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Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 211-250

Persistent link: https://www.econbiz.de/10002214262

Time-varying mixture GARCH models and asymmetric volatility

Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623

Persistent link: https://www.econbiz.de/10010370491

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

Multivariate asset return prediction with mixture models

Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252

Persistent link: https://www.econbiz.de/10011419842

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

Stable-GARCH models for financial returns : fast estimation and tests for stability

Paolella, Marc S. - In: Econometrics : open access journal 4 (2016) 2, pp. 1-28

A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 α 2 are used for assessing the appropriateness of the stable assumption as the...

Persistent link: https://www.econbiz.de/10011506322