Overview
Marc S. Paolella is a financial econometrician (University of Zurich; Swiss Finance Institute) known for work on heavy-tailed and mixture distributions, volatility modelling, density forecasting, and computational econometrics, and for textbooks on time series and intermediate probability.
Key Contributions / Features
- Markov-switching GARCH (Haas-Mittnik-Paolella 2004): co-developed the parallel path-independent MS-GARCH model with skewed conditional mixture densities (Markov-Switching GARCH).
- Work on (mixture) generalized-hyperbolic and stable distributions for returns, density/VaR forecasting, and portfolio risk.
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