Marc S. Paolella

Finance · 2000–2018

A researcher in the Science corpus: 9 papers; trusts 44 researchers and is trusted by 51 researchers here, as inferred from the citation graph.

Subfields

• Finance — 38 citations into it; #975 of 10,518 by trust here, #1,086 by citations
• Economics and Econometrics — 34 citations into it; #2,078 of 23,481 by trust here, #3,439 by citations
• Statistics and Probability — 20 citations into it; #3,659 of 12,932 by trust here, #2,629 by citations
• Artificial Intelligence — 5 citations into it
• Economics & Operations Research — 5 citations into it
• Time-Series & Forecasting — 5 citations into it

Whom Marc S. Paolella trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Stefan Mittnik
2. Tim Bollerslev
3. Aapo Hyvärinen
4. R. Weide
5. Luc Bauwens
6. Daniel B. Nelson
7. Svetlozar T. Rachev
8. Olivier Ledoit
9. Bo Martin Bibby
10. Chris Brooks

Who trusts Marc S. Paolella overall

1. P. Giot
2. J. H. Fan
3. Suk Joon Byun
4. James W. Taylor
5. R. Cong
6. Shawkat Hammoudeh
7. Sébastien-Yves Laurent
8. Nicolas Koch
9. Stefan Mittnik
10. Bangzhu Zhu

Papers from Marc S. Paolella's perspective

Ordered by how strongly the researchers Marc S. Paolella trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
3. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
4. Maximum likelihood from incomplete data via the EM - algorithm plus discussions on the paper
5. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
6. The Behavior of Stock-Market Prices
7. Time Series Analysis by State Space Methods
8. Information Theory and an Extension of the Maximum Likelihood Principle
9. Statistical Inference Using Extreme Order Statistics
10. The Hidden Dangers of Historical Simulation

Their papers

• An econometric analysis of emission allowance prices (2008) — 312 citations
• Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005) — 683 citations
• Conditional density and value‐at‐risk prediction of Asian currency exchange rates (2000) — 194 citations
• A New Approach to Markov-Switching GARCH Models (2004) — 558 citations
• Stationarity of stable power-GARCH processes (2002) — 89 citations
• Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (2003) — 77 citations
• Mixed Normal Conditional Heteroskedasticity (2004) — 214 citations
• Linear Models and Time-Series Analysis (2018) — 85 citations
• Financial Valuation and Risk Management Working Paper No . 454 CHICAGO : A Fast and Accurate Method for Portfolio Risk Calculation (2008)