Marc S. Paolella

University of Zurich - Department 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

27

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17,032

SSRN CITATIONS
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Top 17,408

in Total Papers Citations

34

CROSSREF CITATIONS

45

Scholarly Papers (27)

1.

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 Finance
Downloads 3,781 (5,464)

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Outliers, fat-tailed distributions, GARCH, volatility

2.

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 Finance
Downloads 3,676 (5,719)
Citation 3

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

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 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 1,933 (15,898)

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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 Finance
Downloads 855 (52,835)
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 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 Finance, University of Zurich - Department Finance and University of Zurich - Department of Banking and Finance
Downloads 711 (67,498)
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 Finance
Downloads 613 (81,447)
Citation 4

Abstract:

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C16, C50

7.

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 Finance, University of Zurich - Department Finance and University of Zurich - Department of Banking and Finance
Downloads 598 (84,023)
Citation 1

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

8.

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 Finance and University of Zurich - Department Finance
Downloads 588 (85,852)
Citation 1

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Empirical Finance, Saddlepoint Approximation, Value at Risk

9.

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 Finance
Downloads 550 (93,450)
Citation 2

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

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 Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 546 (94,305)
Citation 8

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COMFORT; Financial Crises; Portfolio Optimization; Risk Monitoring.

11.

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 Finance
Downloads 541 (95,848)

Abstract:

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12.

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 Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 452 (118,573)
Citation 9

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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

13.

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 Finance
Downloads 422 (128,449)
Citation 3

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

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 Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 337 (165,043)
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 Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 323 (173,432)
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 Finance
Downloads 274 (205,131)
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 Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads 270 (208,208)

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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 Finance and University of Zurich - Department Finance
Downloads 268 (209,744)

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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 Economics, ETH Zürich, University of Zurich - Department Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 123 (416,272)

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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 Finance and Stony Brook University-Department of Applied Mathematics and Statistics
Downloads 90 (518,101)

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

21.

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 (552,467)

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

22.

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 Finance and University of Zurich - Department Finance

Abstract:

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

23.

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 Finance

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

24.

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 Finance

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

25.

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 Finance

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

26.

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 Finance

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

27.

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 Finance

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Bootstrap, GARCH, Value-at-Risk