Sfoglia per Autore
The bank-sovereign nexus: Evidence from a non-bailout episode
2019 Caporin, Massimiliano; Natvik, Gisle; Ravazzolo, Francesco; Santucci de Magistris, Paolo
Asymmetry and leverage in GARCH models: a News Impact Curve perspective
2019 Caporin, Massimiliano; Costola, Michele
A multilevel factor approach for the analysis of CDS commonality and risk contribution
2019 Rodriguez-Caballero, C. V.; Caporin, M.
Estimation and model-based combination of causality networks among large US banks and insurance companies
2019 Bonaccolto, G.; Caporin, M.; Panzica, R.
Decomposing and backtesting a flexible specification for CoVaR
2019 Bonaccolto, G.; Caporin, M.; Paterlini, S.
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements
2019 Khalifa, Ahmed; Caporin, Massimiliano; DI FONZO, Tommaso
Testing persistence of WTI and brent long-run relationship after the shale oil supply shock
2019 Caporin, Massimiliano; Fontini, Fulvio; Talebbeydokhti, Elham
Measuring sovereign contagion in Europe
2018 Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
On the (Ab)use of Omega?
2018 Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; Maillet, Bertrand
Systemic events and diffusion of jumps
2018 Caporin, Massimiliano; Bonaccolto, Giovanni; Zambon, Nancy
Traffic Lights for Systemic Risk Detection
2018 Caporin, Massimiliano; Jorcano, Laura; Angel Jimenez Martin, Juan
Asset allocation strategies based on penalized quantile regression
2018 Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra
A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
2018 Blasi, Silvia; Caporin, Massimiliano; Fontini, Fulvio
Conditional Quantile-Located VaR
2018 Caporin, Massimiliano; Bonaccolto, Giovanni; Paterlini, Sandra
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
2018 Bonaccolto, G.; Caporin, M.; Gupta, RAJ KUMAR
Correction of Caporin and Paruolo (2015)
2017 Caporin, Massimiliano; Paruolo, Paolo
Chasing volatility: A persistent multiplicative error model with jumps
2017 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
Systemic co-jumps
2017 Caporin, Massimiliano; Kolokolov, Aleksey; Renã², Roberto
Building News Measures from Textual Data and an Application to Volatility Forecasting
2017 Caporin, Massimiliano; Poli, Francesco
The long-run oil–natural gas price relationship and the shale gas revolution
2017 Caporin, Massimiliano; Fontini, Fulvio
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