optimization; Risk Monitoring.

10.

Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions

CFS Working Paper No. 2003/04
Number of pages: 23 Posted: 12 May 2003
Stefan Mittnik and Marc S. Paolella
University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance
Downloads 385 (75,140)
Citation 6

Abstract:

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Risk Management, Value at Risk, Density Forecasting, Predictive Likelihood

11.

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 (80,418)
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

12.

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 295 (101,371)
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

13.

A Fast, Accurate Method for Value at Risk and Expected Shortfall

Swiss Finance Institute Research Paper No. 14-40
Number of pages: 37 Posted: 12 Jun 2014
Jochen Krause and Marc S. Paolella
Department of Banking and Finance, University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 225 (134,105)
Citation 4

Abstract:

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GARCH; Mixture-Normal-GARCH; Noncentral t; Table Lookup

14.

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, University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 86 (288,453)

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

15.

Chicago: A Fast and Accurate Method for Portfolio Risk Calculation

Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 412-436, 2009
Posted: 09 Oct 2009
Simon A. Broda and Marc S. Paolella
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Zurich - Department of Banking and Finance

Abstract:

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expected shortfall, multivariate GARCH, portfolio optimization, saddlepoint approximation, Value at Risk

16.

Value-at-Risk Prediction: A Comparison of Alternative Strategies

Journal of Financial Econometrics, Vol. 4, No. 1, pp. 53-89, 2006
Posted: 29 Feb 2008
Keith Kuester, Stefan Mittnik and Marc S. Paolella
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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empirical finance, extreme value theory, fat tails, GARCH, quantile regression

17.

Mixed Normal Conditional Heteroskedasticity

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 211-250, 2004
Posted: 29 Feb 2008
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

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GARCH, kurtosis, leverage effect, Markov-switching, skewness, stationarity, value-at-risk

18.

A New Approach to Markov-Switching GARCH Models

Journal of Financial Econometrics, Vol. 2, No. 4, pp. 493-530, 2004
Posted: 29 Feb 2008
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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conditional volatility, density forecasting, empirical finance, exchange rates, nonlinear time series, regime switching

19.

Asymmetric Multivariate Normal Mixture GARCH

CFS Working Paper No. 2008/07
Posted: 20 Feb 2008
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect

20.

Accurate Value-at-Risk Forecast With the (Good Old) Normal-Garch Model

CFS Working Paper No. 2006/23
Posted: 05 Nov 2006
Christoph Hartz, Stefan Mittnik and Marc S. Paolella
University of Munich, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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Bootstrap, GARCH, Value-at-Risk