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Stable mixture GARCH models
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Paolella, Marc S.
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Haas, Markus
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Mittnik, Stefan
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Modelling and predicting market risk with Laplace–Gaussian mixture distributions
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Applied financial economics
16
(
2006
)
15
,
pp. 1145
Persistent link: https://www.econbiz.de/10007629952
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2
Volatility components and long memory-effects revisited
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
11
(
2007
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009949897
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3
Skew-normal mixture and Markov-switching GARCH processes
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10009949974
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4
THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS
Broda, Simon A.
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 710-729
Persistent link: https://www.econbiz.de/10010012285
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5
Theory and Methods - Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios
Butler, Ronald W.
;
Paolella, Marc S.
- In:
Journal of the American Statistical Association : JASA
97
(
2002
)
459
,
pp. 836-846
Persistent link: https://www.econbiz.de/10006615678
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6
Modeling Higher Frequency Macroeconomic Data: An Application to German Monthly Money Demand
Paolella, Marc S.
- In:
Applied economics quarterly
50
(
2004
)
2
,
pp. 113-138
Persistent link: https://www.econbiz.de/10007443504
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7
An econometric analysis of emission allowance prices
Paolella, Marc S.
;
Taschini, Luca
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2022-2032
Persistent link: https://www.econbiz.de/10008099636
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8
Diagnosing and treating the fat tails in financial returns data
Mittnik, Stefan
;
Paolella, Marc S.
;
Rachev, Svetlozar T.
- In:
Journal of empirical finance
7
(
2000
)
3
,
pp. 389
Persistent link: https://www.econbiz.de/10007241085
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9
An econometric analysis of emission allowance prices
Paolella, Marc S.
;
Taschini, Luca
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2022-2033
Persistent link: https://www.econbiz.de/10008897710
Saved in:
10
Stationarity of stable power-GARCH processes
Mittnik, Stefan
;
Paolella, Marc S.
;
Rachev, Svetlozar T.
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 97-108
Persistent link: https://www.econbiz.de/10006770265
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