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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
Persistent link: https://www.econbiz.de/10001788591
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On median unbiased inference for first order autoregressive models
Carstensen, Kai; Paolella, Marc S. - In: Contributions to modern econometrics : from data …, (pp. 23-38). 2002
Persistent link: https://www.econbiz.de/10001905011
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Computing the density and distribution of ratios of quadratic forms in normal variables
Butler, Ronald W.; Paolella, Marc S. - 1999
Persistent link: https://www.econbiz.de/10001556995
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Computing moments of ratios of quadratic forms in normal variables
Paolella, Marc S. - 1999
Persistent link: https://www.econbiz.de/10001556998
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Testing the stable Paretian assumption
Paolella, Marc S. - 1999
Persistent link: https://www.econbiz.de/10001557006
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Stationarity of stable GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1999
Persistent link: https://www.econbiz.de/10001557008
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Diagnosing and treating the fat tails in financial returns data
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - In: Journal of empirical finance 7 (2000) 3/4, pp. 389-416
Persistent link: https://www.econbiz.de/10001558281
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Using flexible GARCH models with asymmetric distributions
Paolella, Marc S. - 1997
Persistent link: https://www.econbiz.de/10000984446