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The European Journal of Finance Volume 21, 2015 - Issue 13-14: Skew-elliptical distributions in finance and skewness in asset returns
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Original Articles

Multivariate asset return prediction with mixture models

Marc S. PaolellaSwiss Banking Institute, University of Zurich, Rämistrasse 71, 8006Zurich, Switzerland;Swiss Finance Institute, Walchestrasse 9, CH-8006Zurich, SwitzerlandCorrespondence[email protected]
Pages 1214-1252 | Received 06 Nov 2012, Accepted 08 Dec 2012, Published online: 03 May 2013

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Jolita Vveinhardt, Dalia Streimikiene, Ahmed Raheem Rizwan, Ahmad Nawaz & Aniqe Rehman. (2016) Mean reversion: an investigation from Karachi stock exchange sectors. Technological and Economic Development of Economy 22:4, pages 493-511.
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Articles from other publishers (21)

Hadis Abbasi, Shahrooz Bamdad & Morteza Rahimi. (2023) Metaheuristic-based portfolio optimization in peer-to-peer lending platforms. International Journal of System Assurance Engineering and Management.
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Marc S. Paolella & Paweł Polak. (2023) Density and Risk Prediction with Non-Gaussian COMFORT Models. Annals of Financial Economics 18:01.
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Zhilin Kang, Haixiang Yao, Xingyi Li & Zhongfei Li. (2022) Robust enhanced index tracking problem with mixture of distributions. Expert Systems with Applications 201, pages 117110.
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Mike K.P. So, Thomas W.C. Chan & Amanda M.Y. Chu. (2022) Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. Journal of Econometrics 227:1, pages 151-167.
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Luca Merlo, Lea Petrella & Valentina Raponi. (2021) Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. Journal of Banking & Finance 133, pages 106248.
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Li Wan, Liyan Han, Yang Xu & Roman Matousek. (2021) Dynamic linkage between the Chinese and global stock markets: A normal mixture approach. Emerging Markets Review 49, pages 100764.
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Golnoosh Babaei & Shahrooz Bamdad. (2020) A multi-objective instance-based decision support system for investment recommendation in peer-to-peer lending. Expert Systems with Applications 150, pages 113278.
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Marc S. Paolella, Paweł Polak & Patrick S. Walker. (2019) Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. Journal of Econometrics 213:2, pages 493-515.
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Yang Xu, Liyan Han, Li Wan & Libo Yin. (2019) Dynamic link between oil prices and exchange rates: A non-linear approach. Energy Economics 84, pages 104488.
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Jeffrey Näf, Marc S. Paolella & Paweł Polak. (2019) Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. Journal of Multivariate Analysis 172, pages 84-106.
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Marc S Paolella. 2018. Linear Models and Time-Series Analysis. Linear Models and Time-Series Analysis 825 873 .
. 2018. Fundamental Statistical Inference. Fundamental Statistical Inference 537 560 .
Marco Gambacciani & Marc S. Paolella. (2017) Robust normal mixtures for financial portfolio allocation. Econometrics and Statistics 3, pages 91-111.
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Marc Paolella. (2017) The Univariate Collapsing Method for Portfolio Optimization. Econometrics 5:2, pages 18.
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Chun-Fu Jiang, Hong-Yi Peng & Yu-Kuan Yang. (2016) Tail variance of portfolio under generalized Laplace distribution. Applied Mathematics and Computation 282, pages 187-203.
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Sílvia R.C. Lopes & Taiane S. Prass. (2013) Seasonal FIEGARCH processes. Computational Statistics & Data Analysis 68, pages 262-295.
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Simon Hediger & Jeffrey Näf. (2022) Shrinking in COMFORT. SSRN Electronic Journal.
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Marc S. Paolella, Pawel Polak & Patrick S. Walker. (2019) A Flexible Regime Switching Model for Asset Returns. SSRN Electronic Journal.
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Christopher J. Adcock, Nelson Manuel de Pinho Branddo da Costa Areal, Manuel Joss Rocha Armada, Maria Ceu Cortez, Benilde Oliveira & Florinda Silva. (2017) Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation. SSRN Electronic Journal.
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Marc S. Paolella & Pawel Polak. (2015) Portfolio Selection with Active Risk Monitoring. SSRN Electronic Journal.
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Marc S. Paolella & Pawel Polak. (2013) Comfort: A Common Market Factor Non-Gaussian Returns Model. SSRN Electronic Journal.
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