Massimiliano Caporin
Personal Details
First Name: | Massimiliano |
Middle Name: | |
Last Name: | Caporin |
Suffix: | |
RePEc Short-ID: | pca441 |
[This author has chosen not to make the email address public] | |
Department of Statstical Sciences University of Padova Via Cesare Battisti, 241 35121 Padova Italy | |
+390498274199 | |
Terminal Degree: | 2003 Dipartimento di Economia; Università Ca' Foscari Venezia (from RePEc Genealogy) |
Affiliation
(66%) Università degli Studi di Padova - Dipartimento di Scienze Statistiche
http://www.stat.unipd.it/
Italy, Padova
Via Cesare Battisti, 241 - 35121 Padova
+39 049 827 4168
Research output
Jump to: Working papers ArticlesWorking papers
- Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024.
"Nonstandard errors,"
LSE Research Online Documents on Economics
123002, London School of Economics and Political Science, LSE Library.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- 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, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- 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, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- 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, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Massimiliano Caporin & Petre Caraiani & Oguzhan Cepni & Rangan Gupta, 2024. "Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks," Working Papers 202407, University of Pretoria, Department of Economics.
- Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022.
"The systemic risk of US oil and natural gas companies,"
Working Papers
2022-11, Joint Research Centre, European Commission.
- Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
- Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022.
"Dynamic Large Financial Networks via Conditional Expected Shortfalls,"
Post-Print
hal-03287947, HAL.
- Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
- Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021.
"The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland,"
"Marco Fanno" Working Papers
0272, Dipartimento di Scienze Economiche "Marco Fanno".
- Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022. "The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland," Energy Economics, Elsevier, vol. 110(C).
- Massimiliano Caporin & Zahra Mohammadi Nikpour & Paola Valbonesi, 2020. "Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa," "Marco Fanno" Working Papers 0250, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
- Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019.
"Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach,"
BEMPS - Bozen Economics & Management Paper Series
BEMPS61, Faculty of Economics and Management at the Free University of Bozen.
- Caporin, Massimiliano & Gupta, Rangan & Ravazzolo, Francesco, 2021. "Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," Working Papers 201913, University of Pretoria, Department of Economics.
- Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018.
"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
CREATES Research Papers
2018-33, Department of Economics and Business Economics, Aarhus University.
- Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018.
"“On the (Ab)use of Omega?”,"
Post-Print
hal-02312145, HAL.
- Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
- Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega ?”," Post-Print hal-03549448, HAL.
- Massimiliano Caporin & Loriana Pelizzon & Alberto Plazzi, 2017. "Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets," Swiss Finance Institute Research Paper Series 17-47, Swiss Finance Institute.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017.
"The impact of network connectivity on factor exposures, asset pricing and portfolio diversification,"
SAFE Working Paper Series
166, Leibniz Institute for Financial Research SAFE.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
- Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017.
"The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode,"
CREATES Research Papers
2017-25, Department of Economics and Business Economics, Aarhus University.
- Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo, 2019. "The bank-sovereign nexus: Evidence from a non-bailout episode," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 181-196.
- Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.
- Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
- Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017.
"Systemic risk for financial institutions of major petroleum-based economies: The role of oil,"
SAFE Working Paper Series
172, Leibniz Institute for Financial Research SAFE, revised 2017.
- Ahmed Khalif & Massimiliano Caporin & Michele Costola & Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, , vol. 42(6), pages 247-274, November.
- Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016.
"Networks in risk spillovers: a multivariate GARCH perspective,"
Working Papers
2016:03, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
- Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016.
"Systemic co-jumps,"
SAFE Working Paper Series
149, Leibniz Institute for Financial Research SAFE.
- Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
- Caporin, M. & Chang, C-L. & McAleer, M.J., 2016.
"Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?,"
Econometric Institute Research Papers
EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
- Michele Costola & Massimiliano Caporin, 2015.
"Rational learning for risk-averse investors by conditioning on behavioral choices,"
Working Papers
2015:16, Department of Economics, University of Venice "Ca' Foscari".
- Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
- Massimiliano Caporin & Fulvio Fontini, 2015.
"The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution,"
"Marco Fanno" Working Papers
0198, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Fontini, Fulvio, 2017. "The long-run oil–natural gas price relationship and the shale gas revolution," Energy Economics, Elsevier, vol. 64(C), pages 511-519.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015.
"Asset Allocation Strategies Based on Penalized Quantile Regression,"
Papers
1507.00250, arXiv.org.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015.
"The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk,"
Working Papers
201564, University of Pretoria, Department of Economics.
- Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
- Massimiliano Caporin & Rangan Gupta, 2014.
"Time-Varying Persistence in US Inflation,"
Working Papers
201457, University of Pretoria, Department of Economics.
- Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
- Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014.
"Multi-jumps,"
"Marco Fanno" Working Papers
0185, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
- Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Chasing volatility - A persistent multiplicative error model with jumps,"
CREATES Research Papers
2014-29, Department of Economics and Business Economics, Aarhus University.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Fontini, Fulvio, 2014. "The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises," MPRA Paper 53779, University Library of Munich, Germany.
- Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014.
"A Survey on the Four Families of Performance Measures,"
Post-Print
hal-01243416, HAL.
- Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
- Massimiliano Caporin & Gregory Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-02312333, HAL.
- Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014.
"Precious Metals Under the Microscope: A High-Frequency Analysis,"
Working Papers on Finance
1409, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Volatility jumps and their economic determinants,"
CREATES Research Papers
2014-27, Department of Economics and Business Economics, Aarhus University.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
- Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013.
"Option pricing with non-Gaussian scaling and infinite-state switching volatility,"
Papers
1307.6322, arXiv.org, revised May 2014.
- Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
- Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Michael McAleer, 2013.
"Ten Things You Should Know About the Dynamic Conditional Correlation Representation,"
Working Papers in Economics
13/21, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
- Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2013.
"Ten Things You Should Know About DCC,"
Working Papers in Economics
13/16, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013.
"Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises,"
MPRA Paper
50940, University Library of Munich, Germany, revised 23 Oct 2013.
- Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
- Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Loriana Pelizzon & Massimiliano Caporin, 2012. "Market volatility, optimal portfolios and naive asset allocations," Working Papers 2012_08, Department of Economics, University of Venice "Ca' Foscari".
- Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella, 2012.
"Ensemble properties of high frequency data and intraday trading rules,"
Papers
1202.2447, arXiv.org, revised Jul 2013.
- F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella, 2015. "Ensemble properties of high-frequency data and intraday trading rules," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 231-245, February.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012.
"Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models,"
Working Papers in Economics
12/04, University of Canterbury, Department of Economics and Finance.
- Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013. "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
- Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Monica Billio & Massimiliano Caporin & Michele Costola, 2012.
"Backward/forward optimal combination of performance measures for equity screening,"
Working Papers
2012_13, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
- Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012.
"Risk spillovers in international equity portfolios,"
Working Papers
2012-03, Swiss National Bank.
- Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
- Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
- M. Caporin & A. Lanzavecchia & V. Lippoli, 2012. "I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti," Economics Department Working Papers 2012-EF01, Department of Economics, Parma University (Italy).
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012.
"Measuring sovereign contagion in Europe,"
Working Paper
2012/05, Norges Bank.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
- Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012. "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers 2012_09, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Michael McAleer, 2012.
"Robust Ranking of Multivariate GARCH Models by Problem Dimension,"
Working Papers in Economics
12/06, University of Canterbury, Department of Economics and Finance.
- Caporin, Massimiliano & McAleer, Michael, 2014. "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
- Gian Piero Aielli & Massimiliano Caporin, 2011.
"Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators,"
"Marco Fanno" Working Papers
0133, Dipartimento di Scienze Economiche "Marco Fanno".
- Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 556-576.
- Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011.
"On the Predictability of Stock Prices: A Case for High and Low Prices,"
"Marco Fanno" Working Papers
0136, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
- Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
- Caporin, Massimiliano & Lisi, Francesco, 2011.
"Comparing and selecting performance measures using rank correlations,"
Economics Discussion Papers
2011-14, Kiel Institute for the World Economy (IfW Kiel).
- Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-34.
- Massimiliano Caporin & Michael McAleer, 2011.
"Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation,"
Working Papers in Economics
11/23, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE 2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2011. "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers 778, Kyoto University, Institute of Economic Research.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010.
"Block Structure Multivariate Stochastic Volatility Models,"
Working Papers in Economics
10/24, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009. "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo.
- Asai, M. & Caporin, M., 2009. "Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2009-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Juliusz Pres, 2010.
"Modelling and forecasting wind speed intensity for weather risk management,"
"Marco Fanno" Working Papers
0106, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
- Massimiliano Caporin & Michael McAleer, 2010.
"Ranking Multivariate GARCH Models by Problem Dimension,"
Working Papers in Economics
10/34, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," "Marco Fanno" Working Papers 0124, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CIRJE F-Series CIRJE-F-742, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010.
"Model Selection and Testing of Conditional and Stochastic Volatility Models,"
Working Papers in Economics
10/58, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010.
"Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options,"
"Marco Fanno" Working Papers
0123, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
- Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
- Michael McAleer & Massimiliano Caporin, 2010.
"Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH,"
Working Papers in Economics
10/32, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
- Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers EI 2010-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/73, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos de Trabajo del ICAE 2009-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers 741, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010.
"Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models,"
Working Papers in Economics
10/06, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
- Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Paolo Paruolo, 2009. "Structured Multivariate Volatility Models," "Marco Fanno" Working Papers 0091, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Michael McAleer, 2009.
"A Scientific Classification of Volatility Models,"
Documentos de Trabajo del ICAE
2009-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2010. "A Scientific Classification Of Volatility Models," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 192-195, February.
- Massimiliano Caporin & Francesco Lisi, 2009. "Comparing and selecting performance measures for ranking assets," "Marco Fanno" Working Papers 0099, Dipartimento di Scienze Economiche "Marco Fanno".
- Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2009.
"Forecasting realized (co)variances with a block structure Wishart autoregressive model,"
Working Papers
2009-03, Swiss National Bank.
- Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Michael McAleer, 2009.
"Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models,"
CARF F-Series
CARF-F-156, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 2009-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series CIRJE-F-638, CIRJE, Faculty of Economics, University of Tokyo.
- Maria Kasch & Massimiliano Caporin, 2008.
"Volatility Threshold Dynamic Conditional Correlations: An International Analysis,"
"Marco Fanno" Working Papers
0065, Dipartimento di Scienze Economiche "Marco Fanno".
- Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
- Massimiliano Caporin & Juliusz Pres, 2008. "Forecasting temperature indices with timevarying long-memory models," "Marco Fanno" Working Papers 0088, Dipartimento di Scienze Economiche "Marco Fanno".
- Monica Billio & Massimiliano Caporin, 2007.
"Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion,"
Working Papers
2007_18, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano, 2010. "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2443-2458, November.
- Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007.
"Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI,"
Working Papers
2007_19, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2008. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(3), pages 333-366.
- Massimiliano Caporin & Domenico Sartore, 2006. "Methodological aspects of time series back-calculation," Working Papers 2006_56, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Massimiliano Caporin, 2006.
"A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation,"
Working Papers
2006_53, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
- Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria.
- Caporin Massimiliano & Paruolo Paolo, 2005.
"Spatial effects in multivariate ARCH,"
Economics and Quantitative Methods
qf0501, Department of Economics, University of Insubria.
repec:grz:wpsses:2021-08 is not listed on IDEAS
repec:bny:wpaper:0009 is not listed on IDEAS
Articles
- Massimiliano Caporin & Arusha Cooray & Bekhzod Kuziboev & Inomjon Yusubov, 2024. "New insights on the environmental Kuznets curve (EKC) for Central Asia," Empirical Economics, Springer, vol. 66(5), pages 2335-2354, May.
- Setoudehtazangi, F. & Manouchehri, T. & Nematollahi, A.R. & Caporin, M., 2024. "Time series clustering based on latent volatility mixture modeling with applications in finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 223(C), pages 543-564.
- Massimiliano Caporin & Bekhzod Kuziboev & Ergash Ibadullaev & Elbek Khodjaniyazov & Peter Marty & Olimjon Saidmamatov, 2024. "The Contribution of Green, Blue, and Energy Sources to Economic Development in Central Asia," Economies, MDPI, vol. 12(9), pages 1-12, September.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024.
"Nonstandard Errors,"
Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- 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, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- 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, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- 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, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Bonaccolto, Giovanni & Caporin, Massimiliano & Iacopini, Matteo, 2024. "Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment," Energy Economics, Elsevier, vol. 132(C).
- Runfeng Yang & Massimiliano Caporin & Juan-Angel Jiménez-Martin, 2024. "ESG risk exposure: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, vol. 24(6), pages 827-849, June.
- Massimiliano Caporin & Fulvio Fontini & Rocco Romaniello, 2024. "The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices," The Energy Journal, , vol. 45(2), pages 137-187, March.
- Runfeng Yang & Massimiliano Caporin & Juan-Angel Jiménez-Martin, 2024. "Measuring Climate Transition Risk Spillovers," Review of Finance, European Finance Association, vol. 28(2), pages 447-481.
- Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024. "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, vol. 67(1), pages 31-45, July.
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023.
"Networks in risk spillovers: A multivariate GARCH perspective,"
Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin, 2023. "The Role of Jumps in Realized Volatility Modeling and Forecasting," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1143-1168.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023.
"The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification,"
International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
- Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
- Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
- Massimiliano Caporin & Mohammed Elseidi, 2023. "Quantile regression-based seasonal adjustment," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 13(3), pages 270-304.
- Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023.
"The systemic risk of US oil and natural gas companies,"
Energy Economics, Elsevier, vol. 121(C).
- Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022. "The systemic risk of US oil and natural gas companies," Working Papers 2022-11, Joint Research Centre, European Commission.
- Massimiliano Caporin & Syed Jawad Hussain Shahzad, 2023. "Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves," Finance, Presses universitaires de Grenoble, vol. 44(3), pages 154-198.
- Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano, 2023. "Asymmetric and time-frequency based networks of currency markets," Finance Research Letters, Elsevier, vol. 55(PB).
- Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano, 2023. "Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic," Resources Policy, Elsevier, vol. 80(C).
- Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022.
"Dynamic large financial networks via conditional expected shortfalls,"
European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
- Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
- Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2022. "Measuring systemic risk during the COVID-19 period: A TALIS3 approach," Finance Research Letters, Elsevier, vol. 46(PA).
- Massimiliano Caporin, 2022. "Statistical Analysis of Financial Data: with Examples In R," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(1), pages 432-433, January.
- Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).
- Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Massimiliano Caporin & Mikhail Stolbov & Maria Shchepeleva, 2022. "What drives the expansion of research on banking crises? Cross-country evidence," Applied Economics, Taylor & Francis Journals, vol. 54(52), pages 6054-6064, November.
- Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022.
"The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland,"
Energy Economics, Elsevier, vol. 110(C).
- Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021. "The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland," "Marco Fanno" Working Papers 0272, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Anna Gloria Billé & Massimiliano Caporin, 2022. "Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects," Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-21, December.
- Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
- Khamis Hamed Al-Yahyaee & Walid Mensi & Hee-Un Ko & Massimiliano Caporin & Sang Hoon Kang, 2021. "Is the Korean housing market following Gangnam style?," Empirical Economics, Springer, vol. 61(4), pages 2041-2072, October.
- Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh, 2021.
"Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
- Ahmed Khalif & Massimiliano Caporin & Michele Costola & Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, , vol. 42(6), pages 247-274, November.
- Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Leibniz Institute for Financial Research SAFE, revised 2017.
- G. Bonaccolto & M. Caporin & N. Zambon, 2021. "Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements," The European Journal of Finance, Taylor & Francis Journals, vol. 27(11), pages 1098-1116, July.
- Caporin, Massimiliano & Gupta, Rangan & Ravazzolo, Francesco, 2021.
"Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach,"
The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," BEMPS - Bozen Economics & Management Paper Series BEMPS61, Faculty of Economics and Management at the Free University of Bozen.
- Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," Working Papers 201913, University of Pretoria, Department of Economics.
- Massimiliano Caporin & Fulvio Fontini & Samuele Segato, 2021. "Has the EU-ETS Financed the Energy Transition of the Italian Power System?," IJFS, MDPI, vol. 9(4), pages 1-15, December.
- Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2021. "TrAffic LIght system for systemic Stress: TALIS3," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021. "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, vol. 42(C).
- Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
- Massimiliano Caporin & Giuseppe Storti, 2020. "Financial Time Series: Methods and Models," JRFM, MDPI, vol. 13(5), pages 1-3, April.
- Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba, 2020. "Analytical Gradients of Dynamic Conditional Correlation Models," JRFM, MDPI, vol. 13(3), pages 1-21, March.
- Shahzad, Syed Jawad Hussain & Caporin, Massimiliano, 2020. "On the volatilities of tourism stocks and oil," Annals of Tourism Research, Elsevier, vol. 81(C).
- Massimiliano Caporin & Michele Costola, 2019. "Asymmetry and leverage in GARCH models: a News Impact Curve perspective," Applied Economics, Taylor & Francis Journals, vol. 51(31), pages 3345-3364, July.
- Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019.
"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers 2018-33, Department of Economics and Business Economics, Aarhus University.
- Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
- Khalifa, Ahmed & Caporin, Massimiliano & Di Fonzo, Tommaso, 2019. "Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements," Energy Policy, Elsevier, vol. 127(C), pages 155-164.
- Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019.
"Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?,"
International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
- Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo, 2019.
"The bank-sovereign nexus: Evidence from a non-bailout episode,"
Journal of Empirical Finance, Elsevier, vol. 53(C), pages 181-196.
- Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017. "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers 2017-25, Department of Economics and Business Economics, Aarhus University.
- Caporin, Massimiliano & Fontini, Fulvio & Talebbeydokhti, Elham, 2019. "Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock," Energy Economics, Elsevier, vol. 79(C), pages 21-31.
- Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018.
"Asset allocation strategies based on penalized quantile regression,"
Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018.
"Measuring sovereign contagion in Europe,"
Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
- Blasi, Silvia & Caporin, Massimiliano & Fontini, Fulvio, 2018. "A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance," Ecological Economics, Elsevier, vol. 147(C), pages 218-229.
- Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018.
"“On the (Ab)use of Omega?”,"
Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
- Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega ?”," Post-Print hal-03549448, HAL.
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega?”," Post-Print hal-02312145, HAL.
- Bonaccolto, G. & Caporin, M. & Gupta, R., 2018.
"The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
- Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015. "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers 201564, University of Pretoria, Department of Economics.
- Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
- Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2017. "The relationship between oil prices and rig counts: The importance of lags," Energy Economics, Elsevier, vol. 63(C), pages 213-226.
- Massimilano Caporin & Paolo Paruolo, 2017. "Correction of Caporin and Paruolo (2015)," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 493-493, April.
- Caporin, Massimiliano & Fontini, Fulvio, 2017.
"The long-run oil–natural gas price relationship and the shale gas revolution,"
Energy Economics, Elsevier, vol. 64(C), pages 511-519.
- Massimiliano Caporin & Fulvio Fontini, 2015. "The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution," "Marco Fanno" Working Papers 0198, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
- Massimiliano Caporin & Rangan Gupta, 2017.
"Time-varying persistence in US inflation,"
Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
- Massimiliano Caporin & Rangan Gupta, 2014. "Time-Varying Persistence in US Inflation," Working Papers 201457, University of Pretoria, Department of Economics.
- Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017.
"Systemic co-jumps,"
Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
- Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016.
"Volatility Jumps and Their Economic Determinants,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
- Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
- Michele Costola & Massimiliano Caporin, 2016.
"Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
- Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
- F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella, 2015.
"Ensemble properties of high-frequency data and intraday trading rules,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 231-245, February.
- Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella, 2012. "Ensemble properties of high frequency data and intraday trading rules," Papers 1202.2447, arXiv.org, revised Jul 2013.
- Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.
- Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
- Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
- Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015.
"Backward/forward optimal combination of performance measures for equity screening,"
The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
- Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
- Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015.
"Forecasting Value-at-Risk using block structure multivariate stochastic volatility models,"
International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013. "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.
- Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015.
"Option pricing with non-Gaussian scaling and infinite-state switching volatility,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
- Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers 1307.6322, arXiv.org, revised May 2014.
- Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015.
"Precious metals under the microscope: a high-frequency analysis,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
- Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
- Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014.
"Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
- Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
- Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, Massimiliano & McAleer, Michael, 2014.
"Robust ranking of multivariate GARCH models by problem dimension,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014.
"A Survey On The Four Families Of Performance Measures,"
Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
- Massimiliano Caporin & Gregory Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-02312333, HAL.
- Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.
- Aielli, Gian Piero & Caporin, Massimiliano, 2014.
"Variance clustering improved dynamic conditional correlation MGARCH estimators,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 556-576.
- Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Juliusz Preś, 2013. "Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(4), pages 339-352, July.
- Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
- Massimiliano Caporin & Michael McAleer, 2013.
"Ten Things You Should Know about the Dynamic Conditional Correlation Representation,"
Econometrics, MDPI, vol. 1(1), pages 1-12, June.
- Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
- Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.
- Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013.
"On the predictability of stock prices: A case for high and low prices,"
Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
- Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
- Maria Kasch & Massimiliano Caporin, 2013.
"Volatility Threshold Dynamic Conditional Correlations: An International Analysis,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
- Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
- Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013.
"Risk spillovers in international equity portfolios,"
Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
- Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
- Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
- Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012.
"Model based Monte Carlo pricing of energy and temperature Quanto options,"
Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
- Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
- Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
- M. Bonato & M. Caporin & A. Ranaldo, 2012. "A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 761-774, October.
- Caporin, Massimiliano & Preś, Juliusz, 2012.
"Modelling and forecasting wind speed intensity for weather risk management,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
- Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Michael McAleer, 2012.
"Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Paolo Santucci de Magistris, 2012. "On the evaluation of marginal expected shortfall," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 175-179, February.
- Francesco Lisi & Massimiliano Caporin, 2012. "On the role of risk in the Morningstar rating for mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1477-1486, October.
- Caporin, Massimiliano & Lisi, Francesco, 2011.
"Comparing and selecting performance measures using rank correlations,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-34.
- Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics Discussion Papers 2011-14, Kiel Institute for the World Economy (IfW Kiel).
- Massimiliano Caporin & Michael McAleer, 2011.
"Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
- Michael McAleer & Massimiliano Caporin, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/32, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers EI 2010-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/73, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos de Trabajo del ICAE 2009-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers 741, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "The Ten Commandments For Managing Investments," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 196-200, February.
- Billio, Monica & Caporin, Massimiliano, 2010.
"Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2443-2458, November.
- Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Francesco Lisi, 2010. "Misspecification tests for periodic long memory GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 47-62, March.
- Massimiliano Caporin & Michael McAleer, 2010.
"A Scientific Classification Of Volatility Models,"
Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 192-195, February.
- Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos de Trabajo del ICAE 2009-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
- Billio, Monica & Caporin, Massimiliano, 2009.
"A generalized Dynamic Conditional Correlation model for portfolio risk evaluation,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
- Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.
- Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2008.
"Dating EU15 monthly business cycle jointly using GDP and IPI,"
Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(3), pages 333-366.
- Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".
- Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
- Massimiliano Caporin, 2007. "Variance (Non) Causality in Multivariate GARCH," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 1-24.
- Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 385-412.
- Monica Billio & Massimiliano Caporin, 2005. "Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(2), pages 145-161, November.
- Massimiliano Caporin, 2003. "Identification of long memory in GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(2), pages 133-151, December.
- Stefano Bertelli & Massimiliano Caporin, 2002.
"A note on calculating autocovariances of long‐memory processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 503-508, September.
RePEc:taf:apfelt:v:2:y:2006:i:2:p:123-130 is not listed on IDEAS
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Rankings
This author is among the top 5% authors according to these criteria:- Average Rank Score
- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- h-index
- Number of Journal Pages
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Number of Downloads through RePEc Services over the past 12 months
- Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
- Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
- Closeness measure in co-authorship network
- Betweenness measure in co-authorship network
- Wu-Index
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 97 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (38) 2007-01-13 2007-01-23 2008-03-15 2008-04-04 2009-03-22 2009-08-22 2010-01-10 2010-02-13 2010-04-17 2010-05-22 2010-05-22 2010-05-22 2010-05-29 2010-06-04 2010-06-04 2010-09-18 2010-09-18 2010-09-25 2010-10-02 2010-10-23 2010-12-11 2011-04-02 2011-05-24 2011-06-04 2011-06-11 2011-07-02 2011-07-13 2012-03-14 2012-04-17 2012-04-17 2012-05-15 2013-03-30 2013-04-06 2013-06-16 2014-09-29 2015-03-05 2020-07-27 2024-01-29. Author is listed
- NEP-ECM: Econometrics (30) 2007-01-13 2007-01-23 2008-02-09 2008-03-15 2008-04-04 2009-02-14 2009-03-22 2009-03-22 2009-03-22 2009-07-03 2009-08-22 2010-01-10 2010-02-13 2010-05-22 2010-05-29 2010-06-04 2010-09-25 2011-05-24 2011-06-04 2011-06-11 2012-03-14 2012-04-17 2013-03-30 2013-06-16 2014-09-08 2014-09-29 2015-03-05 2017-02-19 2018-09-24 2024-01-29. Author is listed
- NEP-RMG: Risk Management (26) 2009-07-03 2010-09-25 2010-10-02 2010-10-23 2011-04-02 2011-10-09 2012-02-20 2012-03-14 2012-04-17 2012-05-02 2012-07-23 2013-11-02 2014-09-05 2014-09-29 2015-02-05 2015-02-16 2015-04-25 2015-07-04 2015-09-05 2016-03-23 2016-10-23 2017-02-19 2017-07-02 2020-07-27 2021-08-16 2022-10-03. Author is listed
- NEP-FOR: Forecasting (23) 2009-02-14 2010-01-23 2010-05-22 2010-06-04 2010-09-18 2010-09-25 2010-10-02 2011-04-02 2011-05-24 2011-06-11 2011-07-02 2011-07-13 2011-11-21 2012-03-14 2012-03-14 2012-04-17 2012-04-17 2012-05-02 2012-05-02 2012-05-15 2013-06-16 2015-02-05 2015-09-18. Author is listed
- NEP-ENE: Energy Economics (11) 2010-01-23 2010-10-09 2011-04-02 2015-09-05 2016-02-12 2017-07-02 2018-01-22 2020-04-06 2021-09-06 2022-10-03 2024-04-08. Author is listed
- NEP-ORE: Operations Research (11) 2010-09-25 2010-10-02 2011-04-02 2011-05-24 2012-03-14 2012-04-17 2013-06-16 2014-09-29 2015-02-05 2017-02-19 2020-07-27. Author is listed
- NEP-CBA: Central Banking (8) 2012-03-14 2012-04-17 2013-02-03 2014-11-07 2015-06-13 2017-08-20 2018-08-27 2020-05-25. Author is listed
- NEP-MAC: Macroeconomics (8) 2008-02-09 2012-04-17 2013-02-03 2014-11-07 2015-06-13 2018-08-27 2020-04-06 2020-05-25. Author is listed
- NEP-EEC: European Economics (6) 2012-04-17 2013-02-03 2015-06-13 2016-03-23 2017-08-20 2020-05-25. Author is listed
- NEP-FMK: Financial Markets (6) 2007-01-23 2011-11-21 2012-05-02 2014-10-13 2016-02-12 2024-04-08. Author is listed
- NEP-MST: Market Microstructure (5) 2011-05-24 2012-02-20 2013-10-25 2014-06-22 2016-10-23. Author is listed
- NEP-BAN: Banking (4) 2012-03-14 2012-07-23 2017-07-02 2017-08-20
- NEP-MON: Monetary Economics (4) 2014-11-07 2018-08-27 2020-05-25 2024-01-29
- NEP-NET: Network Economics (4) 2016-03-23 2017-02-19 2020-07-27 2021-08-16
- NEP-EXP: Experimental Economics (3) 2021-12-06 2022-02-21 2022-03-14
- NEP-ARA: MENA - Middle East and North Africa (2) 2017-07-02 2020-04-06
- NEP-IFN: International Finance (2) 2012-04-17 2020-05-25
- NEP-ISF: Islamic Finance (2) 2021-08-16 2021-09-06
- NEP-UPT: Utility Models and Prospect Theory (2) 2014-10-13 2015-06-20
- NEP-URE: Urban and Real Estate Economics (2) 2007-01-13 2019-03-11
- NEP-BEC: Business Economics (1) 2011-06-11
- NEP-CFN: Corporate Finance (1) 2011-07-13
- NEP-CSE: Economics of Strategic Management (1) 2012-05-02
- NEP-EFF: Efficiency and Productivity (1) 2009-05-16
- NEP-ENV: Environmental Economics (1) 2024-04-08
- NEP-EUR: Microeconomic European Issues (1) 2018-01-22
- NEP-GEO: Economic Geography (1) 2007-01-23
- NEP-GER: German Papers (1) 2014-09-29
- NEP-MFD: Microfinance (1) 2015-03-05
- NEP-OPM: Open Economy Macroeconomics (1) 2015-06-13
- NEP-REG: Regulation (1) 2018-01-22
- NEP-RES: Resource Economics (1) 2024-04-08
- NEP-SEA: South East Asia (1) 2008-02-09
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Massimiliano Caporin should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.