Journal Publications

ZORA Publication List

Publications

• 2025

  • Paolella, M. S., Polak, P., & Walker, P. S. (2025). Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations Journal of Time Series Analysis, 46, 353–377. https://doi.org/10.1111/jtsa.12792

• 2023

  • Broda, S. A., & Paolella, M. (2023). ARCHModels.jl: Estimating ARCH Models in Julia Journal of Statistical Software, 107, 1–25. https://doi.org/10.18637/jss.v107.i05
  • Hediger, S., Näf, J., Paolella, M. S., & Polak, P. (2023). Heterogeneous Tail Generalized Common Factor Modeling Digital Finance, 5, 389–420. https://doi.org/10.1007/s42521-023-00083-z
  • Paolella, M. S., & Polak, P. (2023). Density and Risk Prediction with Non-Gaussian COMFORT Models Annals of Financial Economics, 18, 2250033. https://doi.org/10.1142/s2010495222500336

• 2021

  • Paolella, M. S., Polak, P., & Walker, P. S. (2021). A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs Journal of Banking and Finance, 125, 106046. https://doi.org/10.1016/j.jbankfin.2021.106046

• 2019

  • Paolella, M. S., Polak, P., & Walker, P. S. (2019). Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns Journal of Econometrics, 213, 493–515. https://doi.org/10.1016/j.jeconom.2019.07.002
  • Näf, J., Paolella, M. S., & Polak, P. (2019). Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition Journal of Multivariate Analysis, 172, 84–106. https://doi.org/10.1016/j.jmva.2019.02.004

• 2018

  • Broda, S. A., Krause, J., & Paolella, M. S. (2018). Approximating expected shortfall for heavy-tailed distributions Econometrics and Statistics, 8, 184–203. https://doi.org/10.1016/j.ecosta.2017.07.003

• 2017

  • Butler, R. W., & Paolella, M. S. (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations Econometrics, 5, 43–43. https://doi.org/10.3390/econometrics5030043
  • Gambacciani, M., & Paolella, M. S. (2017). Robust normal mixtures for financial portfolio allocation Econometrics and Statistics, 3, 91–111. https://doi.org/10.1016/j.ecosta.2017.02.003
  • Paolella, M. S. (2017). The Univariate Collapsing Method for Portfolio Optimization Econometrics, 5, 18–18. https://doi.org/10.3390/econometrics5020018
  • Paolella, M. S. (2017). Asymmetric stable Paretian distribution testing Econometrics and Statistics, 1, 19–39. https://doi.org/10.1016/j.ecosta.2016.05.002

• 2016

  • Paolella, M. S. (2016). Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability Econometrics, 4, 25–25. https://doi.org/10.3390/econometrics4020025

• 2015

  • Paolella, M. S., & Polak, P. (2015). COMFORT: A common market factor non-Gaussian returns model Journal of Econometrics, 187, 593–605. https://doi.org/10.1016/j.jeconom.2015.02.041
  • Paolella, M. S., & Polak, P. (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails International Review of Economics and Finance, 40, 282–297. https://doi.org/10.1016/j.iref.2015.02.025
  • Paolella, M. S. (2015). Multivariate asset return prediction with mixture models The European Journal of Finance, 21, 1214–1252. https://doi.org/10.1080/1351847X.2012.760167
  • Paolella, M. S. (2015). New graphical methods and test statistics for testing composite normality Econometrics, 3, 532–560. https://doi.org/10.3390/econometrics3030532

• 2014

  • Paolella, M. (2014). Fast methods for large-scale non-elliptical portfolio optimization Annals of Financial Economics, 9, 1–32. https://doi.org/10.1142/S2010495214400016
  • Krause, J., & Paolella, M. S. (2014). A fast, accurate method for value-at-risk and expected shortfall Econometrics, 2, 98–122. https://doi.org/10.3390/econometrics2020098

• 2013

  • Haas, M., Krause, J., Paolella, M. S., & Steude, S. C. (2013). Time-varying mixture GARCH models and asymmetric volatility North American Journal of Economics and Finance, 26, 602–623. https://doi.org/10.1016/j.najef.2013.02.024

Pagination