Browsing All of EconStor by Author Paolella, Marc S.
Showing results 1 to 10 of 10
Year of Publication | Title | Author(s) |
2002 | Mixed normal conditional heteroskedasticity | Haas, Markus; Mittnik, Stefan; Paolella, Marc S. |
2003 | Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions | Mittnik, Stefan; Paolella, Marc S. |
2005 | Modeling and predicting market risk with Laplace-Gaussian mixture distributions | Haas, Markus; Mittnik, Stefan; Paolella, Marc S. |
2006 | Accurate Value-at-Risk forecast with the (good old) normal-GARCH model | Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. |
2006 | Multivariate normal mixture GARCH | Haas, Markus; Mittnik, Stefan; Paolella, Marc S. |
2008 | Asymmetric multivariate normal mixture GARCH | Haas, Markus; Mittnik, Stefan; Paolella, Marc S. |
2014 | A fast, accurate method for value-at-risk and expected shortfall | Krause, Jochen; Paolella, Marc S. |
2015 | New graphical methods and test statistics for testing composite normality | Paolella, Marc S. |
2016 | Stable-GARCH models for financial returns: Fast estimation and tests for stability | Paolella, Marc S. |
2017 | The univariate collapsing method for portfolio optimization | Paolella, Marc S. |