Sfoglia per Autore
Building News Measures from Textual Data and an Application to Volatility Forecasting
2017 Caporin, Massimiliano; Poli, Francesco
The relationship between oil prices and rig counts: The importance of lags
2017 Khalifa, Ahmed; Caporin, Massimiliano; Hammoudeh, Shawkat
Systemic co-jumps
2017 Caporin, Massimiliano; Kolokolov, Aleksey; Renã², Roberto
Damages Evaluation, Periodic Floods, and Local Sea Level Rise: The Case of Venice, Italy
2016 Caporin, Massimiliano; Fontini, Fulvio
Volatility Jumps and Their Economic Determinants
2016 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
2016 Bonaccolto, Giovanni; Caporin, Massimiliano
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES
2016 Costola, Michele; Caporin, Massimiliano
Ensemble properties of high-frequency data and intraday trading rules
2015 Baldovin, Fulvio; F., Camana; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio
Realized range volatility forecasting: Dynamic features and predictive variables
2015 Caporin, Massimiliano; Velo, GABRIEL GONZALO
Backward/forward optimal combination of performance measures for equity screening
2015 Billio, Monica; Caporin, Massimiliano; Costola, Michele
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
2015 Khalifa, Ahmed; Caporin, Massimiliano; Hammoudeh, Shawkat
Proximity-Structured Multivariate Volatility Models
2015 Caporin, Massimiliano; Paolo, Paruolo
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
2015 Asai, Manabu; Caporin, Massimiliano; Mcaleer, Michael
Precious metals under the microscope: a high-frequency analysis
2015 Caporin, Massimiliano; Angelo, Ranaldo; Gabriel G., Velo
Option pricing with non-Gaussian scaling and infinite-state switching volatility
2015 Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio; Zamparo, Marco
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
2014 Caporin, Massimiliano; Grégory M., Jannin; Lisi, Francesco; Bertrand B., Maillet
Measuring the impact of behavioural choices on the market prices
2014 Caporin, M.; Corazzini, L.; Costola, M.
Robust ranking of multivariate GARCH models by problem dimension
2014 Caporin, Massimiliano; Michael, Mcaleer
The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
2014 Caporin, Massimiliano; Fontini, Fulvio
The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
2014 Caporin, Massimiliano; Fontini, Fulvio
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