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

26

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Top 3,916

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15,358

SSRN CITATIONS
Rank 16,519

SSRN RANKINGS

Top 16,519

in Total Papers Citations

22

CROSSREF CITATIONS

45

Scholarly Papers (26)

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
University of Edinburgh Business School and University of Zurich - Department of Banking and Finance
Downloads 3,609 (4,813)
Citation 3

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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 3,456 (5,173)

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Outliers, fat-tailed distributions, GARCH, volatility

3.

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 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 1,572 (18,166)

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Fractional Differencing, Momentum Factor, Momentum Crashes, Reversal Strategy

4.

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 801 (48,099)
Citation 5

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

5.

Stable Mixture GARCH Models

Swiss Finance Institute Research Paper No. 11-39, Journal of Econometrics, Vol. 172, No. 2, 2013
Number of pages: 38 Posted: 23 Sep 2011 Last Revised: 11 Jun 2020
University of Zurich - Department of Banking and Finance, University of Kiel - Faculty of Economics and Social Sciences, Christian-Albrecht University of Kiel - Cognitive SystemsChristian-Albrecht University of Kiel - Institute of Statistics and EconometricsUniversity 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 604 (69,749)
Citation 6

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Density Forecasting, Expected Shortfall, Fat Tails, ICA, GARCH, Mixtures, Portfolio Selection, Stable Paretian Distribution, 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 574 (74,279)
Citation 4

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C16, C50

7.

CHICAGO: A Fast and Accurate Method for Portfolio Risk

Swiss Finance Institute Research Paper No. 08-08, Broda, Simon A. and Paolella, Marc S., Chicago: A Fast and Accurate Method for Portfolio Risk Calculation (Fall 2009). Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 412-436, 2009. http://dx.doi.org/10.1093/jjfinec/nbp011
Number of pages: 27 Posted: 30 Apr 2008 Last Revised: 11 Jun 2020
Simon A. Broda and Marc S. Paolella
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 565 (75,741)
Citation 1

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Empirical Finance, Saddlepoint Approximation, Value at Risk

8.

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 518 (84,411)
Citation 2

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

9.

Time-Varying Mixture GARCH Models and Asymmetric Volatility

Swiss Finance Institute Research Paper No. 13-04
Number of pages: 26 Posted: 10 Mar 2013
University of Kiel - Faculty of Economics and Social Sciences, Christian-Albrecht University of Kiel - Cognitive SystemsChristian-Albrecht University of Kiel - Institute of Statistics and EconometricsUniversity 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 503 (87,578)

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

10.

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 Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 498 (88,649)
Citation 8

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COMFORT; Financial Crises; Portfolio Optimization; Risk Monitoring.

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 Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 425 (106,879)
Citation 4

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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.

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

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 412 (110,848)
Citation 3

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

13.

Various Course Proposals for: Mathematics with a View Towards (the Theoretical Underpinnings of) Machine Learning

Swiss Finance Institute Research Paper No. 21-65
Number of pages: 264 Posted: 16 Sep 2021 Last Revised: 05 May 2022
Marc S. Paolella
University of Zurich - Department of Banking and Finance
Downloads 394 (116,651)

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14.

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 Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 326 (143,706)
Citation 9

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

15.

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 276 (171,133)
Citation 3

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

16.

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 259 (182,338)
Citation 1

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

17.

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 214 (219,185)

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

18.

Archmodels.Jl: Estimating Arch Models in Julia

Number of pages: 18 Posted: 06 Aug 2020
Simon A. Broda and Marc S. Paolella
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 206 (227,072)

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ARCH, GARCH, CCC, DCC, Value at Risk, Julia

19.

Heterogeneous Tail Generalized Common Factor Modeling

Swiss Finance Institute Research Paper No. 21-73
Number of pages: 30 Posted: 28 Oct 2021
Simon Hediger, Jeffrey Näf, Marc S. Paolella and Pawel Polak
University of Zurich - Department of Banking and Finance, ETH Zürich, University of Zurich - Department of Banking and Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 100 (402,161)

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Asset Pricing Model, Cryptocurrencies, Expectation Maximization Algorithm, Heterogeneous Tails, Mixture Distribution, Portfolio Optimization

20.

Density and Risk Prediction with Non-Gaussian COMFORT Models

Swiss Finance Institute Research Paper No. 22-88
Number of pages: 35 Posted: 18 Nov 2022
Marc S. Paolella and Pawel Polak
University of Zurich - Department of Banking and Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 46 (605,574)

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GJR-GARCH, Multivariate Generalized Hyperbolic Distribution, Non-Ellipticity, Value-at-Risk.

21.

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 Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance

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

22.

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

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

23.

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

24.

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

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

25.

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

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

26.

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

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Bootstrap, GARCH, Value-at-Risk