Sfoglia per Autore
The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices
2024 Caporin, Massimiliano; Fontini, Fulvio; Romaniello, Rocco
Not all words are equal: Sentiment and jumps in the cryptocurrency market
2024 Aysan, Ahmet Faruk; Caporin, Massimiliano; Cepni, Oguzhan
The systemic risk of US oil and natural gas companies
2023 Caporin, Massimiliano; Fontini, Fulvio; Panzica, Roberto
Omega Compatibility: A Meta-analysis
2023 Bernard, C.; Caporin, M.; Maillet, B.; Zhang, X.
Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves
2023 Caporin, M.; Shahzad, S. J. H.
Estimating time-varying proximity with a state–space model
2023 Liu, S.; Caporin, M.; Paterlini, S.
Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic
2023 Ghazani, M. M.; Khosravi, R.; Caporin, M.
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
2023 Billio, M.; Caporin, M.; Panzica, R.; Pelizzon, L.
Quantile regression-based seasonal adjustment
2023 Caporin, M.; Elseidi, M.
Networks in risk spillovers: A multivariate GARCH perspective
2023 Billio, M.; Caporin, M.; Frattarolo, L.; Pelizzon, L.
The Role of Jumps in Realized Volatility Modeling and Forecasting
2023 Caporin, M
Asymmetric and time-frequency based networks of currency markets
2023 Shahzad, S. J. H.; Hasan, M.; Caporin, M.
Dynamic large financial networks via conditional expected shortfalls
2022 Bonaccolto, G.; Caporin, M.; Maillet, B. B.
Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects
2022 Billé, Anna Gloria; Caporin, Massimiliano
The long-run relationship between the Italian day-ahead and balancing electricity prices
2022 Caporin, M.; Fontini, F.; Santucci de Magistris, P.
What drives the expansion of research on banking crises? Cross-country evidence
2022 Caporin, Massimiliano; Stolbov, Mikhail; Shchepeleva, Maria
Systemic risk and severe economic downturns: A targeted and sparse analysis
2022 Caporin, M.; Costola, M.; Garibal, J. -C.; Maillet, B.
News and intraday jumps: Evidence from regularization and class imbalance
2022 Caporin, Massimiliano; Poli, Francesco
Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test
2022 Caporin, M.; Costola, M.
The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland
2022 Bonaldo, C.; Caporin, M.; Fontini, F.
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