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Prof. Dr. Marc Paolella
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Prof. Dr. Marc Paolella
Journal Publications
Journal Publications
ZORA Publication List
Publications
2009
Broda, Simon; Paolella, Marc S (2009).
Evaluating the density of ratios of noncentral quadratic forms in normal variables.
Computational Statistics and Data Analysis, 53(4):1264-1270.
Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2009).
Asymmetric multivariate normal mixture GARCH.
Computational Statistics and Data Analysis, 53(6):2129-2154.
Broda, Simon; Carstensen, Kai; Paolella, Marc S (2009).
Assessing and improving the performance of nearly efficient unit root tests in small samples.
Econometric Reviews, 28(5):468-494.
Broda, Simon; Paolella, Marc S (2009).
CHICAGO: A fast and accurate method for portfolio risk calculation.
Journal of Financial Econometrics, 7(4):412-436.
2008
Paolella, Marc S; Taschini, Luca (2008).
An econometric analysis of emission allowance prices.
Journal of Banking and Finance, 32(10):2022-2032.
Butler, Ronald W; Paolella, Marc S (2008).
Uniform saddlepoint approximations for ratios of quadratic forms.
Bernoulli, 14(1):140-154.
Paolella, Marc S; Steude, Sven C (2008).
Risk Prediction: A DWARF-like Approach.
The Journal of Risk Model Validation, 2(1):25-43.
2007
Broda, Simon; Paolella, Marc S; Carstensen, Kai (2007).
Bias-adjusted estimation in the ARX(1) model.
Computational Statistics and Data Analysis, 51(7):3355-3367.
Broda, Simon; Paolella, Marc S (2007).
Saddlepoint approximations for the doubly noncentral t distribution.
Computational Statistics and Data Analysis, 51(6):2907-2918.
2006
Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2006).
Modeling and predicting market risk with Laplace-Gaussian mixture distributions.
Applied Financial Economics, 16(15):1145-1162.
Paolella, Marc; Hartz, Christoph; Mittnik, Stefan (2006).
Accurate value-at-risk forecasting based on the Normal-GARCH model.
Computational Statistics & Data Analysis, 51(4):2295-2312.
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S (2006).
Value-at-risk prediction: A comparison of alternative strategies.
Journal of Financial Econometrics, 4(1):53-89.
2004
Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004).
Mixed normal conditional heteroskedasticity.
Journal of Financial Econometrics, 2(2):211-250.
Paolella, Marc (2004).
Modeling higher frequency macroeconomic data: an application to German monthly money demand.
Applied Economics Quarterly (Konjunkturpolitik), 50(2):--.
Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004).
A new approach to markov-switching GARCH models.
Journal of Financial Econometrics, 2(4):493-530.
2003
Paolella, Marc S (2003).
Computing moments of ratios of quadratic forms in normal variables.
Computational Statistics & Data Analysis, 42(3):313-331.
2002
Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2002).
Stationarity of stable power-GARCH processes.
Journal of Econometrics, 106(1):97-107.
Butler, R W; Paolella, Marc S (2002).
Calculating the density and distribution function for the singly and doubly noncentral F.
Statistics and Computing, 12(1):9-16.
Butler, Ronald W; Paolella, Marc S (2002).
Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios.
Journal of the American Statistical Association, 97(459):836-846.
2001
Paolella, Marc S (2001).
Testing the stable Paretian assumption.
Mathematical and Computer Modelling, 34(9-11):1095-1112.
2000
Mittnik, Stefan; Paolella, Marc S (2000).
Conditional density and value-at-risk prediciton of Asian currency exchange rates.
Journal of Forecasting, 19(4):313-333.
Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2000).
Diagnosing and treating the fat tails in financial returns data.
Journal of Empirical Finance, 7(3-4):389-416.
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