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.

Pagination