All Publications

ZORA Publication List

Publications

• Book Section

  • 2003

    • Paolella, Marc; Carstensen, K (2003). On Median Unbiased Inference for First Order Autoregressive Models. In: Klein, Ingo; Mittnik, Stefan. Contributions to Modern Econometrics: From Data Analysis to Economic Policy. New York: Kluwer Academic Publishers, 23-38.
    • Paolella, Marc; Mittnik, Stefan (2003). Prediciton of Financial Downside-Risk with Heavy-Tailed Conditional Distributions. In: Rachev, S. Handbook of Heavy-Tailed Distributions in Finance. Amsterdam: Elsevier North–Holland, 387-403.

  • 1998

    • Paolella, Marc; Mittnik, Stefan; Rachev, S (1998). Stable Paretian Modeling in Finance: Some Empirical and Theoretical Aspects. In: Adler, R; Feldmann, R; Taqqu, M. A Practical Guide to Heavy Tailed Data. Bosotn: Birkhäuser, 79-93.

• Conference or Workshop item

  • 2012

    • Paolella, Marc; Hartz, Christoph (2012). Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?. In: Fifth International Conference of the Thailand Econometric Society, Chiang Mai University, Thailand, 12 January 2012 - 13 January 2012.

• Dissertation

  • 2021

    • De Nard, Gianluca. Asset return prediction and covariance matrix estimation for portfolio selection in large dimensions. 2021, University of Zurich, Faculty of Economics.

• Monograph

  • 2018

    • Paolella, Marc (2018). Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH. New York: John Wiley & Sons.
    • Paolella, Marc (2018). Fundamental Statistical Inference: A Computational Approach. New York: John Wiley & Sons.

  • 2007

    • Paolella, Marc S (2007). Intermediate Probability : A Computational Approach. West Sussex, England: John Wiley & Sons.

  • 2006

    • Paolella, Marc S (2006). Fundamental Probability : A Computational Approach. West Sussex, England: John Wiley & Sons.

• Working Paper

  • 2023

    • Paolella, Marc; Polak, Pawel; Walker, Patrick S (2023). Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility. SSRN 4652551, University of Zurich.

  • 2022

    • Chitsiripanich, Soros; Paolella, Marc S; Polak, Pawel; Walker, Patrick (2022). Momentum Without Crashes. Swiss Finance Institute Research Paper 22-87, Swiss Finance Institute Research.
    • Paolella, Marc S; Polak, Pawel (2022). Density and Risk Prediction with Non-Gaussian COMFORT Models. Swiss Finance Institute Research Paper 22-88, University of Zurich.

  • 2021

    • Hediger, Simon; Näf, Jeffrey; Paolella, Marc S; Polak, Pawel (2021). Heterogeneous Tail Generalized Common Factor Modeling. SSRN 21-73, University of Zurich.
    • Paolella, Marc S (2021). Various Course Proposals for: Mathematics with a View Towards (the Theoretical Underpinnings of) Machine Learning. Swiss Finance Institute Research Paper 21-65, University of Zurich.

  • 2020

    • Broda, Simon A; Paolella, Marc S (2020). Archmodels.Jl: Estimating Arch Models in Julia. Econometrics: Computer Programs & Software SSRN eJournal 3551503, University of Zurich.

  • 2019

    • Paolella, Marc; Polak, Pawel; Walker, Patrick (2019). A Flexible Regime Switching Model for Asset Returns. Swiss Finance Institute Research Paper 19-27, University of Zurich.

Pagination