Journal Publications

ZORA Publication List

2024
- Paolella, Marc S; Polak, Pawel; Walker, Patrick S (2024). Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations. Journal of Time Series Analysis:online.

2023
- Hediger, Simon; Näf, Jeffrey; Paolella, Marc S; Polak, Pawel (2023). Heterogeneous Tail Generalized Common Factor Modeling. Digital Finance, 5:389-420.
- Paolella, Marc S; Polak, Paweł (2023). Density and Risk Prediction with Non-Gaussian COMFORT Models. Annals of Financial Economics, 18(01):2250033.

2021
- Paolella, Marc S; Polak, Pawel; Walker, Patrick S (2021). A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. Journal of Banking and Finance, 125:106046.

2019
- Paolella, Marc S; Polak, Paweł; Walker, Patrick S (2019). Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. Journal of Econometrics, 213(2):493-515.
- Näf, Jeffrey; Paolella, Marc S; Polak, Paweł (2019). Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. Journal of Multivariate Analysis, 172:84-106.

2018
- Broda, Simon A; Krause, Jochen; Paolella, Marc S (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8:184-203.

2017
- Butler, Ronald W; Paolella, Marc S (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations. Econometrics, 5(3):43.
- Gambacciani, Marco; Paolella, Marc S (2017). Robust normal mixtures for financial portfolio allocation. Econometrics and Statistics, 3:91-111.
- Paolella, Marc S (2017). The Univariate Collapsing Method for Portfolio Optimization. Econometrics, 5(2):18.
- Paolella, Marc S (2017). Asymmetric stable Paretian distribution testing. Econometrics and Statistics, 1:19-39.

2015
- Paolella, Marc S; Polak, Pawel (2015). COMFORT: A common market factor non-Gaussian returns model. Journal of Econometrics, 187(2):593-605.
- Paolella, Marc S (2015). Multivariate asset return prediction with mixture models. The European Journal of Finance, 21(13-14):1214-1252.
- Paolella, Marc S (2015). New graphical methods and test statistics for testing composite normality. Econometrics, 3(3):532-560.
- Paolella, Marc S; Polak, Pawel (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails. International Review of Economics and Finance, 40:282-297.

2014
- Paolella, Marc (2014). Fast methods for large-scale non-elliptical portfolio optimization. Annals of Financial Economics, 9(2):1-32.
- Krause, Jochen; Paolella, Marc S (2014). A fast, accurate method for value-at-risk and expected shortfall. Econometrics, 2(2):98-122.

2013
- Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Time-varying mixture GARCH models and asymmetric volatility. North American Journal of Economics and Finance, 26:602-623.
- Broda, Simon A; Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Stable mixture GARCH models. Journal of Econometrics, 172(2):292-306.