Marc S. Paolella

Available identifiers

zbMath Open paolella.marc-sMaRDI QIDQ451223

List of research outcomes

Publication	Date of Publication	Type
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns	2019-12-19	Paper
Value-at-Risk Prediction: A Comparison of Alternative Strategies	2019-08-01	Paper
Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition	2019-07-02	Paper
Linear Models and Time-Series Analysis	2019-03-15	Paper
Fundamental Statistical Inference	2018-10-29	Paper
Stable mixture GARCH models	2017-05-12	Paper
COMFORT: a common market factor non-Gaussian returns model	2015-06-08	Paper
https://portal.mardi4nfdi.de/entity/Q5252160	2015-05-29	Paper
Calculating the density and distribution function for the singly and doubly noncentral \(F\)	2012-09-23	Paper
Asymmetric multivariate normal mixture GARCH	2010-03-30	Paper
Evaluating the density of ratios of noncentral quadratic forms in normal variables	2010-03-30	Paper
Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples	2009-08-28	Paper
Bias-adjusted estimation in the ARX(1) model	2009-05-29	Paper
Saddlepoint approximations for the doubly noncentral \(t\) distribution	2009-05-29	Paper
Accurate value-at-risk forecasting based on the normal-GARCH model	2009-04-06	Paper
Uniform saddlepoint approximations for ratios of quadratic forms	2009-03-02	Paper
Unconditional and conditional distributional models for the Nikkei index	2009-02-06	Paper
Computing moments of ratios of quadratic forms in normal variables	2008-11-04	Paper
On median unbiased inference for first order autoregressive models	2008-05-14	Paper
Intermediate Probability	2007-08-23	Paper
Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios	2004-06-10	Paper
Stationarity of stable power-GARCH processes.	2003-02-17	Paper
Testing the stable Paretian assumption	2002-06-13	Paper
A simple estimator for the characteristic exponent of the stable Paretian distribution	2002-05-05	Paper
https://portal.mardi4nfdi.de/entity/Q4247099	1999-11-29	Paper
Approximate distributions for the various serial correlograms	1999-05-26	Paper
A tail estimator for the index of the stable paretian distribution∗	1998-11-09	Paper

Research outcomes over time

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