Massimiliano Caporin
Names
| first: |
Massimiliano |
| last: |
Caporin |
Identifer
Contact
| phone: |
+390498274199 |
| postal address: |
Department of Statstical Sciences
University of Padova
Via Cesare Battisti, 241
35121 Padova
Italy |
Affiliations
-
Università degli Studi di Padova - Dipartimento di Scienze Statistiche (weight: 66%)
- http://www.stat.unipd.it/
- location: Italy, Padova
Research profile
author of:
- Volatility jumps and their economic determinants (RePEc:aah:create:2014-27)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Chasing volatility - A persistent multiplicative error model with jumps (RePEc:aah:create:2014-29)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 (RePEc:aah:create:2014-33)
by Massimiliano Caporin & Luca Corazzini & Michele Costola - The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode (RePEc:aah:create:2017-25)
by Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris - A multilevel factor approach for the analysis of CDS commonality and risk contribution (RePEc:aah:create:2018-33)
by Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin - Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil (RePEc:aen:journl:ej42-6-khalifa)
by Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh - Ensemble properties of high frequency data and intraday trading rules (RePEc:arx:papers:1202.2447)
by Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella - Option pricing with non-Gaussian scaling and infinite-state switching volatility (RePEc:arx:papers:1307.6322)
by Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo - Asset Allocation Strategies Based on Penalized Quantile Regression (RePEc:arx:papers:1507.00250)
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini - A Scientific Classification Of Volatility Models (RePEc:bla:jecsur:v:24:y:2010:i:1:p:192-195)
by Massimiliano Caporin & Michael McAleer - The Ten Commandments For Managing Investments (RePEc:bla:jecsur:v:24:y:2010:i:1:p:196-200)
by Massimiliano Caporin & Michael McAleer - Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models (RePEc:bla:jecsur:v:26:y:2012:i:4:p:736-751)
by Massimiliano Caporin & Michael McAleer - A Survey On The Four Families Of Performance Measures (RePEc:bla:jecsur:v:28:y:2014:i:5:p:917-942)
by Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet - Statistical Analysis of Financial Data: with Examples In R (RePEc:bla:jorssa:v:185:y:2022:i:1:p:432-433)
by Massimiliano Caporin - A note on calculating autocovariances of long‐memory processes (RePEc:bla:jtsera:v:23:y:2002:i:5:p:503-508)
by Stefano Bertelli & Massimiliano Caporin - Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH (RePEc:bla:stanee:v:65:y:2011:i:2:p:125-163)
by Massimiliano Caporin & Michael McAleer - Measuring sovereign contagion in Europe (RePEc:bno:worpap:2012_05)
by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon - Measuring Sovereign Contagion in Europe (RePEc:bny:wpaper:0009)
by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon - Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach (RePEc:bzn:wpaper:bemps61)
by Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo - Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves (RePEc:cai:finpug:fina_pr_018)
by Massimiliano Caporin & Syed Jawad Hussain Shahzad - Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models (RePEc:cbt:econwp:10/06)
by Massimiliano Caporin & Michael McAleer - Block Structure Multivariate Stochastic Volatility Models (RePEc:cbt:econwp:10/24)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:cbt:econwp:10/32)
by Michael McAleer & Massimiliano Caporin - Ranking Multivariate GARCH Models by Problem Dimension (RePEc:cbt:econwp:10/34)
by Massimiliano Caporin & Michael McAleer - Model Selection and Testing of Conditional and Stochastic Volatility Models (RePEc:cbt:econwp:10/58)
by Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:cbt:econwp:10/73)
by Massimiliano Caporin & Michael McAleer - Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation (RePEc:cbt:econwp:11/23)
by Massimiliano Caporin & Michael McAleer - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:cbt:econwp:12/04)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Robust Ranking of Multivariate GARCH Models by Problem Dimension (RePEc:cbt:econwp:12/06)
by Massimiliano Caporin & Michael McAleer - Ten Things You Should Know About DCC (RePEc:cbt:econwp:13/16)
by Massimiliano Caporin & Michael McAleer - Ten Things You Should Know About the Dynamic Conditional Correlation Representation (RePEc:cbt:econwp:13/21)
by Massimiliano Caporin & Michael McAleer - Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (RePEc:cfi:fseres:cf156)
by Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:cfi:fseres:cf217)
by Massimiliano Caporin & Michael McAleer - Ranking Multivariate GARCH Models by Problem Dimension (RePEc:cfi:fseres:cf219)
by Massimiliano Caporin & Michael McAleer - Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets (RePEc:chf:rpseri:rp1747)
by Massimiliano Caporin & Loriana Pelizzon & Alberto Plazzi - On the volatilities of tourism stocks and oil (RePEc:eee:anture:v:81:y:2020:i:c:s0160738319300465)
by Shahzad, Syed Jawad Hussain & Caporin, Massimiliano - Generalised long-memory GARCH models for intra-daily volatility (RePEc:eee:csdana:v:51:y:2007:i:12:p:5900-5912)
by Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco - Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion (RePEc:eee:csdana:v:54:y:2010:i:11:p:2443-2458)
by Billio, Monica & Caporin, Massimiliano - Modelling and forecasting wind speed intensity for weather risk management (RePEc:eee:csdana:v:56:y:2012:i:11:p:3459-3476)
by Caporin, Massimiliano & Preś, Juliusz - Robust ranking of multivariate GARCH models by problem dimension (RePEc:eee:csdana:v:76:y:2014:i:c:p:172-185)
by Caporin, Massimiliano & McAleer, Michael - Variance clustering improved dynamic conditional correlation MGARCH estimators (RePEc:eee:csdana:v:76:y:2014:i:c:p:556-576)
by Aielli, Gian Piero & Caporin, Massimiliano - Equity and CDS sector indices: Dynamic models and risk hedging (RePEc:eee:ecofin:v:25:y:2013:i:c:p:261-275)
by Caporin, Massimiliano - A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management (RePEc:eee:ecofin:v:26:y:2013:i:c:p:236-249)
by Caporin, Massimiliano & Lisi, Francesco - Backward/forward optimal combination of performance measures for equity screening (RePEc:eee:ecofin:v:34:y:2015:i:c:p:63-83)
by Billio, Monica & Caporin, Massimiliano & Costola, Michele - Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach (RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291)
by Caporin, Massimiliano & Gupta, Rangan & Ravazzolo, Francesco - TrAffic LIght system for systemic Stress: TALIS3 (RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000772)
by Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel - News and intraday jumps: Evidence from regularization and class imbalance (RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900)
by Caporin, Massimiliano & Poli, Francesco - A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance (RePEc:eee:ecolec:v:147:y:2018:i:c:p:218-229)
by Blasi, Silvia & Caporin, Massimiliano & Fontini, Fulvio - Option pricing with non-Gaussian scaling and infinite-state switching volatility (RePEc:eee:econom:v:187:y:2015:i:2:p:486-497)
by Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco - Chasing volatility (RePEc:eee:econom:v:198:y:2017:i:1:p:122-145)
by Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo - Networks in risk spillovers: A multivariate GARCH perspective (RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29)
by Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana - Dynamic large financial networks via conditional expected shortfalls (RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336)
by Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B. - Risk spillovers in international equity portfolios (RePEc:eee:empfin:v:24:y:2013:i:c:p:121-137)
by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo - “On the (Ab)use of Omega?” (RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33)
by Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand - The bank-sovereign nexus: Evidence from a non-bailout episode (RePEc:eee:empfin:v:53:y:2019:i:c:p:181-196)
by Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo - Estimation and model-based combination of causality networks among large US banks and insurance companies (RePEc:eee:empfin:v:54:y:2019:i:c:p:1-21)
by Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto - Do structural breaks in volatility cause spurious volatility transmission? (RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82)
by Caporin, Massimiliano & Malik, Farooq - The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland (RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001529)
by Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio - Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test (RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002523)
by Caporin, Massimiliano & Costola, Michele - The systemic risk of US oil and natural gas companies (RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001482)
by Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto - Model based Monte Carlo pricing of energy and temperature Quanto options (RePEc:eee:eneeco:v:34:y:2012:i:5:p:1700-1712)
by Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit - The relationship between oil prices and rig counts: The importance of lags (RePEc:eee:eneeco:v:63:y:2017:i:c:p:213-226)
by Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat - The long-run oil–natural gas price relationship and the shale gas revolution (RePEc:eee:eneeco:v:64:y:2017:i:c:p:511-519)
by Caporin, Massimiliano & Fontini, Fulvio - Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock (RePEc:eee:eneeco:v:79:y:2019:i:c:p:21-31)
by Caporin, Massimiliano & Fontini, Fulvio & Talebbeydokhti, Elham - Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements (RePEc:eee:enepol:v:127:y:2019:i:c:p:155-164)
by Khalifa, Ahmed & Caporin, Massimiliano & Di Fonzo, Tommaso - Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle (RePEc:eee:enepol:v:87:y:2015:i:c:p:72-82)
by Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat - Dynamic network analysis of North American financial institutions (RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000027)
by Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra - Measuring systemic risk during the COVID-19 period: A TALIS3 approach (RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003366)
by Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel - Asymmetric and time-frequency based networks of currency markets (RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003690)
by Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano - Measuring sovereign contagion in Europe (RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181)
by Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto - Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises (RePEc:eee:intfin:v:31:y:2014:i:c:p:159-177)
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia - A multilevel factor approach for the analysis of CDS commonality and risk contribution (RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302197)
by Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano - Decomposing and backtesting a flexible specification for CoVaR (RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302341)
by Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra - Systemic risk and severe economic downturns: A targeted and sparse analysis (RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002909)
by Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand - On the predictability of stock prices: A case for high and low prices (RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146)
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo - Systemic co-jumps (RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591)
by Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto - Asymmetric and time-frequency spillovers among commodities using high-frequency data (RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879)
by Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad - Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic (RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006006)
by Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano - A generalized Dynamic Conditional Correlation model for portfolio risk evaluation (RePEc:eee:matcom:v:79:y:2009:i:8:p:2566-2578)
by Billio, Monica & Caporin, Massimiliano - Fast clustering of GARCH processes via Gaussian mixture models (RePEc:eee:matcom:v:94:y:2013:i:c:p:205-222)
by Aielli, Gian Piero & Caporin, Massimiliano - The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk (RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469)
by Bonaccolto, G. & Caporin, M. & Gupta, R. - Forecasting Value-at-Risk using block structure multivariate stochastic volatility models (RePEc:eee:reveco:v:40:y:2015:i:c:p:40-50)
by Asai, Manabu & Caporin, Massimiliano & McAleer, Michael - Realized range volatility forecasting: Dynamic features and predictive variables (RePEc:eee:reveco:v:40:y:2015:i:c:p:98-112)
by Caporin, Massimiliano & Velo, Gabriel G. - Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? (RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70)
by Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael - The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification (RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223)
by Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana - Block Structure Multivariate Stochastic Volatility Models (RePEc:ems:eureir:17523)
by Asai, M. & Caporin, M. - Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models (RePEc:ems:eureir:18252)
by Caporin, M. & McAleer, M.J. - Ranking multivariate GARCH models by problem dimension (RePEc:ems:eureir:19447)
by Caporin, M. & McAleer, M.J. - Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH (RePEc:ems:eureir:19452)
by Caporin, M. & McAleer, M.J. - Model Selection and Testing of Conditional and Stochastic Volatility Models (RePEc:ems:eureir:20940)
by Caporin, M. & McAleer, M.J. - Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation (RePEc:ems:eureir:23582)
by Caporin, M. & McAleer, M.J. - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:ems:eureir:31985)
by Asai, M. & Caporin, M. & McAleer, M.J. - Robust Ranking of Multivariate GARCH Models by Problem Dimension (RePEc:ems:eureir:32526)
by Caporin, M. & McAleer, M.J. - Ten Things You Should Know About DCC (RePEc:ems:eureir:39599)
by Caporin, M. & McAleer, M.J. - Ten Things You Should Know About the Dynamic Conditional Correlation Representation (RePEc:ems:eureir:40377)
by Caporin, M. & McAleer, M.J. - Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? (RePEc:ems:eureir:79731)
by Caporin, M. & Chang, C-L. & McAleer, M.J. - Ten Things You Should Know about the Dynamic Conditional Correlation Representation (RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620)
by Massimiliano Caporin & Michael McAleer - Building News Measures from Textual Data and an Application to Volatility Forecasting (RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901)
by Massimiliano Caporin & Francesco Poli - Has the EU-ETS Financed the Energy Transition of the Italian Power System? (RePEc:gam:jijfss:v:9:y:2021:i:4:p:71-:d:702307)
by Massimiliano Caporin & Fulvio Fontini & Samuele Segato - Analytical Gradients of Dynamic Conditional Correlation Models (RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:49-:d:328491)
by Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba - Financial Time Series: Methods and Models (RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:86-:d:351267)
by Massimiliano Caporin & Giuseppe Storti - The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective (RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460)
by Giovanni Bonaccolto & Massimiliano Caporin - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - Non-Standard Errors (RePEc:hal:cesptp:halshs-03500882)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí - A Survey on the Four Families of Performance Measures (RePEc:hal:journl:hal-01243416)
by Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet - “On the (Ab)use of Omega?” (RePEc:hal:journl:hal-02312145)
by Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet - A Survey on the Four Families of Performance Measures (RePEc:hal:journl:hal-02312333)
by Massimiliano Caporin & Gregory Jannin & Francesco Lisi & Bertrand Maillet - Dynamic Large Financial Networks via Conditional Expected Shortfalls (RePEc:hal:journl:hal-03287947)
by Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet - “On the (Ab)use of Omega ?” (RePEc:hal:journl:hal-03549448)
by Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet - Non-Standard Errors (RePEc:hal:journl:halshs-03500882)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí - On the (Ab)Use of Omega? (RePEc:hal:wpaper:hal-01697640)
by Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet - Quantile regression-based seasonal adjustment (RePEc:ids:ijcome:v:13:y:2023:i:3:p:270-304)
by Massimiliano Caporin & Mohammed Elseidi - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - Spatial effects in multivariate ARCH (RePEc:ins:quaeco:qf0501)
by Caporin Massimiliano & Paruolo Paolo - Multivariate ARCH with spatial effects for stock sector and size (RePEc:ins:quaeco:qf0509)
by Caporin Massimiliano & Paruolo Paolo - Scalar BEKK and indirect DCC (RePEc:jof:jforec:v:27:y:2008:i:6:p:537-549)
by Massimiliano Caporin & Michael McAleer - The systemic risk of US oil and natural gas companies (RePEc:jrs:wpaper:202211)
by Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto - Omega Compatibility: A Meta-analysis (RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x)
by Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang - Model Selection and Testing of Conditional and Stochastic Volatility Models (RePEc:kyo:wpaper:724)
by Massimiliano Caporin & Michael McAleer - Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models (RePEc:kyo:wpaper:738)
by Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:kyo:wpaper:741)
by Massimiliano Caporin & Michael McAleer - Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation (RePEc:kyo:wpaper:778)
by Michael McAleer & Massimiliano Caporin - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:kyo:wpaper:812)
by Michael McAleer & Manabu Asai & Massimiliano Caporin - Robust Ranking of Multivariate GARCH Models by Problem Dimension (RePEc:kyo:wpaper:815)
by Michael McAleer & Massimiliano Caporin - Ten Things You Should Know About DCC (RePEc:kyo:wpaper:854)
by Massimiliano Caporin & Michael McAleer - Ten Things You Should Know About the Dynamic Conditional Correlation Representation (RePEc:kyo:wpaper:870)
by Massimiliano Caporin & Michael McAleer - Measuring Sovereign Contagion in Europe (RePEc:nbr:nberwo:18741)
by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon - Dating EU15 monthly business cycle jointly using GDP and IPI (RePEc:oec:stdkaa:5kzdnhznwpjf)
by Monica Billio & Massimiliano Caporin & Guido Cazzavillan - Volatility Threshold Dynamic Conditional Correlations: An International Analysis (RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742)
by Maria Kasch & Massimiliano Caporin - Volatility Jumps and Their Economic Determinants (RePEc:oup:jfinec:v:14:y:2016:i:1:p:29-80.)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Dynamic Asymmetric GARCH (RePEc:oup:jfinec:v:4:y:2006:i:3:p:385-412)
by Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:pad:wpaper:0064)
by Massimiliano Caporin & Michael McAleer - Volatility Threshold Dynamic Conditional Correlations: An International Analysis (RePEc:pad:wpaper:0065)
by Maria Kasch & Massimiliano Caporin - Forecasting temperature indices with timevarying long-memory models (RePEc:pad:wpaper:0088)
by Massimiliano Caporin & Juliusz Pres - Structured Multivariate Volatility Models (RePEc:pad:wpaper:0091)
by Massimiliano Caporin & Paolo Paruolo - Comparing and selecting performance measures for ranking assets (RePEc:pad:wpaper:0099)
by Massimiliano Caporin & Francesco Lisi - Modelling and forecasting wind speed intensity for weather risk management (RePEc:pad:wpaper:0106)
by Massimiliano Caporin & Juliusz Pres - Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options (RePEc:pad:wpaper:0123)
by Massimiliano Caporin & Juliusz Pres' & Hipolit Torro - Ranking Multivariate GARCH Models by Problem Dimension (RePEc:pad:wpaper:0124)
by Massimiliano Caporin & Michael McAleer - Modeling and forecasting realized range volatility (RePEc:pad:wpaper:0128)
by Massimiliano Caporin & Gabriel G. Velo - Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators (RePEc:pad:wpaper:0133)
by Gian Piero Aielli & Massimiliano Caporin - On the Predictability of Stock Prices: A Case for High and Low Prices (RePEc:pad:wpaper:0136)
by Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris - Conditional jumps in volatility and their economic determinants (RePEc:pad:wpaper:0138)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Multi-jumps (RePEc:pad:wpaper:0185)
by Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ - Chasing Volatility. A Persistent Multiplicative Error Model With Jumps (RePEc:pad:wpaper:0186)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris - Dynamic Principal Components: a New Class of Multivariate GARCH Models (RePEc:pad:wpaper:0194)
by Gian Piero Aielli & Massimiliano Caporin - The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution (RePEc:pad:wpaper:0198)
by Massimiliano Caporin & Fulvio Fontini - Asset Allocation Strategies Based On Penalized Quantile Regression (RePEc:pad:wpaper:0199)
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini - Price convergence within and between the Italian electricity day-ahead and dispatching services markets (RePEc:pad:wpaper:0215)
by Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris - Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa (RePEc:pad:wpaper:0250)
by Massimiliano Caporin & Zahra Mohammadi Nikpour & Paola Valbonesi - The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland (RePEc:pad:wpaper:0272)
by Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini - I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti (RePEc:par:dipeco:2012-ef01)
by M. Caporin & A. Lanzavecchia & V. Lippoli - Model based Monte Carlo pricing of energy and temperature quanto options (RePEc:pra:mprapa:25538)
by Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit - Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises (RePEc:pra:mprapa:50940)
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia - The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises (RePEc:pra:mprapa:53779)
by Caporin, Massimiliano & Fontini, Fulvio - Multi-jumps (RePEc:pra:mprapa:58175)
by Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto - Time-Varying Persistence in US Inflation (RePEc:pre:wpaper:201457)
by Massimiliano Caporin & Rangan Gupta - The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk (RePEc:pre:wpaper:201564)
by Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta - Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach (RePEc:pre:wpaper:201913)
by Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo - Forecasting realized (co)variances with a block structure Wishart autoregressive model (RePEc:snb:snbwpa:2009-03)
by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo - On the Predictability of Stock Prices: a Case for High and Low Prices (RePEc:snb:snbwpa:2011-11)
by Massimiliano Caporin & Angelo Ranaldo - Risk spillovers in international equity portfolios (RePEc:snb:snbwpa:2012-03)
by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo - Asset allocation strategies based on penalized quantile regression (RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3)
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini - Time-varying persistence in US inflation (RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1144-y)
by Massimiliano Caporin & Rangan Gupta - Is the Korean housing market following Gangnam style? (RePEc:spr:empeco:v:61:y:2021:i:4:d:10.1007_s00181-020-01931-2)
by Khamis Hamed Al-Yahyaee & Walid Mensi & Hee-Un Ko & Massimiliano Caporin & Sang Hoon Kang - Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects (RePEc:spr:jospat:v:3:y:2022:i:1:d:10.1007_s43071-022-00025-8)
by Anna Gloria Billé & Massimiliano Caporin - Identification of long memory in GARCH models (RePEc:spr:stmapp:v:12:y:2003:i:2:d:10.1007_s10260-003-0056-0)
by Massimiliano Caporin - Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (RePEc:spr:stmapp:v:14:y:2005:i:2:d:10.1007_s10260-005-0108-8)
by Monica Billio & Massimiliano Caporin - Misspecification tests for periodic long memory GARCH models (RePEc:spr:stmapp:v:19:y:2010:i:1:p:47-62)
by Massimiliano Caporin & Francesco Lisi - On the evaluation of marginal expected shortfall (RePEc:taf:apeclt:v:19:y:2012:i:2:p:175-179)
by Massimiliano Caporin & Paolo Santucci de Magistris - Unknown item RePEc:taf:apfelt:v:2:y:2006:i:2:p:123-130 (article)
- Asymmetry and leverage in GARCH models: a News Impact Curve perspective (RePEc:taf:applec:v:51:y:2019:i:31:p:3345-3364)
by Massimiliano Caporin & Michele Costola - What drives the expansion of research on banking crises? Cross-country evidence (RePEc:taf:applec:v:54:y:2022:i:52:p:6054-6064)
by Massimiliano Caporin & Mikhail Stolbov & Maria Shchepeleva - Variance (Non) Causality in Multivariate GARCH (RePEc:taf:emetrv:v:26:y:2007:i:1:p:1-24)
by Massimiliano Caporin - Periodic Long-Memory GARCH Models (RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:60-82)
by Silvano Bordignon & Massimiliano Caporin & Francesco Lisi - Proximity-Structured Multivariate Volatility Models (RePEc:taf:emetrv:v:34:y:2015:i:5:p:559-593)
by Massimiliano Caporin & Paolo Paruolo - Correction of Caporin and Paruolo (2015) (RePEc:taf:emetrv:v:36:y:2017:i:4:p:493-493)
by Massimilano Caporin & Paolo Paruolo - A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices (RePEc:taf:eurjfi:v:18:y:2012:i:9:p:761-774)
by M. Bonato & M. Caporin & A. Ranaldo - Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements (RePEc:taf:eurjfi:v:27:y:2021:i:11:p:1098-1116)
by G. Bonaccolto & M. Caporin & N. Zambon - On the role of risk in the Morningstar rating for mutual funds (RePEc:taf:quantf:v:12:y:2012:i:10:p:1477-1486)
by Francesco Lisi & Massimiliano Caporin - Ensemble properties of high-frequency data and intraday trading rules (RePEc:taf:quantf:v:15:y:2015:i:2:p:231-245)
by F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella - Precious metals under the microscope: a high-frequency analysis (RePEc:taf:quantf:v:15:y:2015:i:5:p:743-759)
by Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo - Ten Things you should know about DCC (RePEc:tin:wpaper:20130048)
by Massimiliano Caporin & Michael McAleer - Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models (RePEc:tin:wpaper:20130073)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Ten Things you should know about the Dynamic Conditional Correlation Representation (RePEc:tin:wpaper:20130078)
by Massimiliano Caporin & Michael McAleer - Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? (RePEc:tin:wpaper:20160006)
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer - Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (RePEc:tky:fseres:2009cf638)
by Massimiliano Caporin & Michael McAleer - Block Structure Multivariate Stochastic Volatility Models (RePEc:tky:fseres:2009cf699)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models (RePEc:tky:fseres:2010cf713)
by Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:tky:fseres:2010cf740)
by Massimiliano Caporin & Michael McAleer - Ranking Multivariate GARCH Models by Problem Dimension (RePEc:tky:fseres:2010cf742)
by Massimiliano Caporin & Michael McAleer - Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (RePEc:ucm:doicae:0904)
by Massimiliano Caporin & Michael McAleer - A Scientific Classification of Volatility Models (RePEc:ucm:doicae:0905)
by Massimiliano Caporin & Michael McAleer - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (RePEc:ucm:doicae:0911)
by Massimiliano Caporin & Michael McAleer - Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation (RePEc:ucm:doicae:1120)
by Massimiliano Caporin & Michael McAleer - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:ucm:doicae:1203)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Robust Ranking of Multivariate GARCH Models by Problem Dimension (RePEc:ucm:doicae:1206)
by Massimiliano Caporin & Michael McAleer - Ten Things You Should Know About DCC (RePEc:ucm:doicae:1312)
by Massimiliano Caporin & Michael McAleer - Ten Things You Should Know About the Dynamic Conditional Correlation Representation (RePEc:ucm:doicae:1321)
by Massimiliano Caporin & Michael McAleer - Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises (RePEc:ucm:doicae:1336)
by Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano - Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? (RePEc:ucm:doicae:1601)
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer - Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model (RePEc:usg:sfwpfi:2012:11)
by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo - On the Predictability of Stock Prices: a Case for High and Low Prices (RePEc:usg:sfwpfi:2012:13)
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo - Risk Spillovers in International Equity Portfolios (RePEc:usg:sfwpfi:2012:14)
by Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo - Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals (RePEc:usg:sfwpfi:2013:18)
by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G. - Precious Metals Under the Microscope: A High-Frequency Analysis (RePEc:usg:sfwpfi:2014:09)
by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G. - A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation (RePEc:ven:wpaper:2006_53)
by Monica Billio & Massimiliano Caporin - Methodological aspects of time series back-calculation (RePEc:ven:wpaper:2006_56)
by Massimiliano Caporin & Domenico Sartore - Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion (RePEc:ven:wpaper:2007_18)
by Monica Billio & Massimiliano Caporin - Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI (RePEc:ven:wpaper:2007_19)
by Monica Billio & Massimiliano Caporin & Guido Cazzavillan - Market volatility, optimal portfolios and naive asset allocations (RePEc:ven:wpaper:2012_08)
by Loriana Pelizzon & Massimiliano Caporin - CDS Industrial Sector Indices, credit and liquidity risk (RePEc:ven:wpaper:2012_09)
by Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore - Backward/forward optimal combination of performance measures for equity screening (RePEc:ven:wpaper:2012_13)
by Monica Billio & Massimiliano Caporin & Michele Costola - On the (Ab)Use of Omega? (RePEc:ven:wpaper:2015:02)
by Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin - Rational learning for risk-averse investors by conditioning on behavioral choices (RePEc:ven:wpaper:2015:16)
by Michele Costola & Massimiliano Caporin - Networks in risk spillovers: a multivariate GARCH perspective (RePEc:ven:wpaper:2016:03)
by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon - Networks in risk spillovers: A multivariate GARCH perspective (RePEc:ven:wpaper:2020:16)
by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon - Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models (RePEc:wly:jforec:v:32:y:2013:i:4:p:339-352)
by Massimiliano Caporin & Juliusz Preś - Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices (RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500032)
by Michele Costola & Massimiliano Caporin - Comparing and selecting performance measures using rank correlations (RePEc:zbw:ifwedp:201114)
by Caporin, Massimiliano & Lisi, Francesco - Comparing and selecting performance measures using rank correlations (RePEc:zbw:ifweej:201110)
by Caporin, Massimiliano & Lisi, Francesco - Measuring sovereign contagion in Europe (RePEc:zbw:safewp:103)
by Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto - Systemic co-jumps (RePEc:zbw:safewp:149)
by Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto - Estimation and model-based combination of causality networks (RePEc:zbw:safewp:165)
by Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero - The impact of network connectivity on factor exposures, asset pricing and portfolio diversification (RePEc:zbw:safewp:166)
by Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana - Systemic risk for financial institutions of major petroleum-based economies: The role of oil (RePEc:zbw:safewp:172)
by Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat - Networks in risk spillovers: A multivariate GARCH perspective (RePEc:zbw:safewp:225)
by Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana - Does monetary policy impact international market co-movements? (RePEc:zbw:safewp:276)
by Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto