CAPORIN, MASSIMILIANO

CAPORIN, MASSIMILIANO  

Dipartimento di Scienze Statistiche  

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Titolo Data di pubblicazione Autori Rivista Serie Titolo libro
A note on calculating autocovariances of long-memory processes 2002 CAPORIN, MASSIMILIANO + JOURNAL OF TIME SERIES ANALYSIS - -
Identification of long-memory in GARCH models 2002 CAPORIN, MASSIMILIANO - - -
Identification of Long memory in GARCH models 2003 CAPORIN, MASSIMILIANO STATISTICAL METHODS & APPLICATIONS - -
Dynamic Conditional Correlation Models: Block Structures and Markov Switches for Contagion Analysis 2004 CAPORIN, MASSIMILIANO + - - -
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 2005 CAPORIN, MASSIMILIANO + STATISTICAL METHODS & APPLICATIONS - -
SFIGARCH: a seasonal long memory GARCH model 2005 BORDIGNON, SILVANOCAPORIN, MASSIMILIANOLISI, FRANCESCO - - -
SFIGARCH: a seasonal long memory GARCH model. 2005 Bordignon, SilvanoLisi, FrancescoCaporin, Massimiliano - WORKING PAPER SERIES DSS -
Periodic Long Memory GARCH models 2005 Bordignon, SilvanoCaporin, MassimilianoLisi, Francesco - WORKING PAPER SERIES DSS -
GARCH models with spatial structure 2006 CAPORIN, MASSIMILIANO + - - -
Analisi delle transizioni nel mercato del lavoro 2006 FAVARO, DONATACAPORIN, MASSIMILIANO - - Il mercato del lavoro nel Friuli Venezia Giulia. Rapporto 2006
Flexible dynamic conditional correlation multivariate GARCH for asset allocation 2006 CAPORIN, MASSIMILIANO + APPLIED FINANCIAL ECONOMICS LETTERS - -
Misspecification tests for Periodic Long Memory GARCH models 2006 CAPORIN, MASSIMILIANOLISI, FRANCESCO - - Atti della XLIII Riunione Scientifica (2006)
Dynamic asymmetric GARCH 2006 CAPORIN, MASSIMILIANO + JOURNAL OF FINANCIAL ECONOMETRICS - -
Dating EU15 monthly business cycle jointly using GDP and IPI 2007 CAPORIN, MASSIMILIANO + JOURNAL OF BUSINESS CYCLE ANALYSIS AND MEASUREMENT - -
Misspecification tests for Periodic Long Memory GARCH models. 2007 Lisi, FrancescoCaporin, Massimiliano - WORKING PAPER SERIES DSS -
Generalised long-memory GARCH models for intra-daily volatility 2007 BORDIGNON, SILVANOCAPORIN, MASSIMILIANOLISI, FRANCESCO COMPUTATIONAL STATISTICS & DATA ANALYSIS - -
Variance (non) causality in multivariate GARCH 2007 CAPORIN, MASSIMILIANO ECONOMETRIC REVIEWS - -
Scalar BEKK and indirect DCC 2008 CAPORIN, MASSIMILIANO + JOURNAL OF FORECASTING - -
Evaluating value-at-risk measures in the presence of long memory conditional volatility 2008 CAPORIN, MASSIMILIANO THE JOURNAL OF RISK - -
Periodic Long-Memory GARCH models 2009 BORDIGNON, SILVANOCAPORIN, MASSIMILIANOLISI, FRANCESCO ECONOMETRIC REVIEWS - -