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Chicago: a fast and accurate method for portfolio risk calculation
Broda, Simon A.; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 412-436
Persistent link: https://www.econbiz.de/10003907527
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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
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A new approach to Markov-switching GARCH models
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 4, pp. 493-530
Persistent link: https://www.econbiz.de/10002349828
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Value-at-risk prediction : a comparison of alternative strategies
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 53-89
Persistent link: https://www.econbiz.de/10003313345