| Nome |
# |
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Asymmetry and leverage in GARCH models: a News Impact Curve perspective, file e14fb26b-aa62-3de1-e053-1705fe0ac030
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503
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Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements, file e14fb26b-9aad-3de1-e053-1705fe0ac030
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251
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The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk, file e14fb26b-7e7e-3de1-e053-1705fe0ac030
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248
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Estimation and model-based combination of causality networks among large US banks and insurance companies, file e14fb26c-15f3-3de1-e053-1705fe0ac030
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219
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Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises, file e14fb26b-a132-3de1-e053-1705fe0ac030
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190
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Proximity-Structured Multivariate Volatility Models, file e14fb26d-660b-3de1-e053-1705fe0ac030
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188
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The relationship between oil prices and rig counts: The importance of lags, file e14fb26c-0e63-3de1-e053-1705fe0ac030
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186
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On the (Ab)use of Omega?, file e14fb26a-69a1-3de1-e053-1705fe0ac030
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182
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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?, file e14fb26b-c58e-3de1-e053-1705fe0ac030
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159
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The bank-sovereign nexus: Evidence from a non-bailout episode, file e14fb26c-3391-3de1-e053-1705fe0ac030
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152
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Time-varying persistence in US inflation, file e14fb26a-38a6-3de1-e053-1705fe0ac030
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150
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Backward/forward optimal combination of performance measures for equity screening, file e14fb268-7203-3de1-e053-1705fe0ac030
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148
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Do structural breaks in volatility cause spurious volatility transmission?, file e14fb26d-3856-3de1-e053-1705fe0ac030
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144
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Building News Measures from Textual Data and an Application to Volatility Forecasting, file e14fb26a-3db7-3de1-e053-1705fe0ac030
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140
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Chasing volatility: A persistent multiplicative error model with jumps, file e14fb26c-0e0c-3de1-e053-1705fe0ac030
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138
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Measuring sovereign contagion in Europe, file e14fb26a-646d-3de1-e053-1705fe0ac030
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134
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A multilevel factor approach for the analysis of CDS commonality and risk contribution, file e14fb26c-6113-3de1-e053-1705fe0ac030
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119
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On the volatilities of tourism stocks and oil, file e14fb26d-5963-3de1-e053-1705fe0ac030
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119
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Option pricing with non-Gaussian scaling and infinite-state switching volatility, file e14fb26c-0ca7-3de1-e053-1705fe0ac030
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90
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SFIGARCH: a seasonal long memory GARCH model., file e14fb270-2f1e-3de1-e053-1705fe0ac030
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87
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The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective, file e14fb26a-3ff2-3de1-e053-1705fe0ac030
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80
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Periodic Long Memory GARCH models, file e14fb270-2f1f-3de1-e053-1705fe0ac030
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80
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Financial Time Series: Methods and Models, file e14fb26d-492f-3de1-e053-1705fe0ac030
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76
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Analytical Gradients of Dynamic Conditional Correlation Models, file e14fb26d-2f98-3de1-e053-1705fe0ac030
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64
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On the role of risk in the Morningstar rating for mutual funds., file e14fb270-2d0e-3de1-e053-1705fe0ac030
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63
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Misspecification tests for Periodic Long Memory GARCH models., file e14fb270-300f-3de1-e053-1705fe0ac030
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39
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Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test, file 23161450-6840-45c2-9c31-543e7b98ff8d
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29
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The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland, file 4f754401-0717-4266-bf44-94fdb5c7abb7
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24
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Asymmetric and time-frequency spillovers among commodities using high-frequency data, file e14fb26e-e3dc-3de1-e053-1705fe0ac030
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23
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Dynamic large financial networks via conditional expected shortfalls, file e14fb26f-97c1-3de1-e053-1705fe0ac030
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23
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The long-run oil–natural gas price relationship and the shale gas revolution, file e14fb269-cdd9-3de1-e053-1705fe0ac030
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22
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Dynamic network analysis of North American financial institutions, file e14fb26f-2212-3de1-e053-1705fe0ac030
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22
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Systemic risk and severe economic downturns: A targeted and sparse analysis, file e14fb26f-9650-3de1-e053-1705fe0ac030
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22
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The systemic risk of US oil and natural gas companies, file 58790904-f050-417f-8f70-6b4e4a6d5c53
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18
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Is the Korean housing market following Gangnam style?, file e14fb26e-f58c-3de1-e053-1705fe0ac030
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17
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Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, file e14fb26f-0881-3de1-e053-1705fe0ac030
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16
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Systemic risk for financial institutions in the major petroleum-based economies: The role of oil, file e14fb26f-5ad0-3de1-e053-1705fe0ac030
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14
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The long-run relationship between the Italian day-ahead and balancing electricity prices, file aea8767d-7463-4d7c-afbe-b7fd32179571
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13
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Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements, file e14fb26f-2492-3de1-e053-1705fe0ac030
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13
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News and intraday jumps: Evidence from regularization and class imbalance, file 7c7be1d5-6486-42e6-8517-66224159ca44
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12
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Volatility Threshold Dynamic Conditional Correlations: An International Analysis, file e14fb267-ab0d-3de1-e053-1705fe0ac030
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12
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TrAffic LIght system for systemic Stress: TALIS3, file e14fb26f-1517-3de1-e053-1705fe0ac030
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12
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Testing persistence of WTI and brent long-run relationship after the shale oil supply shock, file e14fb26b-9d07-3de1-e053-1705fe0ac030
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11
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Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects, file b511f1e5-14c6-446e-84e0-63c5cce69aeb
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8
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Equity and CDS sector indices: Dynamic models and risk hedging, file e14fb267-a1fb-3de1-e053-1705fe0ac030
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8
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Forecasting Temperature Indices Density with Time-Varying Long-Memory Models, file e14fb267-a1fd-3de1-e053-1705fe0ac030
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8
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Long-memory models for count time series, file e14fb26e-36ae-3de1-e053-1705fe0ac030
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8
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The Asymmetric Impact of Oil Prices and Production on Drilling Rig Trajectory: A correction, file 82bcc0cf-d17e-4bdb-99c5-a4ee49a67a83
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7
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Ten Things You Should Know about the Dynamic Conditional Correlation Representation, file e14fb267-ab0c-3de1-e053-1705fe0ac030
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7
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Volatility Jumps and Their Economic Determinants, file e14fb26c-5ba4-3de1-e053-1705fe0ac030
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7
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Decomposing and backtesting a flexible specification for CoVaR, file e14fb26c-a0e9-3de1-e053-1705fe0ac030
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7
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Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test, file 275fc87d-8719-44d2-bca7-c2d5acebf6cc
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6
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Comparing and Selecting Performance Measures Using Rank Correlations, file e14fb267-94ee-3de1-e053-1705fe0ac030
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6
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A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices, file e14fb267-a1fe-3de1-e053-1705fe0ac030
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6
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Has the EU-ETS Financed the Energy Transition of the Italian Power System?, file e14fb26f-703c-3de1-e053-1705fe0ac030
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6
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Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves, file 2665c2f7-a135-4eee-a3ee-da4858c3ac3e
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5
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RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES, file e14fb268-c84f-3de1-e053-1705fe0ac030
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5
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Asset allocation strategies based on penalized quantile regression, file e14fb26c-0fd0-3de1-e053-1705fe0ac030
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5
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Do structural breaks in volatility cause spurious volatility transmission?, file e14fb26d-2914-3de1-e053-1705fe0ac030
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5
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The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland, file 5eadccb6-cae7-4c3b-96e5-1c6df96b6c86
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4
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News and intraday jumps: Evidence from regularization and class imbalance, file 86d3b37f-652c-45cd-ae3b-75f9ad8e9c86
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4
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Damages Evaluation, Periodic Floods, and Local Sea Level Rise: The Case of Venice, Italy, file e14fb268-706c-3de1-e053-1705fe0ac030
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4
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News and intraday jumps: Evidence from regularization and class imbalance, file ed05abdc-698e-4110-b091-73b74069ee65
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4
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Measuring systemic risk during the COVID-19 period: A TALIS3 approach, file 07ac88db-0538-49db-9972-bd55dae5cbf2
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3
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The Role of Jumps in Realized Volatility Modeling and Forecasting, file 60d4e26d-6891-49ff-a790-af378fbed82c
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3
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Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test, file 7e75b5c0-9a08-41f7-90d8-d3dd891ba386
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3
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Statistical Analysis of Financial Data: With Examples In R Gentle James Chapman and Hall/CRC Press, 646 pp, ISBN: 9781138599499, file b605d428-8d80-4abd-a337-176e5b3c4f33
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3
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Proximity-Structured Multivariate Volatility Models, file e14fb267-ab11-3de1-e053-1705fe0ac030
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3
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Modeling and Forecasting Realized Range VolatilityAdvances in Theoretical and Applied Statistics, file e14fb267-ab13-3de1-e053-1705fe0ac030
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3
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The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises, file e14fb267-ad6e-3de1-e053-1705fe0ac030
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3
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A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance, file e14fb26a-6065-3de1-e053-1705fe0ac030
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3
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A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance, file e14fb26a-69fc-3de1-e053-1705fe0ac030
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3
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Systemic co-jumps, file e14fb26c-0ca9-3de1-e053-1705fe0ac030
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3
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A multilevel factor approach for the analysis of CDS commonality and risk contribution, file e14fb26c-35a7-3de1-e053-1705fe0ac030
|
3
|
|
Estimation and model-based combination of causality networks among large US banks and insurance companies, file e14fb26c-5cd2-3de1-e053-1705fe0ac030
|
3
|
|
On the volatilities of tourism stocks and oil, file e14fb26d-492e-3de1-e053-1705fe0ac030
|
3
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Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle, file e14fb26e-c49b-3de1-e053-1705fe0ac030
|
3
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|
Dynamic network analysis of North American financial institutions, file e14fb26e-ce23-3de1-e053-1705fe0ac030
|
3
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|
TrAffic LIght system for systemic Stress: TALIS3, file e14fb26f-1516-3de1-e053-1705fe0ac030
|
3
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The Asymmetric Impact of Oil Prices and Production on Drilling Rig Trajectory: A correction, file 4f1f8a69-b2bf-423b-844c-4ae86818d3b7
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2
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|
Measuring systemic risk during the COVID-19 period: A TALIS3 approach, file 80a0c5bf-d373-4c99-9a77-bdcd661a43f4
|
2
|
|
Statistical Analysis of Financial Data: With Examples In R Gentle James Chapman and Hall/CRC Press, 646 pp, ISBN: 9781138599499, file a2235a21-f31f-4dda-b647-66d31eb869ac
|
2
|
|
The long-run oil–natural gas price relationship and the shale gas revolution, file e14fb26a-1d34-3de1-e053-1705fe0ac030
|
2
|
|
Option pricing with non-Gaussian scaling and infinite-state switching volatility, file e14fb26c-5ba2-3de1-e053-1705fe0ac030
|
2
|
|
Decomposing and backtesting a flexible specification for CoVaR, file e14fb26c-bcba-3de1-e053-1705fe0ac030
|
2
|
|
Is the Korean housing market following Gangnam style?, file e14fb26e-de75-3de1-e053-1705fe0ac030
|
2
|
|
Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, file e14fb26e-e4bd-3de1-e053-1705fe0ac030
|
2
|
|
Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, file e14fb26f-036c-3de1-e053-1705fe0ac030
|
2
|
|
Asymmetric and time-frequency spillovers among commodities using high-frequency data, file e14fb26f-0b46-3de1-e053-1705fe0ac030
|
2
|
|
TrAffic LIght system for systemic Stress: TALIS3, file e14fb26f-20e0-3de1-e053-1705fe0ac030
|
2
|
|
Dynamic network analysis of North American financial institutions, file e14fb26f-2211-3de1-e053-1705fe0ac030
|
2
|
|
Asymmetric and time-frequency based networks of currency markets, file 4b4ba1c8-6410-408b-a7a9-1241382c037d
|
1
|
|
What drives the expansion of research on banking crises? Cross-country evidence, file 50ac6384-d31d-4b49-9929-0e55382cae99
|
1
|
|
The Role of Jumps in Realized Volatility Modeling and Forecasting, file 910904d1-38df-4a1b-99ef-8f2519411a25
|
1
|
|
Estimating time-varying proximity with a state–space model, file 94e4ffe7-5bdf-420c-916a-88686d3a0ddb
|
1
|
|
The long-run relationship between the Italian day-ahead and balancing electricity prices, file a1b03bdb-3d6d-4f57-b1c6-9235f019b170
|
1
|
|
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification, file ade382a8-c69f-4dbd-ac71-69c3bbf0bef1
|
1
|
|
Precious metals under the microscope: a high-frequency analysis, file e14fb267-ac60-3de1-e053-1705fe0ac030
|
1
|
|
Chasing volatility: A persistent multiplicative error model with jumps, file e14fb26c-0e0d-3de1-e053-1705fe0ac030
|
1
|
|
The bank-sovereign nexus: Evidence from a non-bailout episode, file e14fb26c-6386-3de1-e053-1705fe0ac030
|
1
|
| Totale |
4.453 |