Publications

Our innovations come from several solutions we generated over the last years, for which we have won over ten awards nationally, as well as internationally. These innovations are based on cutting-edge research from our board and affiliated researchers.

Here you find papers published by our board members and affiliated researchers.

Optimal and Naive Diversification in Currency Markets 

Authors: Fabian Ackermann, Karl Schmedders, Walter Pohl
Published: Management Science – Vol. 63 (Issue 10), pp. 3347-3360
Date: October 2017
Link: https://pubsonline.informs.org/doi/10.1287/mnsc.2016.2497

Higher Order Effects in Asset Pricing Models with Long‐Run Risk

Authors: Walter Pohl, Karl Schmedders, Ole Wilms
Published: Journal of Finance – Vol. 73 (Issue 3), pp. 1061-1111
Date: July 2018
Link: https://onlinelibrary.wiley.com/doi/10.1111/jofi.12615

Margin regulation and volatility

Authors: Johannes Brumm, Michael Grill, Felix Kubler, Karl Schmedders
Published: Journal of Monetary Economics – Vol. 75 (Issue), pp 54-68
Date: October 2015
Link: https://www.sciencedirect.com/science/article/abs/pii/S0304393214001834

Multivariate Asset Return Prediction with Mixture Models

Author: Marc S. Paolella
Published: European Journal of Finance – Vol. 21 (Issue 13-14), pp. 1214-1252
Date: 2015
Link: https://www.tandfonline.com/doi/abs/10.1080/1351847X.2012.760167

Fast Methods for Large-Scale Non-Elliptical Portfolio Optimization

Author: Marc S. Paolella
Published: Recent Developments in Quantitative Finance and Annals of Financial Economics – Vol. 9 (Issue 2), pp. 1-32
Date: 2014
Link: https://www.zora.uzh.ch/id/eprint/119591/

The Univariate Collapsing Method for Portfolio Optimization

Author: Marc S. Paolella
Published: Econometrics – Vol. 5 (Issue 2), pp. 1-33
Date: 2017
Link: https://www.mdpi.com/2225-1146/5/2/18/html

Asymmetric Stable Paretian Distribution Testing

Author: Marc S. Paolella
Published: Econometrics and Statistics – Vol. 1 (Issue C), pp. 19-39
Date: 2016
Link: https://ideas.repec.org/a/eee/ecosta/v1y2017icp19-39.html

Portfolio Selection with Active Risk Monitoring

Authors: Marc S. Paolella, Pawel Polak
Published: Swiss Finance Institute Research Paper Series N°15-17
Date: 2015
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2616284

ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails

Authors: Marc S. Paolella, Pawel Polak
Published: International Review of Economics and Finance – Vol. 40 (Issue C), pp. 282-297
Date: 2015
Link: https://ideas.repec.org/a/eee/reveco/v40y2015icp282-297.html

COMFORT: A Common Market Factor Non-Gaussian Returns Model

Authors: Marc S. Paolella, Pawel Polak
Published: Journal of Econometrics – Vol. 187 (Issue 2), pp. 593-605
Date: 2015
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2287793

COBra: Copula-Based Portfolio Optimization

Authors: Marc S. Paolella, Pawel Polak
Appears in: Predictive Econometrics and Big Data, Vladik Kreinovich, Songsak Sriboonchitta, Nopasit Chakpitak (Eds.), Springer-Verlag, pp. 36-77
Date: 2018
Link: https://link.springer.com/chapter/10.1007/978-3-319-70942-0_3

Value–at–Risk Prediction: A Comparison of Alternative Strategies

Authors: Keith Kuester, Marc S. Paolella, Stefan Mittnik
Published: Journal of Financial Econometrics – Vol. 4 (Issue 1), pp.53-89
Appears in: The Foundations of Credit Risk Analysis, edited by Willi Semmler and Lucas Bernard, Edward Elgar Publishing, 2007
Date: 2006
Link: https://academic.oup.com/jfec/article-abstract/4/1/53/833052

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

Authors: Krause Jochen, Marc S. Paolella
Published: A fast, accurate method for value-at-risk and expected shortfall Econometrics – Vol. 2 (Issues 2), pp. 98-122.
Date: 2014
Link: https://www.zora.uzh.ch/id/eprint/109719/

Robust Normal Mixtures for Financial Portfolio Allocation

Authors: Marco Gambacciani, Marc S. Paolella
Published: Econometrics and Statistics – Vol. 3 (Issue C), pp. 91-111
Date: 2017
Link: https://www.sciencedirect.com/science/article/pii/S2452306217300126

CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Authors: Simon A. Broda, Marc S. Paolella
Published: Journal of Financial Econometrics – Vol. 7 (Issue 4), pp. 412-436
Date: 2009
Link: https://academic.oup.com/jfec/article-abstract/7/4/412/781271?redirectedFrom=PDF

Approximating Expected Shortfall for Heavy–Tailed Distributions

Authors: Simon A. Borda, Jochen Krause, Marc S. Paolella
Published: Econometrics and Statistics – Vol. 8, pp. 184-203
Date: 2018
Link: https://www.researchgate.net/publication/318605513_Approximating_Expected_Shortfall_for_Heavy-Tailed_Distributions

Heterogenous Tail Generalized COMFORT Modeling via Cholesky Decomposition

Author: Pawel Polak
Published: Forthcoming in Journal of Multivariate Analysis
Date: 2018
Link: https://ww2.amstat.org/meetings/jsm/2018/onlineprogram/AbstractDetails.cfm?abstractid=330966

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