COMFORT: A common market factor non-Gaussian returns model MS Paolella, P Polak Journal of Econometrics 187 (2), 593-605, 2015 | 38 | 2015 |
Regime Switching Dynamic Correlations for Asymmetric and Fat-Tailed Conditional Returns MS Paolella, P Polak, PS Walker Journal of Econometrics 213 (2), 493-515, 2019 | 29 | 2019 |
ALRIGHT: Asymmetric LaRge-Scale (I) GARCH with hetero-tails MS Paolella, P Polak International Review of Economics & Finance 40, 282-297, 2015 | 26 | 2015 |
A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs MS Paolella, P Polak, PS Walker Journal of Banking and Finance 125 (106046), 2021 | 23 | 2021 |
Heterogeneous Tail Generalized COMFORT Modeling via Cholesky Decomposition J Naef, MS Paolella, P Polak Journal of Multivariate Analysis 172, 84-106, 2019 | 17 | 2019 |
Portfolio Selection with Active Risk Monitoring MS Paolella, P Polak Swiss Finance Institute Research Paper 15 (17), 2015 | 13 | 2015 |
COBra: Copula-Based Portfolio Optimization MS Paolella, P Polak Predictive Econometrics and Big Data, 36-77, 2018 | 11 | 2018 |
Real-Time Emotion Detection by Quantitative Facial Motion Analysis JR Saadon, F Yang, R Burgert, S Mohammad, T Gammel, M Sepe, ... Plos one 18 (3), e0282730, 2023 | 9 | 2023 |
Density and Risk Prediction with Non-Gaussian COMFORT Models MS Paolella, P Polak | 6 | 2021 |
MuseChat: A Conversational Music Recommendation System for Videos Z Dong, B Chen, X Liu, P Polak, P Zhang arXiv preprint arXiv:2310.06282, 2023 | 5 | 2023 |
Dynamic currency hedging with non-Gaussianity and ambiguity P Polak, U Ulrych Quantitative Finance, 1-23, 2024 | 4 | 2024 |
Density and Risk Prediction with Non-Gaussian COMFORT Models M Paolella, P Polak Annals of Financial Economics 18 (1), 2023 | 4 | 2023 |
Face-GPS: A Comprehensive Technique for Quantifying Facial Muscle Dynamics in Videos J Kim, Z Dong, P Polak arXiv preprint arXiv:2401.05625, 2024 | 3 | 2024 |
Heterogeneous tail generalized common factor modeling S Hediger, J Näf, MS Paolella, P Polak Swiss Finance Institute Research Paper, 2021 | 3 | 2021 |
MARC-MARS: Modeling Asset Returns via Conditional Multivariate Asymmetric Regime-Switching M Paolella, P Polak Swiss Finance Institute Research Paper Series, 2011 | 3 | 2011 |
A unified framework for fast large-scale portfolio optimization W Deng, P Polak, A Safikhani, R Shah Data Science in Science 3 (1), 2295539, 2024 | 2 | 2024 |
Heterogeneous Tail Generalized Common Factor Modeling S Hediger, J Näf, MS Paolella, P Polak Digital Finance, 1-32, 2023 | 2 | 2023 |
Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy J Miao, P Polak arXiv preprint arXiv:2304.09947, 2023 | 2 | 2023 |
Momentum Without Crashes S Chitsiripanich, MS Paolella, P Polak, PS Walker Swiss Finance Institute Research Paper, 2022 | 2 | 2022 |
CP-PINNs: Changepoints Detection in PDEs using Physics Informed Neural Networks with Total-Variation Penalty Z Dong, P Polak arXiv preprint arXiv:2208.08626, 2022 | 2 | 2022 |