CAPORIN, MASSIMILIANO
CAPORIN, MASSIMILIANO
Dipartimento di Scienze Statistiche
A note on calculating autocovariances of long-memory processes
2002 S., Bertelli; Caporin, Massimiliano
Identification of Long memory in GARCH models
2003 Caporin, Massimiliano
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
2005 Billio, M.; Caporin, Massimiliano
Dynamic asymmetric GARCH
2006 Caporin, Massimiliano; M., Mcaleer
Flexible dynamic conditional correlation multivariate GARCH for asset allocation
2006 M., Billio; Caporin, Massimiliano; M., Gobbo
Generalised long-memory GARCH models for intra-daily volatility
2007 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
Dating EU15 monthly business cycle jointly using GDP and IPI
2007 M., Billio; Caporin, Massimiliano; G., Cazzavillan
Variance (non) causality in multivariate GARCH
2007 Caporin, Massimiliano
Scalar BEKK and indirect DCC
2008 Caporin, Massimiliano; Mcaleer, M.
Evaluating value-at-risk measures in the presence of long memory conditional volatility
2008 Caporin, Massimiliano
Periodic Long-Memory GARCH models
2009 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
2009 Billio, M; Caporin, Massimiliano
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
2010 Caporin, Massimiliano; Mcaleer, M.
Misspecification tests for periodic long memory GARCH models
2010 Caporin, Massimiliano; Lisi, Francesco
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS RID A-2407-2008
2010 Caporin, Massimiliano; Mcaleer, M.
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
2010 Billio, M; Caporin, Massimiliano
Comparing and Selecting Performance Measures Using Rank Correlations
2011 Caporin, Massimiliano; Lisi, Francesco
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
2011 Caporin, Massimiliano; Mcaleer, M.
Model based Monte Carlo pricing of energy and temperature Quanto options
2012 Caporin, Massimiliano; Juliusz, Preś; Hipolit, Torro
On the evaluation of marginal expected shortfall
2012 Caporin, Massimiliano; Paolo Santucci de, Magistris
Modeling and forecasting wind speed intensity for weather risk management
2012 Caporin, Massimiliano; Pres, J.
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
2012 M., Bonato; Caporin, Massimiliano; A., Ranaldo
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
2012 Caporin, Massimiliano; Michael, Mcaleer
On the role of risk in the Morningstar rating for mutual funds
2012 Lisi, Francesco; Caporin, Massimiliano
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
2013 Caporin, Massimiliano; Michael, Mcaleer
I fondi immobiliari italiani: NAV discount e valutazione degli esperti indipendenti
2013 Caporin, Massimiliano; Lanzavecchia, Alberto; V., Lippoli
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
2013 M., Kasch; Caporin, Massimiliano
Equity and CDS sector indices: Dynamic models and risk hedging
2013 Caporin, Massimiliano
Forecasting Temperature Indices Density with Time-Varying Long-Memory Models
2013 Caporin, Massimiliano; Juliusz, Preś
Fast clustering of GARCH processes via Gaussian mixture models
2013 Gian Piero, Aielli; Caporin, Massimiliano
On the predictability of stock prices: A case for high and low prices
2013 Caporin, Massimiliano; Angelo, Ranaldo; Paolo Santucci de, Magistris
A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
2013 Caporin, Massimiliano; Lisi, Francesco
Risk spillovers in international equity portfolios
2013 Matteo, Bonato; Caporin, Massimiliano; Angelo, Ranaldo
Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
2014 Caporin, Massimiliano; Juan Angel Jimenez, Martin; Lydia Gonzalez, Serrano
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
2014 Caporin, Massimiliano; Grégory M., Jannin; Lisi, Francesco; Bertrand B., Maillet
Variance clustering improved dynamic conditional correlation MGARCH estimators
2014 Gian Piero, Aielli; Caporin, Massimiliano
Robust ranking of multivariate GARCH models by problem dimension
2014 Caporin, Massimiliano; Michael, Mcaleer
Realized range volatility forecasting: Dynamic features and predictive variables
2015 Caporin, Massimiliano; Velo, GABRIEL GONZALO
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
2015 Asai, Manabu; Caporin, Massimiliano; Mcaleer, Michael
Ensemble properties of high-frequency data and intraday trading rules
2015 Baldovin, Fulvio; F., Camana; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio
Backward/forward optimal combination of performance measures for equity screening
2015 Billio, Monica; Caporin, Massimiliano; Costola, Michele
Proximity-Structured Multivariate Volatility Models
2015 Caporin, Massimiliano; Paolo, Paruolo
Option pricing with non-Gaussian scaling and infinite-state switching volatility
2015 Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio; Zamparo, Marco
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
2015 Khalifa, Ahmed; Caporin, Massimiliano; Hammoudeh, Shawkat
Precious metals under the microscope: a high-frequency analysis
2015 Caporin, Massimiliano; Angelo, Ranaldo; Gabriel G., Velo
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES
2016 Costola, Michele; Caporin, Massimiliano
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
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
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
Building News Measures from Textual Data and an Application to Volatility Forecasting
2017 Caporin, Massimiliano; Poli, Francesco
Time-varying persistence in US inflation
2017 Caporin, Massimiliano; Gupta, Rangan
The long-run oil–natural gas price relationship and the shale gas revolution
2017 Caporin, Massimiliano; Fontini, Fulvio
On the (Ab)use of Omega?
2018 Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; Maillet, Bertrand
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
2018 Bonaccolto, G.; Caporin, M.; Gupta, RAJ KUMAR
Measuring sovereign contagion in Europe
2018 Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
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
Decomposing and backtesting a flexible specification for CoVaR
2019 Bonaccolto, G.; Caporin, M.; Paterlini, S.
Testing persistence of WTI and brent long-run relationship after the shale oil supply shock
2019 Caporin, Massimiliano; Fontini, Fulvio; Talebbeydokhti, Elham
Asymmetry and leverage in GARCH models: a News Impact Curve perspective
2019 Caporin, Massimiliano; Costola, Michele
Estimation and model-based combination of causality networks among large US banks and insurance companies
2019 Bonaccolto, G.; Caporin, M.; Panzica, R.
A multilevel factor approach for the analysis of CDS commonality and risk contribution
2019 Rodriguez-Caballero, C. V.; Caporin, M.
The bank-sovereign nexus: Evidence from a non-bailout episode
2019 Caporin, Massimiliano; Natvik, Gisle; Ravazzolo, Francesco; Santucci de Magistris, Paolo
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements
2019 Khalifa, Ahmed; Caporin, Massimiliano; DI FONZO, Tommaso
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises
2019 Caporin, Massimiliano; Corazzini, Luca; Costola, Michele
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
2019 Caporin, Massimiliano; Chang, Chia-Lin; Mcaleer, Michael
Analytical Gradients of Dynamic Conditional Correlation Models
2020 Caporin, Massimiliano; Lucchetti, Riccardo (Jack); Palomba, Giulio
Do structural breaks in volatility cause spurious volatility transmission?
2020 Caporin, M.; Malik, F.
On the volatilities of tourism stocks and oil
2020 Shahzad, S. J. H.; Caporin, M.
Financial Time Series: Methods and Models
2020 Caporin, Massimiliano; Storti, Giuseppe
Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
2021 Khalifa, A.; Caporin, M.; Costola, M.; Hammoudeh, S.
Asymmetric and time-frequency spillovers among commodities using high-frequency data
2021 Caporin, M.; Naeem, M. A.; Arif, M.; Hasan, M.; Vo, X. V.; Hussain Shahzad, S. J.
Has the EU-ETS Financed the Energy Transition of the Italian Power System?
2021 Caporin, Massimiliano; Fontini, Fulvio; Segato, Samuele
Statistical Analysis of Financial Data: With Examples In R Gentle James Chapman and Hall/CRC Press, 646 pp, ISBN: 9781138599499
2021 Caporin, Massimiliano
Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
2021 Caporin, M.; Gupta, R.; Ravazzolo, F.
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
2021 Bonaccolto, G.; Caporin, M.; Zambon, N.
Dynamic network analysis of North American financial institutions
2021 Liu, S.; Caporin, M.; Paterlini, S.
Is the Korean housing market following Gangnam style?
2021 Al-Yahyaee, K. H.; Mensi, W.; Ko, H. -U.; Caporin, M.; Kang, S. H.
TrAffic LIght system for systemic Stress: TALIS3
2021 Caporin, M.; Garcia-Jorcano, L.; Jimenez-Martin, J. -A.
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.
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.
The effect of renewable energy development on China's energy intensity: Evidence from partially linear functional-coefficient panel data analyses
2022 Liu, Jie; Caporin, Massimiliano; Zheng, Yali; Yu, Shiwei
Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects
2022 Billé, Anna Gloria; Caporin, Massimiliano
Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test
2022 Caporin, M.; Costola, M.
Measuring systemic risk during the COVID-19 period: A TALIS3 approach
2022 Caporin, M.; Garcia-Jorcano, L.; Jimenez-Martin, J. -A.
News and intraday jumps: Evidence from regularization and class imbalance
2022 Caporin, Massimiliano; Poli, Francesco
Dynamic large financial networks via conditional expected shortfalls
2022 Bonaccolto, G.; Caporin, M.; Maillet, B. B.
The Asymmetric Impact of Oil Prices and Production on Drilling Rig Trajectory: A correction
2022 Ewing, Bradley T.; Payne, James E.; Caporin, M.
The long-run relationship between the Italian day-ahead and balancing electricity prices
2022 Caporin, M.; Fontini, F.; Santucci de Magistris, P.
Networks in risk spillovers: A multivariate GARCH perspective
2023 Billio, M.; Caporin, M.; Frattarolo, L.; Pelizzon, L.
Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic
2023 Ghazani, M. M.; Khosravi, R.; Caporin, M.
Asymmetric and time-frequency based networks of currency markets
2023 Shahzad, S. J. H.; Hasan, M.; Caporin, M.
The systemic risk of US oil and natural gas companies
2023 Caporin, Massimiliano; Fontini, Fulvio; Panzica, Roberto
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
2023 Billio, M.; Caporin, M.; Panzica, R.; Pelizzon, L.
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.