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Paolella, Marc S.

Co-Author Distance
Author ID: paolella.marc-s Recent zbMATH articles by "Paolella, Marc S."
Published as: Paolella, Marc S.; Paolella, M. S.; Paolella, Marc
Documents Indexed: 27 Publications since 1998, including 3 Books
2 Contributions as Editor
Co-Authors: 21 Co-Authors with 23 Joint Publications
533 Co-Co-Authors
all top 5

Co-Authors

6 single-authored
8 Mittnik, Stefan
5 Broda, Simon A.
4 Butler, Ronald W.
4 Rachev, Svetlozar T.
3 Carstensen, Kai-Uwe
3 Polak, Paweł
2 Haas, Markus
1 Belsley, David A.
1 Duchesne, Pierre
1 Hartz, Christoph
1 Kapetanios, George
1 Kontoghiorghes, Erricos John
1 Krause, Jochen
1 Kuester, Keith
1 Näf, Jeffrey
1 Renault, Eric
1 Samorodnitsky, Gennady Pinkhosovich
1 Steude, Sven C.
1 van Dijk, Herman K.
1 Veredas, David
1 Walker, Patrick S.
all top 5

Serials

7 Computational Statistics and Data Analysis
5 Journal of Econometrics
2 Journal of the American Statistical Association
2 Mathematical and Computer Modelling
2 Bernoulli
2 Wiley Series in Probability and Statistics
1 Journal of Multivariate Analysis
1 Econometric Reviews
1 Communications in Statistics. Theory and Methods
1 Asia-Pacific Financial Markets
1 Statistics and Computing
all top 5

Fields

25 Statistics (62-XX)
10 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
4 Probability theory and stochastic processes (60-XX)
3 General and overarching topics; collections (00-XX)
2 Numerical analysis (65-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

26 Publications have been cited 194 times in 156 Documents Cited by ▼ Year ▼
Intermediate probability: a computational approach. Zbl 1149.60002
Paolella, Marc S.
31
2007
Value-at-risk prediction: a comparison of alternative strategies. Zbl 1418.91609
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S.
16
2007
Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023
Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S.
16
1998
Stationarity of stable power-GARCH processes. Zbl 1043.62074
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
15
2002
Asymmetric multivariate normal mixture GARCH. Zbl 1453.62101
Haas, Markus; Mittnik, Stefan; Paolella, Marc S.
15
2009
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
14
1998
Accurate value-at-risk forecasting based on the normal-GARCH model. Zbl 1157.62504
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc
10
2006
Testing the stable Paretian assumption. Zbl 1003.62071
Paolella, M. S.
10
2001
Stable mixture GARCH models. Zbl 1443.62336
Broda, Simon A.; Haas, Markus; Krause, Jochen; Paolella, Marc S.; Steude, Sven C.
7
2013
Bias-adjusted estimation in the ARX(1) model. Zbl 1161.62323
Broda, Simon; Carstensen, Kai; Paolella, Marc S.
6
2007
Computing moments of ratios of quadratic forms in normal variables. Zbl 1429.62030
Paolella, Marc S.
6
2003
A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
6
1998
Uniform saddlepoint approximations for ratios of quadratic forms. Zbl 1155.62009
Butler, Ronald W.; Paolella, Marc S.
5
2008
Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. Zbl 1415.60021
Näf, Jeffrey; Paolella, Marc S.; Polak, Paweł
5
2019
COMFORT: a common market factor non-Gaussian returns model. Zbl 1337.62331
Paolella, Marc S.; Polak, Paweł
5
2015
Linear models and time-series analysis. Regression, ANOVA, ARMA and GARCH. Zbl 1409.62002
Paolella, Marc S.
4
2019
A simple estimator for the characteristic exponent of the stable Paretian distribution. Zbl 0990.62021
Mittnik, S.; Paolella, M. S.
4
1999
Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios. Zbl 1048.62033
Butler, Ronald W.; Paolella, Marc S.
4
2002
Approximate distributions for the various serial correlograms. Zbl 1066.62504
Butler, Ronald W.; Paolella, Marc S.
4
1998
Calculating the density and distribution function for the singly and doubly noncentral \(F\). Zbl 1247.62044
Butler, Ronald W.; Paolella, Marc S.
3
2002
Saddlepoint approximations for the doubly noncentral \(t\) distribution. Zbl 1161.62315
Broda, Simon; Paolella, Marc S.
2
2007
Assessing and improving the performance of nearly efficient unit root tests in small samples. Zbl 1168.62079
Broda, Simon; Carstensen, Kai; Paolella, Marc S.
2
2009
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. Zbl 1456.62254
Paolella, Marc S.; Polak, Paweł; Walker, Patrick S.
1
2019
The fifth special issue on computational econometrics. Zbl 1284.00065
1
2010
Fundamental statistical inference. A computational approach. Zbl 1407.62005
Paolella, Marc S.
1
2018
Evaluating the density of ratios of noncentral quadratic forms in normal variables. Zbl 1452.62037
Broda, S.; Paolella, M. S.
1
2009
Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. Zbl 1415.60021
Näf, Jeffrey; Paolella, Marc S.; Polak, Paweł
5
2019
Linear models and time-series analysis. Regression, ANOVA, ARMA and GARCH. Zbl 1409.62002
Paolella, Marc S.
4
2019
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. Zbl 1456.62254
Paolella, Marc S.; Polak, Paweł; Walker, Patrick S.
1
2019
Fundamental statistical inference. A computational approach. Zbl 1407.62005
Paolella, Marc S.
1
2018
COMFORT: a common market factor non-Gaussian returns model. Zbl 1337.62331
Paolella, Marc S.; Polak, Paweł
5
2015
Stable mixture GARCH models. Zbl 1443.62336
Broda, Simon A.; Haas, Markus; Krause, Jochen; Paolella, Marc S.; Steude, Sven C.
7
2013
The fifth special issue on computational econometrics. Zbl 1284.00065
1
2010
Asymmetric multivariate normal mixture GARCH. Zbl 1453.62101
Haas, Markus; Mittnik, Stefan; Paolella, Marc S.
15
2009
Assessing and improving the performance of nearly efficient unit root tests in small samples. Zbl 1168.62079
Broda, Simon; Carstensen, Kai; Paolella, Marc S.
2
2009
Evaluating the density of ratios of noncentral quadratic forms in normal variables. Zbl 1452.62037
Broda, S.; Paolella, M. S.
1
2009
Uniform saddlepoint approximations for ratios of quadratic forms. Zbl 1155.62009
Butler, Ronald W.; Paolella, Marc S.
5
2008
Intermediate probability: a computational approach. Zbl 1149.60002
Paolella, Marc S.
31
2007
Value-at-risk prediction: a comparison of alternative strategies. Zbl 1418.91609
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S.
16
2007
Bias-adjusted estimation in the ARX(1) model. Zbl 1161.62323
Broda, Simon; Carstensen, Kai; Paolella, Marc S.
6
2007
Saddlepoint approximations for the doubly noncentral \(t\) distribution. Zbl 1161.62315
Broda, Simon; Paolella, Marc S.
2
2007
Accurate value-at-risk forecasting based on the normal-GARCH model. Zbl 1157.62504
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc
10
2006
Computing moments of ratios of quadratic forms in normal variables. Zbl 1429.62030
Paolella, Marc S.
6
2003
Stationarity of stable power-GARCH processes. Zbl 1043.62074
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
15
2002
Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios. Zbl 1048.62033
Butler, Ronald W.; Paolella, Marc S.
4
2002
Calculating the density and distribution function for the singly and doubly noncentral \(F\). Zbl 1247.62044
Butler, Ronald W.; Paolella, Marc S.
3
2002
Testing the stable Paretian assumption. Zbl 1003.62071
Paolella, M. S.
10
2001
A simple estimator for the characteristic exponent of the stable Paretian distribution. Zbl 0990.62021
Mittnik, S.; Paolella, M. S.
4
1999
Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023
Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S.
16
1998
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
14
1998
A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
6
1998
Approximate distributions for the various serial correlograms. Zbl 1066.62504
Butler, Ronald W.; Paolella, Marc S.
4
1998
all cited Publications top 5 cited Publications
all top 5

Cited by 275 Authors

13 Paolella, Marc S.
8 Mittnik, Stefan
5 Rachev, Svetlozar T.
4 Broda, Simon A.
4 Meintanis, Simos George
4 Polak, Paweł
3 Francq, Christian
3 Haas, Markus
3 Ruiz, Esther
3 Smeekes, Stephan
2 Auer, Benjamin R.
2 Bellini, Fabio
2 Belsley, David A.
2 Bottolo, Leonardo
2 Calzolari, Giorgio
2 Curto, José Dias
2 Fischer, Matthias
2 Gardini, Aldo
2 Halbleib, Roxana
2 Hotta, Luiz Koodi
2 Ignatieva, Katja
2 Kontoghiorghes, Erricos John
2 Landsman, Zinoviy M.
2 Lee, Taewook
2 Ng, Kok-Haur
2 Nolan, John P.
2 Paulauskas, Vygantas Ionovič
2 Rosadi, Dedi
2 Tao, Ye
2 Tavares, Gonçalo Nuno
2 Trivisano, Carlo
2 Trucíos, Carlos
2 Veredas, David
2 Yin, Juliang
2 Zhu, Dongming
1 Abd-Elfattah, Ehab F.
1 Ahcan, Ales
1 Akinyemi, M. I.
1 Alp, Tansel
1 Arellano-Valle, Reinaldo Boris
1 Arevalillo, Jorge M.
1 Arismendi, Juan Carlos
1 Arvanitis, Stelios
1 Augustyniak, Maciej
1 Azzalini, Adelchi
1 Baek, Changryong
1 Bekaert, Geert
1 Bellahnid, Abdellatif
1 Beutner, Eric
1 Bianchi, Michele Leonardo
1 Bolin, David
1 Bonato, Matteo
1 Boshnakov, Georgi N.
1 Boudt, Kris
1 Brogi, Marina
1 Budsaba, Kamon
1 Burch, Brent D.
1 Butler, Ronald W.
1 Cabral, Rafael
1 Carstensen, Kai-Uwe
1 Chan, Jennifer So Kuen
1 Chang, Chialin
1 Chang, Fang
1 Chen, Cathy W. S.
1 Chen, Qian
1 Chenyao, D.
1 Christiansen, Marcus Christian
1 Chuffart, Thomas
1 Chvosta, Petr
1 Corsi, Fulvio
1 Croux, Christophe
1 Cuomo, Salvatore
1 Davis, Mark Herbert Ainsworth
1 Deistler, Manfred
1 Dellaportas, Petros
1 Demetrescu, Matei
1 Deschamps, Philippe J.
1 Doganoglu, Toker
1 Domínguez-Rocha, Víctor
1 Dong, Christine Yang
1 Dong, Xiaogang
1 Du, Xiaoping
1 Eisinga, Rob
1 Engstrom, Eric
1 Ermolov, Andrey
1 Fabozzi, Frank J.
1 Fabrizi, Enrico
1 Flachaire, Emmanuel
1 Fontana, Claudio
1 Fotopoulos, Stergios B.
1 Fougères, Anne-Laure
1 Fresoli, Diego E.
1 Galbraith, John W.
1 Galimberti, Giuliano
1 Gallo, Giampiero M.
1 Garcia-Jorcano, Laura
1 Garcia, René
1 Gel, Yulia R.
1 Giannikis, D.
1 Gneyou, Kossi Essona
...and 175 more Authors
all top 5

Cited in 62 Serials

28 Computational Statistics and Data Analysis
15 Journal of Econometrics
7 Mathematical and Computer Modelling
6 Journal of Multivariate Analysis
5 Communications in Statistics. Theory and Methods
5 Quantitative Finance
4 Journal of Statistical Planning and Inference
4 Statistics & Probability Letters
4 Communications in Statistics. Simulation and Computation
4 Journal of Statistical Computation and Simulation
4 Studies in Nonlinear Dynamics and Econometrics
3 Journal of Computational and Applied Mathematics
3 Journal of Time Series Analysis
3 Econometric Reviews
3 Computational Statistics
2 Metrika
2 Statistica Neerlandica
2 Insurance Mathematics & Economics
2 Statistical Papers
2 Bernoulli
2 International Journal of Theoretical and Applied Finance
2 Econometric Theory
2 Journal of the Korean Statistical Society
2 Journal of Statistical Theory and Practice
1 Mathematical Methods in the Applied Sciences
1 Physica A
1 Bulletin of Mathematical Biology
1 Theory of Probability and its Applications
1 Annals of the Institute of Statistical Mathematics
1 The Annals of Probability
1 Biometrical Journal
1 International Statistical Review
1 Journal of Applied Probability
1 Kybernetika
1 Journal of the Nigerian Mathematical Society
1 Physica D
1 Applied Mathematical Modelling
1 Test
1 Journal of Mathematical Sciences (New York)
1 Mathematical Problems in Engineering
1 Nonlinear Dynamics
1 Methodology and Computing in Applied Probability
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 Structural and Multidisciplinary Optimization
1 Statistical Methods and Applications
1 Journal of Industrial and Management Optimization
1 Journal of Forecasting
1 Journal of Physics A: Mathematical and Theoretical
1 SIAM Journal on Financial Mathematics
1 Afrika Statistika
1 Science China. Mathematics
1 Journal of Business and Economic Statistics
1 Journal of Computational and Graphical Statistics
1 Journal of Probability and Statistics
1 Wiley Interdisciplinary Reviews. WIREs Computational Statistics
1 Statistics and Computing
1 Annals of Finance
1 Statistics & Risk Modeling
1 Bayesian Analysis
1 Communications in Mathematics and Statistics
1 Dependence Modeling
all top 5

Cited in 17 Fields

129 Statistics (62-XX)
51 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
31 Probability theory and stochastic processes (60-XX)
18 Numerical analysis (65-XX)
3 General and overarching topics; collections (00-XX)
3 Dynamical systems and ergodic theory (37-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Operations research, mathematical programming (90-XX)
1 Real functions (26-XX)
1 Partial differential equations (35-XX)
1 Difference and functional equations (39-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Integral transforms, operational calculus (44-XX)
1 Functional analysis (46-XX)
1 Biology and other natural sciences (92-XX)
1 Systems theory; control (93-XX)

Citations by Year