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

28

DOWNLOADS
Rank 4,161

SSRN RANKINGS

Top 4,161

in Total Papers Downloads

19,379

TOTAL CITATIONS
Rank 18,978

SSRN RANKINGS

Top 18,978

in Total Papers Citations

56

Scholarly Papers (28)

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 4,245 (5,298)

Abstract:

Loading...

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 3,721 (6,582)
Citation 3

Abstract:

Loading...

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
Downloads 2,249 (14,677)

Abstract:

Loading...

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 877 (59,712)
Citation 5

Abstract:

Loading...

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

5.

Smoothing Out Momentum and Reversal

Swiss Finance Institute Research Paper No. 24-47
Number of pages: 36 Posted: 13 Sep 2024
University of Zurich - Department Finance, University of Zurich - Department Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich
Downloads 757 (73,442)

Abstract:

Loading...

Fractional Differencing, Momentum Crashes, Momentum Factor, Portfolio Optimization, Regularization, Reversal Strategy

6.

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
Institut für Finanzdienstleistungen Zug (IFZ), 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 748 (73,937)
Citation 6

Abstract:

Loading...

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

7.

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 656 (87,455)

Abstract:

Loading...

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
Institut für Finanzdienstleistungen Zug (IFZ) and University of Zurich - Department Finance
Downloads 629 (92,480)
Citation 1

Abstract:

Loading...

Empirical Finance, Saddlepoint Approximation, Value at Risk

9.

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 626 (92,834)
Citation 4

Abstract:

Loading...

C16, C50

10.

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 625 (93,051)
Citation 1

Abstract:

Loading...

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

11.

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 607 (96,575)
Citation 2

Abstract:

Loading...

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

12.

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 588 (100,650)
Citation 8

Abstract:

Loading...

COMFORT; Financial Crises; Portfolio Optimization; Risk Monitoring.

13.

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 495 (124,577)
Citation 9

Abstract:

Loading...

CCC; Common Jumps; Density Forecasting; EM-Algorithm; Fat Tails; GARCH; Multivariate Asymmetric Variance Gamma Distribution; Multivariate Generalized Hyperbolic Distribution; Multivariate Option Pricing; Stochastic Volatility

14.

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 431 (146,947)
Citation 3

Abstract:

Loading...

Risk Management, Value at Risk, Density Forecasting, Predictive 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
Downloads 365 (177,363)
Citation 3

Abstract:

Loading...

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

16.

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
Downloads 356 (182,282)

Abstract:

Loading...

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

17.

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 350 (185,682)
Citation 9

Abstract:

Loading...

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

18.

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 289 (228,218)
Citation 1

Abstract:

Loading...

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

19.

Archmodels.Jl: Estimating Arch Models in Julia

Number of pages: 18 Posted: 06 Aug 2020
Simon A. Broda and Marc S. Paolella
Institut für Finanzdienstleistungen Zug (IFZ) and University of Zurich - Department Finance
Downloads 286 (230,697)
Citation 1

Abstract:

Loading...

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

20.

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
Downloads 213 (309,170)

Abstract:

Loading...

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

21.

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 143 (439,547)

Abstract:

Loading...

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

22.

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 123 (495,655)

Abstract:

Loading...

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

23.

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
Institut für Finanzdienstleistungen Zug (IFZ) and University of Zurich - Department Finance

Abstract:

Loading...

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

24.

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

Abstract:

Loading...

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

25.

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

Abstract:

Loading...

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

26.

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

Abstract:

Loading...

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

27.

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

Abstract:

Loading...

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

28.

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

Abstract:

Loading...

Bootstrap, GARCH, Value-at-Risk