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Publications by Marc S. Paolella
Comfort: A Common Market Factor Non-Gaussian Returns Model
SSRN Electronic Journal
Archmodels.Jl: Estimating Arch Models in Julia
SSRN Electronic Journal
A Fast, Accurate Method for Value at Risk and Expected Shortfall
SSRN Electronic Journal
Related publications
A Factor Model of Seasonality in Stock Returns
Quarterly Review of Economics and Finance
Economics
Econometrics
Finance
VaR Computation of Non-Gaussian Stochastic Model
Journal of Advanced Management Science
Testing Stock Market Convergence: A Non-Linear Factor Approach
Empirica
Development
Planning
Econometrics
Economics
Geography
Predictions of a Non-Gaussian Model for Large Scale Structure
Market Efficiency, Role of Earnings Information, and Stock Returns: A Vector Autoregressive Model Approach
The Japanese Accounting Review
Equivariant Gröbner Bases and the Gaussian Two-Factor Model
Mathematics of Computation
Computational Mathematics
Applied Mathematics
Number Theory
Algebra
Stock Market Returns and Consumption
OrderImbalance, Liquidity and Market Returns
SSRN Electronic Journal
Common Factors in International Bond Returns
SSRN Electronic Journal
