Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
MS Paolella, P Polak, PS Walker - Journal of Econometrics, 2019 - Elsevier
A non-Gaussian multivariate regime switching dynamic correlation model for financial asset
returns is proposed. It incorporates the multivariate generalized hyperbolic law for the …
returns is proposed. It incorporates the multivariate generalized hyperbolic law for the …
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
MS Paolella, P Polak, PS Walker - Journal of Banking & Finance, 2021 - Elsevier
Covariance matrix forecasts for portfolio optimization have to balance sensitivity to new data
points with stability in order to avoid excessive rebalancing. To achieve this, a new …
points with stability in order to avoid excessive rebalancing. To achieve this, a new …
COMFORT: A common market factor non-Gaussian returns model
MS Paolella, P Polak - Journal of Econometrics, 2015 - Elsevier
A new multivariate time series model with various attractive properties is motivated and
studied. By extending the CCC model in several ways, it allows for all the primary stylized …
studied. By extending the CCC model in several ways, it allows for all the primary stylized …
[HTML][HTML] Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
A mean–variance heterogeneous tails mixture distribution is proposed for modeling financial
asset returns. It captures, along with the obligatory leptokurtosis, different tail behavior …
asset returns. It captures, along with the obligatory leptokurtosis, different tail behavior …
Robust normal mixtures for financial portfolio allocation
M Gambacciani, MS Paolella - Econometrics and Statistics, 2017 - Elsevier
A new approach for multivariate modelling and prediction of asset returns is proposed. It is
based on a two-component normal mixture, estimated using a fast new variation of the …
based on a two-component normal mixture, estimated using a fast new variation of the …
Stable-GARCH models for financial returns: Fast estimation and tests for stability
MS Paolella - Econometrics, 2016 - mdpi.com
A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or
iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution …
iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution …
A unified framework for fast large-scale portfolio optimization
W Deng, P Polak, A Safikhani, R Shah - Data Science in Science, 2024 - Taylor & Francis
We introduce a unified framework for rapid, large-scale portfolio optimization that
incorporates both shrinkage and regularization techniques. This framework addresses …
incorporates both shrinkage and regularization techniques. This framework addresses …
COBra: Copula-based portfolio optimization
MS Paolella, P Polak - … Conference of the Thailand Econometrics Society, 2017 - Springer
The meta-elliptical t copula with noncentral t GARCH univariate margins is studied as a
model for asset allocation. A method of parameter estimation is deployed that is nearly …
model for asset allocation. A method of parameter estimation is deployed that is nearly …
Dynamic currency hedging with non-Gaussianity and ambiguity
This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. It provides theoretical and empirical evidence that …
diversified investors with ambiguity. It provides theoretical and empirical evidence that …
Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility
MS Paolella, P Polak, PS Walker - Available at SSRN 4652551, 2023 - papers.ssrn.com
Risk parity portfolio optimization, using expected shortfall as the risk measure, is
investigated when asset returns are fat-tailed and heteroscedastic. The conditional return …
investigated when asset returns are fat-tailed and heteroscedastic. The conditional return …