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1

[Wiley Series in Probability and Statistics] Linear Models and Time-Series Analysis (Regression, ANOVA, ARMA and GARCH) || The Linear Model

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 922 KB

english, 2018

2

Conditional density and value-at-risk prediction of Asian currency exchange rates

Stefan Mittnik, Marc S. Paolella

Journal:

Journal of Forecasting

Year:

2000

Language:

english

File:

PDF, 349 KB

english, 2000

3

An econometric analysis of emission allowance prices

Marc S. Paolella, Luca Taschini

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 244 KB

english, 2008

4

COMFORT: A common market factor non-Gaussian returns model

Paolella, Marc S., Polak, Paweł

Journal:

Journal of Econometrics

Year:

2015

Language:

english

File:

PDF, 1.24 MB

english, 2015

5

Modelling and predicting market risk with Laplace–Gaussian mixture distributions

Haas, Markus, Mittnik, Stefan, Paolella, Marc S.

Journal:

Applied Financial Economics

Year:

2006

Language:

english

File:

PDF, 307 KB

english, 2006

6

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

Krause, Jochen, Paolella, Marc

Journal:

Year:

2014

Language:

english

File:

PDF, 415 KB

english, 2014

7

[Wiley Series in Probability and Statistics] Linear Models and Time-Series Analysis (Regression, ANOVA, ARMA and GARCH) || Some Useful Multivariate Distribution Theory

Paolella, Marc S

Year:

2018

File:

PDF, 580 KB

2018

8

Computing moments of ratios of quadratic forms in normal variables

Marc S. Paolella

Journal:

Computational Statistics & Data Analysis

Year:

2003

Language:

english

File:

PDF, 309 KB

english, 2003

9

Calculating the density and distribution function for the singly and doubly noncentral F

Ronald W. Butler, Marc S. Paolella

Journal:

Statistics and Computing

Year:

2002

Language:

english

File:

PDF, 127 KB

english, 2002

10

Time-varying mixture GARCH models and asymmetric volatility

Haas, Markus, Krause, Jochen, Paolella, Marc S., Steude, Sven C.

Journal:

The North American Journal of Economics and Finance

Year:

2013

Language:

english

File:

PDF, 1.13 MB

english, 2013

11

Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios

Ronald W. Butler and Marc S. Paolella

Journal:

Journal of the American Statistical Association

Year:

2002

File:

PDF, 446 KB

2002

12

Approximating Expected Shortfall for Heavy-Tailed Distributions

Broda, Simon A., Krause, Jochen, Paolella, Marc S.

Journal:

Econometrics and Statistics

Year:

2017

Language:

english

File:

PDF, 756 KB

english, 2017

13

Stable Mixture GARCH Models

Broda, Simon A., Haas, Markus, Krause, Jochen, Paolella, Marc S., Steude, Sven C.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 1.25 MB

english, 2011

14

[Wiley Series in Probability and Statistics] Linear Models and Time-Series Analysis (Regression, ANOVA, ARMA and GARCH) || Fixed Effects ANOVA Models

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 688 KB

english, 2018

15

Intermediate Probability || Sums and Other Functions of Several Random Variables

Paolella, Marc S.

Year:

2007

Language:

english

File:

PDF, 422 KB

english, 2007

16

Bias-adjusted estimation in the ARX(1) model

Simon Broda, Kai Carstensen, Marc S. Paolella

Journal:

Computational Statistics & Data Analysis

Year:

2007

Language:

english

File:

PDF, 299 KB

english, 2007

17

Accurate value-at-risk forecasting based on the normal-GARCH model

Christoph Hartz, Stefan Mittnik, Marc Paolella

Journal:

Computational Statistics & Data Analysis

Year:

2006

Language:

english

File:

PDF, 438 KB

english, 2006

18

Saddlepoint approximations for the doubly noncentral distribution

Simon Broda, Marc S. Paolella

Journal:

Computational Statistics & Data Analysis

Year:

2007

Language:

english

File:

PDF, 377 KB

english, 2007

19

Asymmetric multivariate normal mixture GARCH

Markus Haas, Stefan Mittnik, Marc S. Paolella

Journal:

Computational Statistics & Data Analysis

Year:

2009

Language:

english

File:

PDF, 2.22 MB

english, 2009

20

The Fifth Special Issue on Computational Econometrics

David A. Belsley, Pierre Duchesne, George Kapetanios, Erricos John Kontoghiorghes, Marc Paolella, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 156 KB

english, 2010

21

Stationarity of stable power-GARCH processes

Stefan Mittnik, Marc S. Paolella, Svetlozar T. Rachev

Journal:

Journal of Econometrics

Year:

2002

Language:

english

File:

PDF, 162 KB

english, 2002

22

Unconditional and Conditional Distributional Models for the Nikkei Index

Stefan Mittnik, Marc S. Paolella, Svetlozar T. Rachev

Journal:

Asia-Pacific Financial Markets

Year:

1998

Language:

english

File:

PDF, 266 KB

english, 1998

23

Diagnosing and treating the fat tails in financial returns data

Stefan Mittnik, Marc S. Paolella, Svetlozar T. Rachev

Journal:

Journal of Empirical Finance

Year:

2000

Language:

english

File:

PDF, 534 KB

english, 2000

24

Latest developments on heavy-tailed distributions

Paolella, Marc, Renault, Eric, Samorodnitsky, Gennady, Veredas, David

Journal:

Journal of Econometrics

Year:

2013

Language:

english

File:

PDF, 170 KB

english, 2013

25

Stable mixture GARCH models

Broda, Simon A., Haas, Markus, Krause, Jochen, Paolella, Marc S., Steude, Sven C.

Journal:

Journal of Econometrics

Year:

2013

Language:

english

File:

PDF, 473 KB

english, 2013

26

A tail estimator for the index of the stable paretian distribution ∗

Mittnik, Stefan, Paolella, Marc S., Rachev, Svetlozar T.

Journal:

Communication in Statistics- Theory and Methods

Year:

1998

Language:

english

File:

PDF, 1.77 MB

english, 1998

27

Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples

Broda, Simon, Carstensen, Kai, Paolella, Marc S.

Journal:

Econometric Reviews

Year:

2009

Language:

english

File:

PDF, 463 KB

english, 2009

28

Uniform saddlepoint approximations for ratios of quadratic forms

Butler, Ronald W., Paolella, Marc S.

Journal:

Year:

2008

Language:

english

File:

PDF, 217 KB

english, 2008

29

ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails

Paolella, Marc S., Polak, Paweł

Journal:

International Review of Economics & Finance

Year:

2015

Language:

english

File:

PDF, 542 KB

english, 2015

30

FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION

PAOLELLA, MARC S.

Journal:

Annals of Financial Economics

Year:

2014

Language:

english

File:

PDF, 564 KB

english, 2014

31

Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios

Butler, Ronald W, Paolella, Marc S

Journal:

Journal of the American Statistical Association

Year:

2002

Language:

english

File:

PDF, 314 KB

english, 2002

32

Multivariate asset return prediction with mixture models

Paolella, Marc S.

Journal:

European Journal of Finance

Year:

2015

Language:

english

File:

PDF, 1.28 MB

english, 2015

33

Approximate Distributions for the Various Serial Correlograms

Ronald W. Butler and Marc S. Paolella

Journal:

Year:

1998

Language:

english

File:

PDF, 1.95 MB

english, 1998

34

Uniform Saddlepoint Approximations for Ratios of Quadratic Forms

Ronald W. Butler and Marc S. Paolella

Journal:

Year:

2008

Language:

english

File:

PDF, 998 KB

english, 2008

35

Intermediate Probability || The Stable Paretian Distribution

Paolella, Marc S.

Year:

2007

Language:

english

File:

PDF, 307 KB

english, 2007

36

Asymmetric stable Paretian distribution testing

Paolella, Marc S.

Journal:

Econometrics and Statistics

Year:

2017

Language:

english

File:

PDF, 1.36 MB

english, 2017

37

Robust normal mixtures for financial portfolio allocation

Gambacciani, Marco, Paolella, Marc S.

Journal:

Econometrics and Statistics

Year:

2017

Language:

english

File:

PDF, 4.07 MB

english, 2017

38

Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability

Journal:

Year:

2016

Language:

english

File:

PDF, 730 KB

english, 2016

39

New Graphical Methods and Test Statistics for Testing Composite Normality

Journal:

Year:

2015

Language:

english

File:

PDF, 607 KB

english, 2015

40

The Univariate Collapsing Method for Portfolio Optimization

Journal:

Year:

2017

Language:

english

File:

PDF, 5.78 MB

english, 2017

41

Multivariate Asset Return Prediction with Mixture Models

Paolella, Marc S.

Journal:

SSRN Electronic Journal

Year:

2011

File:

PDF, 732 KB

2011

42

Multivariate Asset Return Prediction with Mixture Models

Paolella, Marc S.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 732 KB

english, 2011

43

Modeling and Predicting Market Risk With Laplace-Gaussian Mixture Distributions

Haas, Markus, Mittnik, Stefan, Paolella, Marc S.

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 695 KB

english, 2005

44

Comfort: A Common Market Factor Non-Gaussian Returns Model

Paolella, Marc S., Polak, Pawel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1020 KB

english, 2013

45

[Wiley Series in Probability and Statistics] Fundamental Statistical Inference (A Computational Approach) || Numerical Optimization

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 902 KB

english, 2018

46

Special issue on Risk management

Maheu, John M., Paolella, Marc, Siu, Tak Kuen, So, Mike K.P.

Journal:

Econometrics and Statistics

Year:

2018

Language:

english

File:

PDF, 415 KB

english, 2018

47

[Wiley Series in Probability and Statistics] Fundamental Statistical Inference (A Computational Approach) || The Method of Indirect Inference

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 506 KB

english, 2018

48

[Wiley Series in Probability and Statistics] Fundamental Statistical Inference (A Computational Approach) || Likelihood

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 588 KB

english, 2018

49

[Wiley Series in Probability and Statistics] Fundamental Statistical Inference (A Computational Approach) || Goodness of Fit and Hypothesis Testing

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 896 KB

english, 2018

50

[Wiley Series in Probability and Statistics] Fundamental Statistical Inference (A Computational Approach) || Introducing Point and Interval Estimation

Paolella, Marc S

Year:

2018

Language:

english

File:

PDF, 1.20 MB

english, 2018

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