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Massimiliano Caporin

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos de Trabajo del ICAE 2009-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Heterodox Approaches > Thermoeconomics > The economy system as a living organism

Working papers

  1. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022. "The systemic risk of US oil and natural gas companies," Working Papers 2022-11, Joint Research Centre, European Commission.

    Cited by:

    1. Uddin, Gazi Salah & Luo, Tianqi & Yahya, Muhammad & Jayasekera, Ranadeva & Rahman, Md Lutfur & Okhrin, Yarema, 2023. "Risk network of global energy markets," Energy Economics, Elsevier, vol. 125(C).
    2. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).

  2. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.

    Cited by:

    1. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Insurance risk analysis of financial networks vulnerable to a shock," European Journal of Operational Research, Elsevier, vol. 301(2), pages 756-771.
    2. Alexandre, Michel & Silva, Thiago Christiano & Michalak, Krzysztof & Rodrigues, Francisco Aparecido, 2023. "Does the default pecking order impact systemic risk? Evidence from Brazilian data," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1379-1391.
    3. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    4. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
    5. Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    6. Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
    7. Gong, Qingbin & Diao, Xundi, 2023. "The impacts of investor network and herd behavior on market stability: Social learning, network structure, and heterogeneity," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1388-1398.

  3. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Management Science Reproducibility Collaboration, 2023. "Reproducibility in Management Science," Department for Strategy and Innovation Working Paper Series 03/2023, WU Vienna University of Economics and Business.
    2. Müller, Isabella & Noth, Felix & Tonzer, Lena, 2022. "A note on the use of syndicated loan data," IWH Discussion Papers 17/2022, Halle Institute for Economic Research (IWH).
    3. Christoph Huber & Christian König-Kersting, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck.

  4. Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021. "The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland," "Marco Fanno" Working Papers 0272, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Bonaldo, Cinzia & Fontini, Fulvio & Moretto, Michele, 2022. "The Energy Transition and the Value of Capacity Remuneration Mechanisms," FEEM Working Papers 321985, Fondazione Eni Enrico Mattei (FEEM).
    2. Falbo, Paolo & Ruiz, Carlos, 2023. "Joint optimization of sales-mix and generation plan for a large electricity producer," Energy Economics, Elsevier, vol. 120(C).

  5. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.
    2. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
    3. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.

  6. Massimiliano Caporin & Zahra Mohammadi Nikpour & Paola Valbonesi, 2020. "Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa," "Marco Fanno" Working Papers 0250, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Dawud Ansari & Mariza Montes de Oca Leon & Helen Schlüter, 2021. "What Drives Saudi Airstrikes in Yemen? An Empirical Analysis of the Dynamics of Coalition Airstrikes, Houthi Attacks, and the Oil Market," Discussion Papers of DIW Berlin 1959, DIW Berlin, German Institute for Economic Research.

  7. Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," BEMPS - Bozen Economics & Management Paper Series BEMPS61, Faculty of Economics and Management at the Free University of Bozen.

    Cited by:

    1. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
    2. Zheng Zheng Li & Chi-Wei Su, 2023. "How does real estate market react to the iron ore boom in Australian capital cities?," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 71(2), pages 517-537, October.
    3. Walid Mensi & Zhuhua Jiang & Xuan Vinh Vo & Seong‐Min Yoon, 2023. "Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets," Australian Economic Papers, Wiley Blackwell, vol. 62(4), pages 597-615, December.
    4. Wen Chang, Hao & Chang, Tsangyao, 2023. "How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    5. Wang, Peiwan & Zong, Lu, 2020. "Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Asima Siddique & Ghulam Mujtaba Kayani & Saira Ashfaq, 2021. "Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform," JRFM, MDPI, vol. 14(10), pages 1-16, October.
    7. Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.
    8. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2021. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," Working Papers 202159, University of Pretoria, Department of Economics.
    9. David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
    10. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org.

  8. Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers 2018-33, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    2. Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
    3. Rodríguez-Caballero, Carlos Vladimir, 2022. "Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence," Econometrics and Statistics, Elsevier, vol. 23(C), pages 128-146.

  9. Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega?”," Post-Print hal-02312145, HAL.

    Cited by:

    1. Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2019. "Farinelli and Tibiletti ratio and stochastic dominance," Risk Management, Palgrave Macmillan, vol. 21(3), pages 201-213, September.
    2. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
    3. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    4. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.
    5. Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
    6. Balder, Sven & Schweizer, Nikolaus, 2017. "Risk aversion vs. the Omega ratio: Consistency results," Finance Research Letters, Elsevier, vol. 21(C), pages 78-84.
    7. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    8. Sehgal, Ruchika & Sharma, Amita & Mansini, Renata, 2023. "Worst-case analysis of Omega-VaR ratio optimization model," Omega, Elsevier, vol. 114(C).
    9. Eric Benhamou & Beatrice Guez & Nicolas Paris, 2020. "Omega and Sharpe ratio," Working Papers hal-02886481, HAL.
    10. Xu Guo & Xuejun Jiang & Wing-Keung Wong, 2017. "Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly," Economies, MDPI, vol. 5(4), pages 1-16, October.
    11. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.

  10. Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Leibniz Institute for Financial Research SAFE, revised 2017.

    Cited by:

    1. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
    2. Saif Sallam Alhakimi & Hussein Hamood Sharaf-Addin, 2022. "Investigating the Impact of Oil Prices Changes on Financial Market Efficiency in Saudi Arabia for the Period (1980-2018): ARDL Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 420-426.

  11. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Tinic, Murat & Sensoy, Ahmet & Demir, Muge & Nguyen, Duc Khuong, 2020. "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," MPRA Paper 104719, University Library of Munich, Germany.
    2. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
    3. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
    4. Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021. "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, vol. 42(C).
    5. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
    6. Michele Costola & Matteo Iacopini & Casper Wichers, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," Papers 2310.17473, arXiv.org.
    7. Costola, Michele & Iacopini, Matteo & Wichers, Casper, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," SAFE Working Paper Series 407, Leibniz Institute for Financial Research SAFE.

  12. Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017. "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers 2017-25, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Soenen, Nicolas & Vander Vennet, Rudi, 2022. "ECB monetary policy and bank default risk☆," Journal of International Money and Finance, Elsevier, vol. 122(C).
    2. Velliscig, Giulio & Floreani, Josanco & Polato, Maurizio, 2022. "How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs?," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 173-189.
    3. Nicolas Soenen & Rudi Vander Vennet, 2020. "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/997, Ghent University, Faculty of Economics and Business Administration.

  13. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Xiurong Chen & Aimin Hao & Yali Li, 2020. "The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
    2. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
    3. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
    4. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    5. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    6. Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    7. Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    8. Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    9. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    10. Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2019. "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study," Energy Economics, Elsevier, vol. 84(C).
    11. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.

  14. Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.

  15. Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Fredj Jawadi & Wael Louhichi & Hachmi Ben Ameur & Abdoulkarim Idi Cheffou, 2017. "On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis," Working Papers hal-04141662, HAL.
    2. Jawadi, Fredj & Louhichi, Waël & Ameur, Hachmi Ben & Cheffou, Abdoulkarim Idi, 2016. "On oil-US exchange rate volatility relationships: An intraday analysis," Economic Modelling, Elsevier, vol. 59(C), pages 329-334.
    3. Abdelkader Derbali & Tarek Chebbi, 2018. "Dynamic Equicorrelation between S&P500 Index and S&P GSCI," Working Papers hal-01695995, HAL.
    4. Jiang, Ping & Liu, Zhenkun & Wang, Jianzhou & Zhang, Lifang, 2021. "Decomposition-selection-ensemble forecasting system for energy futures price forecasting based on multi-objective version of chaos game optimization algorithm," Resources Policy, Elsevier, vol. 73(C).
    5. Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015. "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers 201564, University of Pretoria, Department of Economics.
    6. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
    7. Ngo Thai Hung, 2020. "Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 315-326.
    8. Jiaying Peng & Zhenghui Li & Benjamin M. Drakeford, 2020. "Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism," Energies, MDPI, vol. 13(17), pages 1-19, August.
    9. Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2020. "Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19," Renewable and Sustainable Energy Reviews, Elsevier, vol. 134(C).

  16. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).

  17. Massimiliano Caporin & Fulvio Fontini, 2015. "The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution," "Marco Fanno" Working Papers 0198, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
    2. Kirat, Yassine, 2021. "The US shale gas revolution: An opportunity for the US manufacturing sector?," International Economics, Elsevier, vol. 167(C), pages 59-77.
    3. Aviral Kumar Tiwari & Zinnia Mukherjee & Rangan Gupta & Mehmet Balcilar, 2018. "A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices," Working Papers 201831, University of Pretoria, Department of Economics.
    4. Francesco Lamperti & Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2017. "Faraway, so close : coupled climate and economic dynamics in an agent-based integrated assessment model," SciencePo Working papers Main hal-03458816, HAL.
    5. Petre Caraiani & Adrian Cantemir Călin, 2019. "Monetary Policy Effects on Energy Sector Bubbles," Energies, MDPI, vol. 12(3), pages 1-13, February.
    6. Zhang, Dayong & Wang, Tiantian & Shi, Xunpeng & Liu, Jia, 2018. "Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test," Energy Economics, Elsevier, vol. 76(C), pages 495-503.
    7. Wei, Zhaohao & Chai, Jian & Dong, Jichang & Lu, Quanying, 2022. "Understanding the linkage-dependence structure between oil and gas markets: A new perspective," Energy, Elsevier, vol. 257(C).
    8. Hou, Chenghan & Nguyen, Bao H., 2018. "Understanding the US natural gas market: A Markov switching VAR approach," Energy Economics, Elsevier, vol. 75(C), pages 42-53.
    9. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
    10. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    11. Feng, Gen-Fu & Wang, Quan-Jing & Chu, Yin & Wen, Jun & Chang, Chun-Ping, 2021. "Does the shale gas boom change the natural gas price-production relationship? Evidence from the U.S. market," Energy Economics, Elsevier, vol. 93(C).
    12. Gao, Shen & Hou, Chenghan & Nguyen, Bao H., 2020. "Forecasting natural gas prices using highly flexible time-varying parameter models," Working Papers 2020-01, University of Tasmania, Tasmanian School of Business and Economics.
    13. Li, Boying & Zheng, Mingbo & Zhao, Xinxin & Chang, Chun-Ping, 2021. "An assessment of the effect of partisan ideology on shale gas production and the implications for environmental regulations," Economic Systems, Elsevier, vol. 45(3).
    14. Li, Raymond & Woo, Chi-Keung & Tishler, Asher & Zarnikau, Jay, 2022. "How price responsive is industrial demand for natural gas in the United States?," Utilities Policy, Elsevier, vol. 74(C).
    15. Antonietti, Roberto & Fontini, Fulvio, 2019. "Does energy price affect energy efficiency? Cross-country panel evidence," Energy Policy, Elsevier, vol. 129(C), pages 896-906.
    16. Li, Raymond & Woo, Chi-Keung & Tishler, Asher & Zarnikau, Jay, 2022. "Price responsiveness of commercial demand for natural gas in the US," Energy, Elsevier, vol. 256(C).
    17. Pablo Cansado-Bravo & Carlos Rodríguez-Monroy, 2018. "Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices," Energies, MDPI, vol. 11(12), pages 1-17, December.
    18. Zhang, Dayong & Shi, Min & Shi, Xunpeng, 2018. "Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade," Energy Economics, Elsevier, vol. 69(C), pages 33-41.
    19. Miao, Xiaoyu & Wang, Qunwei & Dai, Xingyu, 2022. "Is oil-gas price decoupling happening in China? A multi-scale quantile-on-quantile approach," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 450-470.
    20. Wang, Tiantian & Zhang, Dayong & Ji, Qiang & Shi, Xunpeng, 2020. "Market reforms and determinants of import natural gas prices in China," Energy, Elsevier, vol. 196(C).
    21. Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019. "Dynamic Volatility Spillover Effect between Oil and Agricultural Products," Working Papers 2019-009, Department of Research, Ipag Business School.
    22. Hafezi, Reza & Wood, David A. & Akhavan, Amir Naser & Pakseresht, Saeed, 2020. "Iran in the emerging global natural gas market: A scenario-based competitive analysis and policy assessment," Resources Policy, Elsevier, vol. 68(C).
    23. Gao, Shen & Hou, Chenghan & Nguyen, Bao H., 2021. "Forecasting natural gas prices using highly flexible time-varying parameter models," Economic Modelling, Elsevier, vol. 105(C).
    24. Rubaszek, Michał & Uddin, Gazi Salah, 2020. "The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis," Energy Economics, Elsevier, vol. 87(C).
    25. Lee, Sunghoon & Kim, Jin-Kuk, 2020. "Process-integrated design of a sub-ambient membrane process for CO2 removal from natural gas power plants," Applied Energy, Elsevier, vol. 260(C).
    26. Mangirdas Morkunas & Gintaras Cernius & Gintare Giriuniene, 2019. "Assessing Business Risks of Natural Gas Trading Companies: Evidence from GET Baltic," Energies, MDPI, vol. 12(14), pages 1-14, July.
    27. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
    28. Ivan Aleksandrovich Kopytin & Alexander Oskarovich Maslennikov & Stanislav Vyacheslavovich Zhukov, 2022. "Europe in World Natural Gas Market: International Transmission of European Price Shocks," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 8-15, May.
    29. Yassine Kirat, 2021. "The US shale gas revolution: An opportunity for the US manufacturing sector?," Post-Print hal-03676616, HAL.
    30. Yang, Haijun & Han, Xin & Wang, Li, 2021. "Is there a bubble in the shale gas market?," Energy, Elsevier, vol. 215(PA).
    31. Shi, Xunpeng & Shen, Yifan, 2021. "Macroeconomic uncertainty and natural gas prices: Revisiting the Asian Premium," Energy Economics, Elsevier, vol. 94(C).
    32. Solarin, Sakiru Adebola & Gil-Alana, Luis A. & Lafuente, Carmen, 2020. "An investigation of long range reliance on shale oil and shale gas production in the U.S. market," Energy, Elsevier, vol. 195(C).
    33. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
    34. Ribeiro Scarcioffolo, Alexandre & Etienne, Xiaoli L., 2018. "Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273976, Agricultural and Applied Economics Association.
    35. Michael Weylandt & Yu Han & Katherine B. Ensor, 2019. "Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility," Papers 1907.10152, arXiv.org.
    36. Hailemariam, Abebe & Smyth, Russell, 2019. "What drives volatility in natural gas prices?," Energy Economics, Elsevier, vol. 80(C), pages 731-742.
    37. Roberts, Gavin, 2019. "Revisiting the Drivers of Natural Gas Prices. A replication study of Brown & Yücel (The Energy Journal, 2008)," International Journal for Re-Views in Empirical Economics (IREE), ZBW - Leibniz Information Centre for Economics, vol. 3(2019-2), pages 1-24.
    38. Feng, Qianqian & Qiu, Nansheng & Borjigin, Tenger & Wu, Hang & Zhang, Jiatang & Shen, Baojian & Wang, Jiangshan, 2022. "Tectonic evolution revealed by thermo-kinematic and its effect on shale gas preservation," Energy, Elsevier, vol. 240(C).
    39. Salim Hamza Ringim & Abdulkareem Alhassan & Hasan Güngör & Festus Victor Bekun, 2022. "Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models," Energies, MDPI, vol. 15(10), pages 1-18, May.
    40. Zhang, Dayong & Ji, Qiang, 2018. "Further evidence on the debate of oil-gas price decoupling: A long memory approach," Energy Policy, Elsevier, vol. 113(C), pages 68-75.

  18. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.

    Cited by:

    1. Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha, 2021. "Quantile-based optimal portfolio selection," Computational Management Science, Springer, vol. 18(3), pages 299-324, July.
    2. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.
    3. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
    4. Sungchul Hong & Jong-June Jeon, 2023. "Uniform Pessimistic Risk and Optimal Portfolio," Papers 2303.07158, arXiv.org.
    5. Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wolfgang Schmid, 2023. "Multi-period power utility optimization under stock return predictability," Computational Management Science, Springer, vol. 20(1), pages 1-27, December.
    6. De Gooijer Jan G. & Zerom Dawit, 2020. "Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-15, January.

  19. Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015. "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers 201564, University of Pretoria, Department of Economics.

    Cited by:

    1. Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018. "Oil returns and volatility: The role of mergers and acquisitions," Energy Economics, Elsevier, vol. 71(C), pages 62-69.
    2. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2015. "On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test," Working Papers 201598, University of Pretoria, Department of Economics.
    3. Elie Bouri & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020. "Infectious Diseases, Market Uncertainty and Oil Market Volatility," Energies, MDPI, vol. 13(16), pages 1-8, August.
    4. Mei, Dexiang & Zeng, Qing & Cao, Xiang & Diao, Xiaohua, 2019. "Uncertainty and oil volatility: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 155-163.
    5. Yang, Kun & Wei, Yu & Li, Shouwei & Liu, Liang & Wang, Lei, 2021. "Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics," Energy Economics, Elsevier, vol. 96(C).
    6. Hasan, Md. Bokhtiar & Kabir Hassan, M. & Gider, Zeynullah & Tahsin Rafia, Humaira & Rashid, Mamunur, 2023. "Searching hedging instruments against diverse global risks and uncertainties," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    7. Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2017. "Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 269-279.
    8. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    9. Riza Demirer & Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2020. "Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data," Working Papers 2020104, University of Pretoria, Department of Economics.
    10. Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018. "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, vol. 75(C), pages 239-248.
    11. Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2019. "Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data," Working Papers 201942, University of Pretoria, Department of Economics.
    12. Rangan Gupta & Chi Keung Marco Lau & Wendy Nyakabawo, 2018. "Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment," Working Papers 201866, University of Pretoria, Department of Economics.
    13. Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers," Energies, MDPI, vol. 14(14), pages 1-15, July.
    14. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
    15. Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian & Shahzad, Syed Jawad Hussain, 2020. "The predictive power of oil price shocks on realized volatility of oil: A note," Resources Policy, Elsevier, vol. 69(C).
    16. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2019. "Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility," Working Papers 201916, University of Pretoria, Department of Economics.
    17. Yin, Libo & Wang, Yang, 2019. "Forecasting the oil prices: What is the role of skewness risk?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    18. Wen, Jun & Zhao, Xin-Xin & Chang, Chun-Ping, 2021. "The impact of extreme events on energy price risk," Energy Economics, Elsevier, vol. 99(C).
    19. Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
    20. Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2018. "Predicting Stock Returns And Volatility With Investor Sentiment Indices: A Reconsideration Using A Nonparametric Causality†In†Quantiles Test," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 74-87, January.
    21. Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019. "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers 201919, University of Pretoria, Department of Economics.
    22. Tsangyao Chang & Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch, 2017. "Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio," Working Papers 201756, University of Pretoria, Department of Economics.
    23. Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017. "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201725, University of Pretoria, Department of Economics.
    24. Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers 201638, University of Pretoria, Department of Economics.
    25. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2020. "Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio," Working Papers 202094, University of Pretoria, Department of Economics.
    26. Çepni, Oğuzhan & Gupta, Rangan & Pienaar, Daniel & Pierdzioch, Christian, 2022. "Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?," Energy Economics, Elsevier, vol. 114(C).
    27. Rangan Gupta & Christian Pierdzioch, 2023. "Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    28. Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.
    29. Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao, 2023. "Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1593-1616, April.
    30. Zhang, Yue-Jun & Yan, Xing-Xing, 2020. "The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 750-768.
    31. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    32. Syed Jawad Hussain Shahzad & Rangan Gupta & Riza Demirer & Christian Pierdzioch, 2022. "Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data†," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(2), pages 169-185, May.
    33. Balcilar, Mehmet & Gupta, Rangan & Kim, Won Joong & Kyei, Clement, 2019. "The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 150-163.

  20. Massimiliano Caporin & Rangan Gupta, 2014. "Time-Varying Persistence in US Inflation," Working Papers 201457, University of Pretoria, Department of Economics.

    Cited by:

    1. Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017. "Time-varying persistence of inflation: evidence from a wavelet-based approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    2. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
    3. Hamidreza Ghorbani Dastgerdi, 2020. "Inflation Theories and Inflation Persistence in Iran," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 23(2), pages 1-20, November.
    4. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    5. Zhanshou Chen & Yanting Xiao & Fuxiao Li, 2021. "Monitoring memory parameter change-points in long-memory time series," Empirical Economics, Springer, vol. 60(5), pages 2365-2389, May.

  21. Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
    • Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.

    Cited by:

    1. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.

  22. Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
    2. Olkhov, Victor, 2019. "New essentials of economic theory II. Economic transactions, expectations and asset pricing," MPRA Paper 93428, University Library of Munich, Germany.
    3. Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".

  23. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Lien, Donald & Lee, Geul & Yang, Li & Zhang, Yuyin, 2018. "Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 187-201.
    2. Anne Opschoor & André Lucas, 2019. "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers 19-051/IV, Tinbergen Institute.
    3. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    4. Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
    5. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    6. Swasti R. Khuntia & Jose L. Rueda & Mart A.M.M. Van der Meijden, 2018. "Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model," Energies, MDPI, vol. 11(12), pages 1-19, November.
    7. Giampiero M. Gallo & Edoardo Otranto, 2016. "Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM," Econometrics Working Papers Archive 2016_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

  24. Caporin, Massimiliano & Fontini, Fulvio, 2014. "The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises," MPRA Paper 53779, University Library of Munich, Germany.

    Cited by:

    1. Paunić, Alida, 2016. "Brazil, Preservation of Forest and Biodiversity," MPRA Paper 71462, University Library of Munich, Germany.

  25. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.

    Cited by:

    1. Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
    2. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
    3. Potrykus Marcin, 2018. "Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges," Financial Sciences. Nauki o Finansach, Sciendo, vol. 23(2), pages 30-46, June.
    4. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
    5. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    6. Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.
    7. Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2019. "Farinelli and Tibiletti ratio and stochastic dominance," Risk Management, Palgrave Macmillan, vol. 21(3), pages 201-213, September.
    8. Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02965765, HAL.
    9. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
    10. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
    11. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    12. Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Omega, Elsevier, vol. 113(C).
    13. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    14. Aytaç, Beysül & Hoang, Thi-Hong-Van & Mandou, Cyrille, 2016. "Wine: To drink or invest in? A study of wine as an investment asset in French portfolios," Research in International Business and Finance, Elsevier, vol. 36(C), pages 591-614.
    15. Jan Voelzke, 2014. "Weakening the Gain-Loss-Ratio measure to make it stronger," CQE Working Papers 3114, Center for Quantitative Economics (CQE), University of Muenster.
    16. Dipankar Mondal & N. Selvaraju, 2020. "Upside Beta Ratio: A Performance Measure For Potential-Seeking Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-26, April.
    17. Voelzke, Jan, 2015. "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, vol. 12(C), pages 58-66.
    18. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    19. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    20. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
    21. Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
    22. Andrey Leonidov & Ilya Tipunin & Ekaterina Serebryannikova, 2020. "On Evaluation of Risky Investment Projects. Investment Certainty Equivalence," Papers 2005.12173, arXiv.org.
    23. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    24. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    25. Thi-Hong-Van Hoang & Wing-Keung Wong & Zhenzhen Zhu, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Post-Print hal-02010732, HAL.
    26. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2016. "The impact of screening strategies on the performance of ESG indices," Working Papers hal-01344699, HAL.
    27. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
    28. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    29. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    30. Lu, Jin-Ray & Li, Xiu-Yan, 2021. "Identifying the fair value of Sharpe ratio by an option valuation approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 63-70.
    31. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.

  26. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.

    Cited by:

    1. Su, Chi-Wei & Wang, Xiao-Qing & Zhu, Haotian & Tao, Ran & Moldovan, Nicoleta-Claudia & Lobonţ, Oana-Ramona, 2020. "Testing for multiple bubbles in the copper price: Periodically collapsing behavior," Resources Policy, Elsevier, vol. 65(C).
    2. Joel Verghese & Phaik Nie Chin, 2022. "Factors affecting investors’ intention to purchase gold and silver bullion: evidence from Malaysia," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(1), pages 41-51, March.
    3. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
    4. R. G. Alcoforado & W. Bernardino & A. D. Eg'idio dos Reis & J. A. C. Santos, 2021. "Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices," Papers 2107.07556, arXiv.org.
    5. Bao, Dun, 2020. "Dynamics and correlation of platinum-group metals spot prices," Resources Policy, Elsevier, vol. 68(C).
    6. He, Kaijian & Chen, Yanhui & Tso, Geoffrey K.F., 2017. "Price forecasting in the precious metal market: A multivariate EMD denoising approach," Resources Policy, Elsevier, vol. 54(C), pages 9-24.
    7. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
    8. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
    9. Renata G. Alcoforado & Alfredo D. Egídio dos Reis & Wilton Bernardino & José António C. Santos, 2023. "Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices," Commodities, MDPI, vol. 2(4), pages 1-19, November.
    10. He, Kaijian & Liu, Youjin & Yu, Lean & Lai, Kin Keung, 2016. "Multiscale dependence analysis and portfolio risk modeling for precious metal markets," Resources Policy, Elsevier, vol. 50(C), pages 224-233.
    11. Jonathan Batten & Brian Lucey & Frank McGroarty & Maurice Peat & Andrew Urquhart, 2017. "Stylized facts of intraday precious metals," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-21, April.
    12. Guglielmo Maria Caporale & Alex Plastun, 2020. "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series 8445, CESifo.
    13. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    14. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
    15. Kentaro Iwatsubo & Clinton Watkins, 2022. "Causality between Arbitrage and Liquidity in Platinum Futures," JRFM, MDPI, vol. 15(12), pages 1-17, December.

  27. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Marfatia, Hardik A. & Gupta, Rangan & Miller, Stephen, 2020. "125 ​Years of time-varying effects of fiscal policy on financial markets," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 303-320.
    2. Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2017. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Working Papers 201754, University of Pretoria, Department of Economics.
    3. Stefano Lovo & Philippe Raimbourg & Federica Salvadè, 2022. "Credit rating agencies, information asymmetry and US bond liquidity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(9-10), pages 1863-1896, October.
    4. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
    5. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2018. "Oil Shocks and Volatility Jumps," Working Papers 201825, University of Pretoria, Department of Economics.
    6. Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2019. "125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets," Working Papers 201956, University of Pretoria, Department of Economics.
    7. Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
    8. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
    9. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
    10. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
    11. Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2019. "Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility," Working Papers 201916, University of Pretoria, Department of Economics.
    12. Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal & Wohar, Mark E., 2021. "Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data," Resources Policy, Elsevier, vol. 73(C).
    13. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Working Papers 202138, University of Pretoria, Department of Economics.
    14. Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
    15. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2019. "A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data," Working Papers 201978, University of Pretoria, Department of Economics.
    16. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
    17. Konstantinos Gkillas & Rangan Gupta & Chi Keung Marco Lau & Muhammad Tahir Suleman, 2020. "Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(6), pages 1109-1127, April.
    18. Kam F. Chan & Philip Gray, 2018. "Volatility jumps and macroeconomic news announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 881-897, August.
    19. Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Clement Kyei, 2019. "Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets," Working Papers 201939, University of Pretoria, Department of Economics.
    20. Gonçalves Mazzeu, Joao Henrique & González-Rivera, Gloria & Ruiz Ortega, Esther & Veiga, Helena, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
    21. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2018. "Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?," Working Papers 201879, University of Pretoria, Department of Economics.
    22. Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
    23. Gkillas, Konstantinos & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility jumps: The role of geopolitical risks," Finance Research Letters, Elsevier, vol. 27(C), pages 247-258.
    24. Thaddeus Neururer, 2020. "Past managerial guidance and returns to variance trading around earnings announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2995-3031, September.
    25. Giampiero M. Gallo & Edoardo Otranto, 2016. "Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM," Econometrics Working Papers Archive 2016_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

  28. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
    2. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016. "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers EI2016-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Hussain, Saiful Izzuan & Nur-Firyal, R. & Ruza, Nadiah, 2022. "Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases," Journal of Commodity Markets, Elsevier, vol. 28(C).
    5. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
    6. Martin T. Bohl, Badye Essid, Pierre Siklos, 2018. "Short-Selling Bans and the Global Financial Crisis: Are they Inter-Connected?," LCERPA Working Papers 0112, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    7. McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
    9. Piao, Xiaorui & Mei, Bin & Xue, Yuan, 2016. "Comparing the financial performance of timber REITs and other REITs," Forest Policy and Economics, Elsevier, vol. 72(C), pages 115-121.
    10. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2014. "A Tourism Conditions Index," Tinbergen Institute Discussion Papers 14-007/III, Tinbergen Institute.
    11. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15," The World Economy, Wiley Blackwell, vol. 40(12), pages 2530-2542, December.
    12. Kentaro Iwatsubo & Clinton Watkins, 2021. "The Changing Role of Foreign Investors in Tokyo Stock Price Formation," Discussion Papers 2106, Graduate School of Economics, Kobe University.
    13. Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
    14. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
    15. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    16. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
    17. Dean Fantazzini & Stephan Zimin, 2020. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
    18. Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
    19. Jilber Urbina & Miguel Santolino & Montserrat Guillen, 2021. "Covariance Principle for Capital Allocation: A Time-Varying Approach," Mathematics, MDPI, vol. 9(16), pages 1-13, August.
    20. Irene Henriques & Perry Sadorsky, 2018. "Can Bitcoin Replace Gold in an Investment Portfolio?," JRFM, MDPI, vol. 11(3), pages 1-19, August.
    21. Perego, Erica R. & Vermeulen, Wessel N., 2016. "Macro-economic determinants of European stock and government bond correlations: A tale of two regions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 214-232.
    22. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
    23. Ahmed Ayadi & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2021. "Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS," Working Papers halshs-03169699, HAL.
    24. Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
    25. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
    26. Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    27. Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    28. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
    29. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    30. Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    31. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    32. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Monash Econometrics and Business Statistics Working Papers 8/22, Monash University, Department of Econometrics and Business Statistics.
    33. McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    34. Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017. "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 193-213.
    35. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
    36. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    37. Zhang, Yongli & Rolling, Craig & Yang, Yuhong, 2021. "Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
    38. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.
    39. García Ruiz, Reyna Susana & López Herrera, Francisco & Cruz Aké, Salvador, 2018. "Determinantes del crédito y la morosidad en México / Determinants of credit and defaulting in Mexico," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(1), pages 85-104, enero-jun.
    40. Hasan Murat Ertuğrul & Ünal Seven, 2023. "Dynamic spillover analysis of international and Turkish food prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1918-1928, April.
    41. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    42. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    43. Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
    44. Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
    45. Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2017. "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Sustainability, MDPI, vol. 9(10), pages 1-18, October.
    46. Bram Daelemans & Joseph P. Daniels & Farrokh Nourzad, 2018. "Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA," Open Economies Review, Springer, vol. 29(1), pages 141-163, February.
    47. Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    48. Raúl de Jesús-Gutiérrez, 2019. "Integración entre mercados de petróleo de diferente calidad con base en las correlaciones condicionales dinámicas," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 11(2), pages 353-374, November.
    49. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    50. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    51. Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
    52. Domingo Rodríguez Benavides & Ignacio Perrotini Hernández, 2019. "Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 151-168, Abril-Jun.
    53. Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
    54. Klein, Tony, 2018. "Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade," Energy Economics, Elsevier, vol. 75(C), pages 636-646.
    55. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion," Economic Modelling, Elsevier, vol. 56(C), pages 133-147.
    56. Vendrame, Vasco & Guermat, Cherif & Tucker, Jon, 2023. "A conditional higher-moment CAPM," International Review of Financial Analysis, Elsevier, vol. 86(C).
    57. Yıldırım, Durmuş Çağrı & Esen, Ömer & Ertuğrul, Hasan Murat, 2022. "Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model," Resources Policy, Elsevier, vol. 79(C).
    58. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
    59. Klein, Tony, 2018. "Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade," QBS Working Paper Series 2018/05, Queen's University Belfast, Queen's Business School.

  29. Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers 1307.6322, arXiv.org, revised May 2014.

    Cited by:

    1. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
    2. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
    3. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  30. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
    2. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016. "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers EI2016-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
    5. Costas Karfakis & Theodore Panagiotidis, 2015. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 795-811, November.
    6. Martin T. Bohl, Badye Essid, Pierre Siklos, 2018. "Short-Selling Bans and the Global Financial Crisis: Are they Inter-Connected?," LCERPA Working Papers 0112, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    7. McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
    9. Piao, Xiaorui & Mei, Bin & Xue, Yuan, 2016. "Comparing the financial performance of timber REITs and other REITs," Forest Policy and Economics, Elsevier, vol. 72(C), pages 115-121.
    10. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2014. "A Tourism Conditions Index," Tinbergen Institute Discussion Papers 14-007/III, Tinbergen Institute.
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    24. Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
    25. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
    26. Carlos Castro & Nini Johana Marin, 2014. "Stock return comovements and integration within the Latin American integrated market," Documentos de Trabajo 11082, Universidad del Rosario.
    27. Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    28. Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    29. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
    30. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    31. Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    32. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    33. Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Monash Econometrics and Business Statistics Working Papers 8/22, Monash University, Department of Econometrics and Business Statistics.
    34. McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    35. Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017. "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 193-213.
    36. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
    37. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    38. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.
    39. García Ruiz, Reyna Susana & López Herrera, Francisco & Cruz Aké, Salvador, 2018. "Determinantes del crédito y la morosidad en México / Determinants of credit and defaulting in Mexico," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(1), pages 85-104, enero-jun.
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  31. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.

    Cited by:

    1. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
    2. Kotkatvuori-Örnberg, Juha, 2016. "Dynamic conditional copula correlation and optimal hedge ratios with currency futures," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 60-69.
    3. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.

  32. Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.

    Cited by:

    1. Fengler, Matthias R. & Gisler, Katja I.M., 2015. "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 174-195.
    2. Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
    3. Bonato, Matteo, 2019. "Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 184-202.

  33. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.

    Cited by:

    1. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    2. Alemany, Aida & Ballester, Laura & González-Urteaga, Ana, 2015. "Volatility spillovers in the European bank CDS market," Finance Research Letters, Elsevier, vol. 13(C), pages 137-147.
    3. Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
    4. Ge, Shuyi, 2023. "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    5. Ioannis Chatziantoniou & David Gabauer, 2019. "EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness," Working Papers in Economics & Finance 2019-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    6. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and contagion in EMU sovereign debt markets," Working Papers 2014-03, Universitat de Barcelona, UB Riskcenter.
    7. Trabelsi, Mohamed Ali & Hmida, Salma, 2018. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," MPRA Paper 89152, University Library of Munich, Germany, revised 2018.
    8. Fratzscher, Marcel & Rieth, Malte, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 23(4), pages 745-775.
    9. Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
    10. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201510, University of Barcelona, Research Institute of Applied Economics, revised Feb 2015.
    11. Miguel Antón & Sergio Mayordomo & María Rodríguez-Moreno, 2017. "Dealing with dealers: sovereign CDS comovements," Working Papers 1723, Banco de España.
    12. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    13. Ms. Franziska L Ohnsorge & Marcin Wolski & Ms. Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 2014/081, International Monetary Fund.
    14. Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
    15. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2017. "What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis," Melbourne Institute Working Paper Series wp2017n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    16. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    17. Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers 2013-2, University of Paris Nanterre, EconomiX.
    18. Brůha, Jan & Kočenda, Evžen, 2018. "Financial stability in Europe: Banking and sovereign risk," Journal of Financial Stability, Elsevier, vol. 36(C), pages 305-321.
    19. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    20. Michael A. Goldstein & Joseph McCarthy & Alexei G. Orlov, 2019. "The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries," The Financial Review, Eastern Finance Association, vol. 54(1), pages 5-56, February.
    21. Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017. "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers 2017-25, Department of Economics and Business Economics, Aarhus University.
    22. Rangan Gupta & Mark E. Wohar, 2019. "Presidential Cycles In The Usa And The Dollar-Pound Exchange Rate: Evidence From Over Two Centuries," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 151-163, June.
    23. Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," BEMPS - Bozen Economics & Management Paper Series BEMPS61, Faculty of Economics and Management at the Free University of Bozen.
    24. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
    25. González-Sánchez, Mariano, 2018. "Causality in the EMU sovereign bond markets," Finance Research Letters, Elsevier, vol. 26(C), pages 281-290.
    26. Daragh Clancy & Peter G. Dunne & Pasquale Filiani, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Working Papers 41, European Stability Mechanism.
    27. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    28. Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
    29. Gianluca Cafiso & Roberto Cellini, 2022. "Market-Induced Fiscal Discipline in Europe," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 259-287, July.
    30. Capraru, Bogdan & Georgescu, George & Sprincean, Nicu, 2023. "Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk," Working Papers of Romania Fiscal Council 230201, Romania Fiscal Council.
    31. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
    32. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    33. David Cronin & Peter Dunne, 2019. "Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 54(4), pages 250-258, July.
    34. Bostan Ionel, 2014. "Juridical Tools of Governmental Nature Used to Mitigate Various Difficulties of the Financial and Budgetary System," Scientific Annals of Economics and Business, Sciendo, vol. 61(2), pages 133-148, December.
    35. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
    36. Trabelsi, Mohamed Ali & Hmida, Salma, 2018. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 115852, University Library of Munich, Germany, revised 0218.
    37. Thomas Flavin & Dolores Lagoa-Varela, 2016. "Are Banking Shocks Contagious? Evidence from the Eurozone," Economics Department Working Paper Series n268-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    38. Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers 2018-33, Department of Economics and Business Economics, Aarhus University.
    39. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
    40. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.
    41. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
    42. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
    43. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2020. "The effect of the PSI in the relationship between sovereign and bank credit risk: Evidence from the Euro Area," MPRA Paper 98182, University Library of Munich, Germany.
    44. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
    45. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018. "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 17-36.
    46. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
    47. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
    48. William Irungu Nganga & Julien Chevallier & Simon Wagura Ndiritu, 2018. "Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries," Working Papers halshs-01941226, HAL.
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    51. Ge, S., 2020. "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics 20114, Faculty of Economics, University of Cambridge.
    52. Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
    53. Sun, Hang, 2016. "Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds," Research Memorandum 032, Maastricht University, Graduate School of Business and Economics (GSBE).
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    55. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2014. "The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion," EconomiX Working Papers 2014-24, University of Paris Nanterre, EconomiX.
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    115. Elie Bouri & Rangan Gupta, 2019. "Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty," Working Papers 201955, University of Pretoria, Department of Economics.
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    122. Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
    123. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
    124. Tomohiro Ando & Matthew Greenwood-Nimmo & Yongcheol Shin, 2022. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks," Management Science, INFORMS, vol. 68(4), pages 2401-2431, April.
    125. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2021. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," Working Papers 202159, University of Pretoria, Department of Economics.
    126. Pagano, Michael S. & Sedunov, John, 2016. "A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt," Journal of Financial Stability, Elsevier, vol. 23(C), pages 62-78.
    127. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
    128. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    129. Tonzer, Lena & Buchholz, Manuel, 2014. "Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100443, Verein für Socialpolitik / German Economic Association.
    130. Pfarrhofer, Michael, 2022. "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    131. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2017. "The European sovereign debt crisis: What have we learned?," CFS Working Paper Series 567, Center for Financial Studies (CFS).
    132. Kang, Hyunju & Suh, Hyunduk, 2015. "Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 97-115.
    133. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    134. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    135. Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
    136. Blatt, Dominik & Candelon, Bertrand & Manner, Hans, 2015. "Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 1-13.
    137. Nina Tessler & Itzhak Venezia, 2022. "A multicountry measure of comovement and contagion in international markets: definition and applications," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1307-1330, May.
    138. Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
    139. Sedunov, John, 2021. "Federal reserve intervention and systemic risk during financial crises," Journal of Banking & Finance, Elsevier, vol. 133(C).
    140. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2019. "Day-of-the-week effects in financial contagion," Finance Research Letters, Elsevier, vol. 28(C), pages 221-226.
    141. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    142. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    143. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    144. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
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  34. Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella, 2012. "Ensemble properties of high frequency data and intraday trading rules," Papers 1202.2447, arXiv.org, revised Jul 2013.

    Cited by:

    1. Fulvio Baldovin & Francesco Camana & Michele Caraglio & Attilio L. Stella & Marco Zamparo, 2012. "Aftershock prediction for high-frequency financial markets' dynamics," Papers 1203.5893, arXiv.org, revised Jul 2012.
    2. Dieter Hendricks & Tim Gebbie & Diane Wilcox, 2015. "Detecting intraday financial market states using temporal clustering," Papers 1508.04900, arXiv.org, revised Feb 2017.
    3. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
    4. Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers 1307.6322, arXiv.org, revised May 2014.

  35. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Chen, Qiang & Gong, Yuting, 2019. "The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 102-121.
    3. Kurose, Yuta & Omori, Yasuhiro, 2020. "Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity," Econometrics and Statistics, Elsevier, vol. 13(C), pages 46-68.
    4. Lin, Tiantian & Liu, Dehong & Zhang, Lili & Lung, Peter, 2019. "The information content of realized volatility of sector indices in China’s stock market," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 625-640.
    5. Benjamin Poignard & Manabu Asai, 2023. "High‐dimensional sparse multivariate stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 4-22, January.
    6. Benjamin Poignard & Manabu Asaiz, 2020. "A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models," Discussion Papers in Economics and Business 20-02, Osaka University, Graduate School of Economics.
    7. Yuta Kurose & Yasuhiro Omori, 2018. "Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1075, CIRJE, Faculty of Economics, University of Tokyo.

  36. Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
    4. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    5. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
    6. Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
    7. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.

  37. Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012. "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers 2012_09, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.

  38. Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
    2. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    3. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.
    5. Yujia Hu, 2023. "A Heuristic Approach to Forecasting and Selection of a Portfolio with Extra High Dimensions," Mathematics, MDPI, vol. 11(6), pages 1-21, March.
    6. Jacobs, Michael & Karagozoglu, Ahmet K., 2014. "On the characteristics of dynamic correlations between asset pairs," Research in International Business and Finance, Elsevier, vol. 32(C), pages 60-82.
    7. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    8. Dean Fantazzini & Stephan Zimin, 2020. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
    9. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
    10. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
    11. Aboura, Sofiane & Chevallier, Julien, 2015. "A cross-volatility index for hedging the country risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 25-41.
    12. Timo Dimitriadis & Yannick Hoga, 2022. "Dynamic CoVaR Modeling," Papers 2206.14275, arXiv.org, revised Feb 2024.
    13. Ralf Becker & Adam Clements & Robert O'Neill, 2018. "A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns," Econometrics, MDPI, vol. 6(1), pages 1-27, February.
    14. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    15. Mauro Bernardi & Leopoldo Catania, 2016. "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, vol. 31(2), pages 579-608, June.
    16. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    17. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2023. "Insights of energy and its trade networking impacts on sustainable economic development," Energy, Elsevier, vol. 265(C).
    18. Sylvain Barde, 2015. "A fast algorithm for finding the confidence set of large collections of models," Studies in Economics 1519, School of Economics, University of Kent.
    19. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    20. Takayuki Morimoto & Yoshinori Kawasaki, 2017. "Forecasting Financial Market Volatility Using a Dynamic Topic Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 149-167, September.
    21. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
    22. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
    23. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016. "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series 111, National Centre for Econometric Research.
    24. Karim M Abadir, 2023. "Explicit minimal representation of variance matrices, and its implication for dynamic volatility models," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 88-104.
    25. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
    26. Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.

  39. Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    2. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
    3. Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
    4. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    5. Roxana Halbleib & Valeri Voev, 2016. "Forecasting Covariance Matrices: A Mixed Approach," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 383-417.
    6. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.
    7. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
    8. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    9. Leonardo Chaves Borges Cardoso & Maurício Vaz Lobo Bittencourt, 2016. "Price Volatility Transmission From Oil To Energy And Non-Energy Agricultural Commodities," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 181, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  40. Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. OlaOluwa S. Yaya & Xuan Vinh Vo & Ahamuefula E. Ogbonna & Adeolu O. Adewuyi, 2022. "Modelling cryptocurrency high–low prices using fractional cointegrating VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 489-505, January.
    2. Farias Nazário, Rodolfo Toríbio & e Silva, Jéssica Lima & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2017. "A literature review of technical analysis on stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 115-126.
    3. Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.
    4. Nikolaos Stoupos & Apostolos Kiohos, 2022. "Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 60(4), pages 1019-1046, July.
    5. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
    6. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
    7. Søren Johansen & Morten Ørregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," CREATES Research Papers 2018-17, Department of Economics and Business Economics, Aarhus University.
    8. Donald A. Otieno & Rose W. Ngugi & Peter W. Muriu, 2019. "The impact of inflation rate on stock market returns: evidence from Kenya," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 73-90, January.
    9. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis," Finance Research Letters, Elsevier, vol. 46(PB).
    10. Ignacio Escanuela Romana & Clara Escanuela Nieves, 2023. "A spectral approach to stock market performance," Papers 2305.05762, arXiv.org.
    11. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
    12. Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
    13. Nijolė MAKNICKIENĖ & Jelena STANKEVIČIENĖ & Algirdas MAKNICKAS, 2020. "Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 134-148, September.
    14. González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2023. "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS 37968, Universidad Carlos III de Madrid. Departamento de Estadística.
    15. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    16. Huiwen Wang & Wenyang Huang & Shanshan Wang, 2021. "Forecasting open-high-low-close data contained in candlestick chart," Papers 2104.00581, arXiv.org.
    17. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
    18. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
    19. Donald A. Otieno & Rose W. Ngugi & Nelson H. W. Wawire, 2017. "Effects of Interest Rate on Stock Market Returns in Kenya," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(8), pages 40-50, August.
    20. Samuel Tabot Enow, 2022. "Price Clustering in International Financial Markets during the COVID-19 Pandemic and Its Implications," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 10(2), pages 46-53.
    21. Stoupos, Nikolaos & Kiohos, Apostolos, 2021. "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, vol. 70(C).
    22. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
    23. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
    24. Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," Discussion Papers 19/01, University of Nottingham, Granger Centre for Time Series Econometrics.
    25. Ni, Yensen & Liao, Yi-Ching & Huang, Paoyu, 2015. "MA trading rules, herding behaviors, and stock market overreaction," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 253-265.

  41. Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.

  42. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
    2. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
    3. Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
    4. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
    5. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.

  43. Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics Discussion Papers 2011-14, Kiel Institute for the World Economy (IfW Kiel).

    Cited by:

    1. Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
    2. Massimiliano Caporin & Gregory Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-02312333, HAL.
    3. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    4. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
    5. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    6. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    7. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.

  44. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics 11/23, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
    2. Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
    3. Helmut Lütkepohl & Thore Schlaak, 2018. "Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
    4. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series 99, National Centre for Econometric Research.
    5. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.

  45. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Kurose, Yuta & Omori, Yasuhiro, 2016. "Dynamic equicorrelation stochastic volatility," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 795-813.
    3. Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-746, CIRJE, Faculty of Economics, University of Tokyo.
    4. Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
    5. Haroon Mumtaz & Francesco Zanetti, 2013. "The Impact of the Volatility of Monetary Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 535-558, June.
    6. Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    7. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 2009-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
    10. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
    11. Skaug, Hans J. & Yu, Jun, 2014. "A flexible and automated likelihood based framework for inference in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 642-654.
    12. Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013. "Seleção de carteiras utilizando o modelo Fama-French-Carhart," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
    13. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    14. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
    15. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
    16. Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    17. McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
    18. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
    19. Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-938, CIRJE, Faculty of Economics, University of Tokyo.
    20. Kurose, Yuta & Omori, Yasuhiro, 2020. "Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity," Econometrics and Statistics, Elsevier, vol. 13(C), pages 46-68.
    21. Benjamin Poignard & Manabu Asai, 2023. "High‐dimensional sparse multivariate stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 4-22, January.
    22. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
    23. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    24. Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
    25. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
    26. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
    27. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
    28. Geert Mesters & Bernd Schwaab & Siem Jan Koopman, 2014. "A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area," Tinbergen Institute Discussion Papers 14-071/III, Tinbergen Institute.
    29. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    30. So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y., 2022. "Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management," Journal of Econometrics, Elsevier, vol. 227(1), pages 151-167.
    31. Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
    32. Sujay K Mukhoti, "undated". "Dynamic Feedback Effect And Skewness In Non-Stationary Stochastic Volatility Model With Leverage," Working papers 145, Indian Institute of Management Kozhikode.
    33. Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.

  46. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 307-329.
    2. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    4. Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
    5. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    6. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
    7. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE 2015-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    9. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    11. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    12. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
    14. Stavros Stavroyiannis, 2017. "A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?," Papers 1705.00535, arXiv.org.
    15. Helmut Lütkepohl & Thore Schlaak, 2018. "Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
    16. Ahmed, Shamim & Valente, Giorgio, 2015. "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 118-129.

  47. Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
    2. Laura Casula & Guglielmo D’Amico & Giovanni Masala & Filippo Petroni, 2020. "Performance estimation of photovoltaic energy production," Letters in Spatial and Resource Sciences, Springer, vol. 13(3), pages 267-285, December.
    3. Giovanni Masala & Marco Micocci & Andrea Rizk, 2022. "Hedging Wind Power Risk Exposure through Weather Derivatives," Energies, MDPI, vol. 15(4), pages 1-30, February.
    4. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457, January.
    5. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
    6. Fred Espen Benth, 2021. "Pricing of Commodity and Energy Derivatives for Polynomial Processes," Mathematics, MDPI, vol. 9(2), pages 1-30, January.
    7. Aur'elien Alfonsi & Nerea Vadillo, 2023. "Risk valuation of quanto derivatives on temperature and electricity," Papers 2310.07692, arXiv.org.
    8. Rodwell Kufakunesu & Farai Mhlanga, 2018. "On the sensitivity analysis of energy quanto options," Papers 1810.06335, arXiv.org.
    9. Mosquera-López, Stephania & Uribe, Jorge M., 2022. "Pricing the risk due to weather conditions in small variable renewable energy projects," Applied Energy, Elsevier, vol. 322(C).
    10. Fred Espen Benth & Paul Kruhner, 2014. "Derivatives pricing in energy markets: an infinite dimensional approach," Papers 1412.7943, arXiv.org.
    11. Yuji Yamada & Takuji Matsumoto, 2023. "Construction of Mixed Derivatives Strategy for Wind Power Producers," Energies, MDPI, vol. 16(9), pages 1-26, April.
    12. Baltuttis, Dennik & Töppel, Jannick & Tränkler, Timm & Wiethe, Christian, 2020. "Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
    13. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
    14. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
    15. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).

  48. Michael McAleer & Massimiliano Caporin, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/32, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
    2. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    3. Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
    4. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira Da Veiga, María Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Oscar Espinosa & Fabio Nieto, 2020. "A study on the leverage effect on financial series using a TAR model: a Bayesian approach," Papers 2002.05319, arXiv.org, revised Feb 2020.
    6. Alexander HARIN, 2014. "Partially Unforeseen Events. Corrections and Correcting Formulae for Forecasts," Expert Journal of Economics, Sprint Investify, vol. 2(2), pages 69-79.
    7. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461.
    8. Harin, Alexander, 2014. "General correcting formulae for forecasts," MPRA Paper 55283, University Library of Munich, Germany.

  49. Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    2. Naseri, Masoud & Baraldi, Piero & Compare, Michele & Zio, Enrico, 2016. "Availability assessment of oil and gas processing plants operating under dynamic Arctic weather conditions," Reliability Engineering and System Safety, Elsevier, vol. 152(C), pages 66-82.
    3. Laura Casula & Guglielmo D’Amico & Giovanni Masala & Filippo Petroni, 2020. "Performance estimation of photovoltaic energy production," Letters in Spatial and Resource Sciences, Springer, vol. 13(3), pages 267-285, December.
    4. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
    5. Ambach, Daniel & Schmid, Wolfgang, 2015. "Periodic and long range dependent models for high frequency wind speed data," Energy, Elsevier, vol. 82(C), pages 277-293.
    6. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    7. Yeny E. Rodríguez & Miguel A. Pérez-Uribe & Javier Contreras, 2021. "Wind Put Barrier Options Pricing Based on the Nordix Index," Energies, MDPI, vol. 14(4), pages 1-14, February.
    8. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
    9. Caporin, Massimiliano & Fontini, Fulvio, 2014. "The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises," MPRA Paper 53779, University Library of Munich, Germany.
    10. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    11. Matthias Ritter & Zhiwei Shen & Brenda López Cabrera & Martin Odening & Lars Deckert, 2014. "Designing an Index for Assessing Wind Energy Potential," SFB 649 Discussion Papers SFB649DP2014-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    12. Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2018. "Managing renewable energy production risk," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 1-19.
    13. Laura Casula & Guglielmo D'Amico & Giovanni Masala & Filippo Petroni, 2020. "Performance estimation of a wind farm with a dependence structure between electricity price and wind speed," The World Economy, Wiley Blackwell, vol. 43(10), pages 2803-2822, October.
    14. Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2017. "An Electricity Price Modeling Framework for Renewable-Dominant Markets," Working Paper Series in Production and Energy 23, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
    15. Sun, Zexian & Zhao, Mingyu & Zhao, Guohong, 2022. "Hybrid model based on VMD decomposition, clustering analysis, long short memory network, ensemble learning and error complementation for short-term wind speed forecasting assisted by Flink platform," Energy, Elsevier, vol. 261(PB).
    16. Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.
    17. Niu, Tong & Wang, Jianzhou & Zhang, Kequan & Du, Pei, 2018. "Multi-step-ahead wind speed forecasting based on optimal feature selection and a modified bat algorithm with the cognition strategy," Renewable Energy, Elsevier, vol. 118(C), pages 213-229.
    18. Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen, 2012. "The power of weather," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3793-3807.
    19. Hain, Martin & Kargus, Tobias & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2022. "An electricity price modeling framework for renewable-dominant markets," Working Paper Series in Production and Energy 66, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
    20. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.

  50. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 10/34, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
    2. Yaya, OlaOluwa & Ogbonna, Ahamuefula, 2018. "Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models," MPRA Paper 91227, University Library of Munich, Germany.
    3. Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.
    4. Zolfaghari, Mehdi, 2023. "How does US tariff policy affect the relationship among crude oil, the US dollar and metal markets?," Resources Policy, Elsevier, vol. 85(PB).
    5. Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
    6. Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2012. "Selecting forecasting models for portfolio allocation," NCER Working Paper Series 85, National Centre for Econometric Research.
    7. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
    8. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
    9. Ralf Becker & Adam Clements & Robert O'Neill, 2018. "A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns," Econometrics, MDPI, vol. 6(1), pages 1-27, February.
    10. Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
    11. Salisu, Afees A. & Oloko, Tirimisiyu F., 2015. "Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach," Energy Economics, Elsevier, vol. 50(C), pages 1-12.
    12. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
    13. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series 99, National Centre for Econometric Research.
    14. Becker, R. & Clements, A.E. & Doolan, M.B. & Hurn, A.S., 2015. "Selecting volatility forecasting models for portfolio allocation purposes," International Journal of Forecasting, Elsevier, vol. 31(3), pages 849-861.
    15. Manner, Hans & Reznikova, Olga, 2010. "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Econometrics and Statistics 7/10, University of Cologne, Institute of Econometrics and Statistics.

  51. Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics 10/06, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    2. Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
    3. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
    4. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
    5. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Extreme values dependence of risk in Latin American markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 2903-2914.
    6. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
    7. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016. "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers EI2016-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
    9. Sayantan Bandhu Majumder & Ranjanendra Narayan Nag, 2018. "Shock and Volatility Spillovers Among Equity Sectors of the National Stock Exchange in India," Global Business Review, International Management Institute, vol. 19(1), pages 227-240, February.
    10. Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017. "Are correlations constant? Empirical and theoretical results on popular correlation models in finance," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
    11. Martin T. Bohl, Badye Essid, Pierre Siklos, 2018. "Short-Selling Bans and the Global Financial Crisis: Are they Inter-Connected?," LCERPA Working Papers 0112, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    12. V. Lakshina V. & K. Lapshina A. & В. Лакшина В. & К. Лапшина А., 2016. "Сравнительный Анализ Стратегий Хеджирования Фьючерсами Портфеля Ценных Бумаг // Comparative Analysis Of Strategies For Hedging A Securities Portfolio With Futures," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(5), pages 105-114.
    13. McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    14. Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    15. R. REYTIER & A. Blanes & Q. Gaucher & S. Thiam & P. Debled, 2015. "Behavior of Covariance Matrices with Equi-Correlation Approach," Proceedings of International Academic Conferences 2805027, International Institute of Social and Economic Sciences.
    16. Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
    17. D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," Documentos de Trabajo del ICAE 2012-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    18. Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
    19. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Documentos de Trabajo del ICAE 2013-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    20. Xiaochun Liu, 2018. "Structural Volatility Impulse Response Function and Asymptotic Inference," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 316-339.
    21. Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
    22. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
    23. Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022. "Identification of structural multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 212-227.
    24. Alina Zaharia, 2021. "Estimation of Correlation between Capital Markets. Analysing the case of Central and Eastern European markets in the context of the COVID-19 pandemic," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(1), pages 61-78, June.
    25. Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
    26. Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
    27. Jung-Bin Su, 2020. "The Implementation of Asset Allocation Approaches: Theory and Evidence," Sustainability, MDPI, vol. 12(17), pages 1-28, September.
    28. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
    29. Rasmus Søndergaard Pedersen, 2014. "Targeting estimation of CCC-Garch models with infinite fourth moments," Discussion Papers 14-04, University of Copenhagen. Department of Economics.
    30. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Documentos de Trabajo del ICAE 2013-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    31. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 80435, University Library of Munich, Germany.
    32. Lerskullawat, Polwat, 2019. "Hedging Effectiveness on the Thailand Futures Exchange Market," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(2), December.
    33. Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
    34. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
    35. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," KIER Working Papers 751, Kyoto University, Institute of Economic Research.
    36. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    37. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    38. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
    39. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    40. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).
    41. Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    42. Rodrigue Dossou-Cadja, 2024. "The 1992-93 EMS Crisis and the South: Lessons from the Franc Zone System and the 1994 CFA Franc Devaluation," Working Papers 0246, European Historical Economics Society (EHES).
    43. Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
    44. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    45. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    46. Hussein Hassan & Minko Markovski & Alexander Mihailov, 2023. "A TGARCH Quantification of the Average Effect of COVID-19 Cases on Share Prices by Sector: Comparing the US and the UK," Economics Discussion Papers em-dp2023-15, Department of Economics, University of Reading.
    47. David C Broadstock & Hong Cao & Dayong Zhang, 2012. "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 137, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
    48. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
    49. Fengming Qin & Junru Zhang & Zhaoyong Zhang, 2018. "RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan," Risks, MDPI, vol. 6(4), pages 1-26, October.
    50. Ana I. Sanjuán-López & Philip J. Dawson, 2017. "Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(3), pages 822-838, September.
    51. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    52. Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE 2016-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    53. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," Discussion Papers of DIW Berlin 1289, DIW Berlin, German Institute for Economic Research.
    54. De Blasis, Riccardo & Galati, Luca & Webb, Alexander & Webb, Robert I., 2022. "Intelligent design: Stablecoins (in)stability and collateral during market turbulence," Economics & Statistics Discussion Papers esdp22088, University of Molise, Department of Economics.
    55. Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, vol. 41(C), pages 63-75.
    56. Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
    57. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
    58. Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
    59. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    60. Mahdi Ghaemi Asl & Giorgio Canarella & Stephen M. Miller, 2020. "Dynamic Asymmetric Optimal Portfolio Allocation between Energy Stocks and Energy Commodities: Evidence from Clean Energy and Oil and Gas Companies," Working papers 2020-07, University of Connecticut, Department of Economics.
    61. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
    62. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    63. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    64. Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
    65. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
    66. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
    67. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    68. Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz, 2015. "How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?," MPRA Paper 80273, University Library of Munich, Germany, revised 24 Dec 2016.
    69. Burda Martin, 2015. "Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 1-19, January.
    70. Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
    71. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2019. "Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns," Energy, Elsevier, vol. 188(C).
    72. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
    73. Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series 1563, European Central Bank.
    74. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    75. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    76. Katsiampa, Paraskevi, 2019. "Volatility co-movement between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 30(C), pages 221-227.
    77. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    78. Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
    79. Hussein Hassan & Minko Markovski & Alexander Mihailov, 2022. "COVID-19 Cases and Stock Prices by Sector in Major Economies: What Do We Learn from the Daily Data?," Economics Discussion Papers em-dp2022-04, Department of Economics, University of Reading.
    80. BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo, 2014. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," LIDAM Discussion Papers CORE 2014012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    81. Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    82. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
    83. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.
    84. Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
    85. Lv, Xin & Lien, Donald & Yu, Chang, 2020. "Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 85-100.
    86. Massimo Peri & Daniela Vandone & Lucia Baldi, 2017. "Volatility Spillover between Water, Energy and Food," Sustainability, MDPI, vol. 9(6), pages 1-16, June.
    87. Luke De Clerk & Sergey Savel'ev, 2021. "Non-stationary GARCH modelling for fitting higher order moments of financial series within moving time windows," Papers 2102.11627, arXiv.org, revised Mar 2021.
    88. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
    89. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
    90. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
    91. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    92. Carlo Drago & Andrea Scozzari, 2023. "A Network-Based Analysis for Evaluating Conditional Covariance Estimates," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
    93. Tsang, Andrew & Yiu, Matthew S. & Nguyen, Huy Toan, 2021. "Spillover across sovereign bond markets between the US and ASEAN4 economies," Journal of Asian Economics, Elsevier, vol. 76(C).
    94. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    95. Berger, T. & Missong, M., 2014. "Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 33-38.
    96. Moawia Alghalith, 2022. "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers 2301.10178, arXiv.org.

  52. Massimiliano Caporin & Paolo Paruolo, 2009. "Structured Multivariate Volatility Models," "Marco Fanno" Working Papers 0091, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
    3. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 2009-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    6. Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.

  53. Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos de Trabajo del ICAE 2009-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    2. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    3. Alexander HARIN, 2014. "Partially Unforeseen Events. Corrections and Correcting Formulae for Forecasts," Expert Journal of Economics, Sprint Investify, vol. 2(2), pages 69-79.
    4. Harin, Alexander, 2014. "General correcting formulae for forecasts," MPRA Paper 55283, University Library of Munich, Germany.

  54. Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2009. "Forecasting realized (co)variances with a block structure Wishart autoregressive model," Working Papers 2009-03, Swiss National Bank.

    Cited by:

    1. Fengler, Matthias R. & Gisler, Katja I.M., 2015. "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 174-195.
    2. Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 2009-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Varneskov, Rasmus & Voev, Valeri, 2013. "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 83-95.
    5. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
    6. BAUWENS, Luc & STORTI, Giuseppe, 2013. "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Reprints CORE 2469, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," SFB 649 Discussion Papers SFB649DP2009-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
    10. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
    12. Andrea BUCCI, 2017. "Forecasting Realized Volatility A Review," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 94-138.
    13. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    14. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    15. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Chiriac, Roxana & Voev, Valeri, 2008. "Modelling and forecasting multivariate realized volatility," CoFE Discussion Papers 08/06, University of Konstanz, Center of Finance and Econometrics (CoFE).

  55. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CARF F-Series CARF-F-156, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
    2. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
    3. Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009. "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE 2009-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
    6. Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Research Papers EI 2009-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
    8. Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
    9. Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
    10. Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    12. Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    13. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
    14. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series CARF-F-162, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    15. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," KIER Working Papers 751, Kyoto University, Institute of Economic Research.
    16. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    17. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo.
    18. John Francis Diaz & Peh Ying Qian & Genevieve Liao Tan, 2018. "Variance Persistence in the Greater China Region: A Multivariate GARCH Approach," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(2), pages 49-68, July-Dec.
    19. Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    20. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
    21. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    22. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    23. David C Broadstock & Hong Cao & Dayong Zhang, 2012. "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 137, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
    24. Abdul Hakim & Michael McAleer, 2009. "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CIRJE F-Series CIRJE-F-677, CIRJE, Faculty of Economics, University of Tokyo.
    25. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
    26. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
    27. Weiping Li & Wenwen Liu, 2021. "Investor sentiment‐styled index in index futures market," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 51-72, January.
    28. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2009. "Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies," CIRJE F-Series CIRJE-F-668, CIRJE, Faculty of Economics, University of Tokyo.
    29. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Yoon, Seong-Min, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 225-243.
    30. Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
    31. Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-27, May.
    32. John Francis T. Diaz, 2018. "Volatility Dynamics in the ASEAN– China Free Trade Agreement," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 287-306, December.

  56. Massimiliano Caporin & Francesco Lisi, 2009. "Comparing and selecting performance measures for ranking assets," "Marco Fanno" Working Papers 0099, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
    2. López, Raquel & Esparcia, Carlos, 2021. "Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 32-54.
    3. Marco Taboga, 2014. "The Riskiness of Corporate Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 693-713, June.
    4. Yildiz Selim & Abdelbari El Khamlichi, 2017. "The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures," Post-Print hal-01653400, HAL.
    5. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    6. Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
    7. Mohammad Reza Tavakoli Baghdadabad & Paskalis Glabadanidis, 2013. "Average Drawdown Risk and Capital Asset Pricing," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-21.
    8. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.

  57. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Gu, Huaying & Liu, Zhixue & Weng, Yingliang, 2017. "Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 460-472.
    2. Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016. "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 567-586, December.
    3. Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Sofiane Aboura & Julien Chevallier, 2016. "Oil vs. gasoline: The dark side of volatility and taxation," Post-Print halshs-01348705, HAL.
    5. Lord Mensah & Charles Andoh & Saint Kuttu & Eric Boachie-Yiadom, 2023. "The level of African forex markets integration and Eurobond issue," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 232-250, March.
    6. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
    7. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber, 2017. "Regime Switching Vine Copula Models for Global Equity and Volatility Indices," Econometrics, MDPI, vol. 5(1), pages 1-38, January.
    8. Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
    9. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    10. Singh, Vikkram & Roca, Eduardo & Li, Bin, 2021. "Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 253-277.
    11. , & Hwa, Yen Siew & Chua, Soo Y. & Hooi, Lean Hooi, 2015. "Do Indian Economic Activities Impact ASEAN-5 Stock Markets?," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 61-76.
    12. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    13. F. Benedetto & L. Mastroeni & P. Vellucci, 2021. "Modeling the flow of information between financial time-series by an entropy-based approach," Annals of Operations Research, Springer, vol. 299(1), pages 1235-1252, April.
    14. Evzen Kocenda & Michala Moravcova, 2017. "Exchange Rate Co-movements, Hedging and Volatility Spillovers in New EU Forex Markets," Working Papers IES 2017/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2017.
    15. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    16. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
    17. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.
    18. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    19. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    20. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    21. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    22. Saart, Patrick W. & Xia, Yingcun, 2022. "Functional time series approach to analyzing asset returns co-movements," Journal of Econometrics, Elsevier, vol. 229(1), pages 127-151.
    23. Cody Yu-Ling Hsiao & James Morley, 2015. "Debt and Financial Market Contagion," Discussion Papers 2015-02, School of Economics, The University of New South Wales.
    24. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    25. Zhang, Yue-Jun & Chevallier, Julien & Guesmi, Khaled, 2017. "“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets," Energy Economics, Elsevier, vol. 68(C), pages 228-239.
    26. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Nasha Ananchotikul & Longmei Zhang, 2016. "Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets," PIER Discussion Papers 36, Puey Ungphakorn Institute for Economic Research.
    28. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    29. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    30. Nasha Ananchotikul & Ms. Longmei Zhang, 2014. "Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets," IMF Working Papers 2014/156, International Monetary Fund.
    31. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.

  58. Massimiliano Caporin & Juliusz Pres, 2008. "Forecasting temperature indices with timevarying long-memory models," "Marco Fanno" Working Papers 0088, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
    2. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.

  59. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage versus volatility: Evidence from the Capital Structure of European Firms," MPRA Paper 57682, University Library of Munich, Germany.
    2. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    3. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
    4. Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
    5. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
    6. Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3491-3497.
    7. Marie Brière & Ariane Chapelle & Ariane Szafarz, 2012. "No contagion, only globalization and flight to quality," Post-Print hal-01494525, HAL.
    8. Huthaifa Alqaralleh & Alessandra Canepa, 2021. "Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach," JRFM, MDPI, vol. 14(7), pages 1-18, July.
    9. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    10. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
    11. Sarantis Tsiaplias & Chew Lian Chua, 2013. "A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 244-271, February.
    12. Ndiweni, Zinzile Lorna & Bonga-Bonga, Lumengo, 2022. "Contagion or decoupling? Evidence from emerging stock markets," MPRA Paper 115170, University Library of Munich, Germany.
    13. PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    14. Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014. "Sovereign credit ratings, market volatility, and financial gains," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 20-33.
    15. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
    16. Erdem Kilic & Veysel Ulusoy, 2015. "Evidence for Financial Contagion in Endogenous Volatile Periods," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 62-74, February.
    17. Shegorika Rajwani & Dilip Kumar, 2016. "Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets," Global Business Review, International Management Institute, vol. 17(6), pages 1339-1356, December.
    18. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    19. Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    20. Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015. "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers 201595, University of Pretoria, Department of Economics.
    21. Konstantinos Tsiaras, 2020. "Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(3-4), pages 42-55, July-Dece.
    22. Troug, Haytem Ahmed & Murray, Matt, 2015. "Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach," MPRA Paper 68706, University Library of Munich, Germany.
    23. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
    24. Liu, Bin & Xiao, Wen & Zhu, Xingting, 2023. "How does inter-industry spillover improve the performance of volatility forecasting?," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    25. Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
    26. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    27. Hon-Wei Leow & Wee-Yeap Lau, 2018. "The Impact of Global Financial Crisis on IPO Underpricing in Malaysian Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-17, December.
    28. Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
    29. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    30. Mariem Talbi & Adel Boubaker & Saber Sebai, 2017. "Behavioral Finance and Financial Contagion: The Evidence of DCC-MGARCH Model From 63 Equity Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 387-407.
    31. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    32. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    33. Veysov, Alexander, 2012. "Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model," MPRA Paper 40612, University Library of Munich, Germany.
    34. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
    35. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    36. Lamo, Ana & Pérez, Javier J. & Schuknecht, Ludger, 2013. "Are government wages interlinked with private sector wages?," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 697-712.
    37. Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2012. "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks," Economics Letters, Elsevier, vol. 117(2), pages 452-454.
    38. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Äijö, Janne, 2013. "Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 70-78.
    39. Balli, Faruk & de Bruin, Anne & Chowdhury, Md Iftekhar Hasan, 2019. "Spillovers and the determinants in Islamic equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    40. Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.
    41. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
    42. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper 57685, University Library of Munich, Germany.
    43. Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
    44. Ferhat Camlica & Didem Gunes & Etkin Ozen, 2017. "A Financial Connectedness Analysis for Turkey," Working Papers 1719, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    45. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
    46. Григорьев Р.А., 2019. "Одновременные Эффекты Несинхронных Временных Рядов: Проблемы Var-Модели," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(2), pages 118-129, апрель.
    47. Troug, Haytem Ahmed & Murray, Matt, 2015. "Quantitative Easing in Japan and the UK An Econometric Evaluation of the Impacts of Unconventional Monetary Policy on the Returns of Aggregate Output and Price Levels," MPRA Paper 68707, University Library of Munich, Germany.
    48. Edson Z. Monte & Lucas B. Defanti, 2021. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series EERI RP 2021/09, Economics and Econometrics Research Institute (EERI), Brussels.
    49. Burzala, Milda Maria, 2016. "Contagion effects in selected European capital markets during the financial crisis of 2007–2009," Research in International Business and Finance, Elsevier, vol. 37(C), pages 556-571.
    50. Carlo Drago & Andrea Scozzari, 2023. "A Network-Based Analysis for Evaluating Conditional Covariance Estimates," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
    51. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
    52. Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.
    53. Samet Gunay & Gokberk Can, 2022. "The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis," PLOS ONE, Public Library of Science, vol. 17(1), pages 1-20, January.
    54. António Afonso & João Tovar Jalles, 2016. "Economic Volatility and Sovereign Yields’ Determinants: a Time-Varying Approach," Working Papers Department of Economics 2016/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    55. Bolos, Bradut & Bacarea, Vladimir & Marusteri, Marius, 2011. "Approaching Economic Issues through Epidemiology–An Introduction to Business Epidemiology," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 257-276, March.

  60. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Post-Print halshs-00423890, HAL.

  61. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Yen-Hsien Lee, 2014. "An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 165-180, May.
    2. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 2009-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
    4. Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
    5. Jacobs, Michael & Karagozoglu, Ahmet K., 2014. "On the characteristics of dynamic correlations between asset pairs," Research in International Business and Finance, Elsevier, vol. 32(C), pages 60-82.
    6. Chaker Aloui, 2011. "Latin American stock markets’ volatility spillovers during the financial crises: a multivariate FIAPARCH-DCC framework," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 289-326, May.
    7. Lu, Jin-Ray & Lee, Pei-Hsuan & Chuang, I-Yuan, 2011. "Estimation of oil firm's systematic risk via composite time-varying models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2389-2399.
    8. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
    11. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
    12. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
    13. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    14. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
    15. Chen Yang & Wenjun Jiang & Jiang Wu & Xin Liu & Zhichuan Li, 2018. "Clustering of financial instruments using jump tail dependence coefficient," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(3), pages 491-513, August.
    16. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    17. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    18. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    19. Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.
    20. Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro, 2021. "A dynamic conditional approach to forecasting portfolio weights," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1111-1126.
    21. Xin Liu & Jiang Wu & Chen Yang & Wenjun Jiang, 2018. "A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection," Risks, MDPI, vol. 6(4), pages 1-26, October.
    22. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.
    23. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    24. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
    25. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
    26. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.
    27. S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin, 2014. "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1297-1313, July.
    28. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    29. Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
    30. Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
    31. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.
    32. Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
    33. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Scholarly Articles 34650305, Harvard University Department of Economics.

  62. Massimiliano Caporin & Domenico Sartore, 2006. "Methodological aspects of time series back-calculation," Working Papers 2006_56, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Post-Print halshs-00423890, HAL.
    2. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    4. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".
    5. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
    6. Terry Clark & Thomas Martin Key, 2021. "The methodologies of the marketing literature: mechanics, uses and craft," AMS Review, Springer;Academy of Marketing Science, vol. 11(3), pages 416-431, December.

  63. Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria.

    Cited by:

    1. Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.

  64. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.

    Cited by:

    1. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
    2. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.

Articles

  1. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
    See citations under working paper version above.
  2. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
    See citations under working paper version above.
  3. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
    See citations under working paper version above.
  4. Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano, 2023. "Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic," Resources Policy, Elsevier, vol. 80(C).

    Cited by:

    1. Karimi, Parinaz & Mirzaee Ghazani, Majid & Ebrahimi, Seyed Babak, 2023. "Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods," Resources Policy, Elsevier, vol. 85(PB).
    2. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    3. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
    4. Lei Li & Kun Qin & Desheng Wu, 2023. "A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks," Sustainability, MDPI, vol. 15(7), pages 1-16, April.

  5. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).

    Cited by:

    1. He, Wenjia & He, Wenjing & Xu, Dandan & Yue, Pengpeng, 2023. "Economic volatility, banks’ risk accumulation and systemic risk," Finance Research Letters, Elsevier, vol. 57(C).
    2. Yiting Fan & Rui Fang, 2022. "Some Results on Measures of Interaction among Risks," Mathematics, MDPI, vol. 10(19), pages 1-19, October.
    3. Kreppmeier, Julia & Laschinger, Ralf & Steininger, Bertram & Dorfleitner, Gregor, 2023. "Real Estate Security Token Offerings and the Secondary Market: Driven by Crypto Hype or Fundamentals?," Working Paper Series 23/6, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    4. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
    5. Kreppmeier, Julia & Laschinger, Ralf & Steininger, Bertram I. & Dorfleitner, Gregor, 2023. "Real estate security token offerings and the secondary market: Driven by crypto hype or fundamentals?," Journal of Banking & Finance, Elsevier, vol. 154(C).
    6. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.

  6. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
    See citations under working paper version above.
  7. Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2022. "Measuring systemic risk during the COVID-19 period: A TALIS3 approach," Finance Research Letters, Elsevier, vol. 46(PA).

    Cited by:

    1. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
    2. Lahmiri, Salim & Bekiros, Stelios & Bezzina, Frank, 2022. "Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).

  8. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).

    Cited by:

    1. Celso-Arellano, Pedro & Gualajara, Victor & Coronado, Semei & Martinez, Jose N. & Venegas-Martínez, Francisco, 2023. "Impact of the global fear index (covid-19 panic) on the S&P global indices associated with natural resources, agribusiness, energy, metals and mining: Granger Causality and Shannon and Rényi Transfer ," MPRA Paper 117138, University Library of Munich, Germany, revised 06 Feb 2023.
    2. Katarzyna Kuziak & Joanna Górka, 2023. "Dependence Analysis for the Energy Sector Based on Energy ETFs," Energies, MDPI, vol. 16(3), pages 1-30, January.

  9. Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022. "The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland," Energy Economics, Elsevier, vol. 110(C).
    See citations under working paper version above.
  10. Caporin, Massimiliano & Gupta, Rangan & Ravazzolo, Francesco, 2021. "Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    See citations under working paper version above.
  11. Massimiliano Caporin & Fulvio Fontini & Samuele Segato, 2021. "Has the EU-ETS Financed the Energy Transition of the Italian Power System?," IJFS, MDPI, vol. 9(4), pages 1-15, December.

    Cited by:

    1. Bonaldo, Cinzia & Fontini, Fulvio & Moretto, Michele, 2022. "The Energy Transition and the Value of Capacity Remuneration Mechanisms," FEEM Working Papers 321985, Fondazione Eni Enrico Mattei (FEEM).

  12. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).

    Cited by:

    1. Muhammad Abubakr Naeem & Sitara Karim & Tooraj Jamasb & Rabindra Nepal, 2022. "Risk transmission between green markets and commodities," CAMA Working Papers 2022-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Anwer, Zaheer & Naeem, Muhammad Abubakr & Hassan, M. Kabir & Karim, Sitara, 2022. "Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis," Finance Research Letters, Elsevier, vol. 47(PB).
    3. Siddique, Md Abubakar & Nobanee, Haitham & Karim, Sitara & Naz, Farah, 2022. "Investigating the role of metal and commodity classes in overcoming resource destabilization," Resources Policy, Elsevier, vol. 79(C).
    4. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    5. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    6. Naeem, Muhammad Abubakr & Gul, Raazia & Farid, Saqib & Karim, Sitara & Lucey, Brian M., 2023. "Assessing linkages between alternative energy markets and cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 513-529.
    7. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
    8. Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022. "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, vol. 79(C).
    9. Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022. "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
    10. Abubakr Naeem, Muhammad & Iqbal, Najaf & Lucey, Brian M. & Karim, Sitara, 2022. "Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    11. Naeem, Muhammad Abubakr & Karim, Sitara & Rabbani, Mustafa Raza & Nepal, Rabindra & Uddin, Gazi Salah, 2022. "Market integration in the Australian National Electricity Market: Fresh evidence from asymmetric time-frequency connectedness," Energy Economics, Elsevier, vol. 112(C).
    12. Pham, Linh & Karim, Sitara & Naeem, Muhammad Abubakr & Long, Cheng, 2022. "A tale of two tails among carbon prices, green and non-green cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 82(C).
    13. Shahzad, Syed Jawad Hussain & Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie, 2021. "Asymmetric volatility spillover among Chinese sectors during COVID-19," International Review of Financial Analysis, Elsevier, vol. 75(C).
    14. Lu, Ran & Xu, Wen & Zeng, Hongjun & Zhou, Xiangjing, 2023. "Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1465-1481.
    15. Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    16. Khan, Khalid & Su, Chi Wei & Koseoglu, Sinem Derindere, 2022. "Who are the influencers in the commodity markets during COVID-19?," Resources Policy, Elsevier, vol. 78(C).
    17. Tokgoz, Simla & Traoré, Fousseini, 2023. "Understanding E10 markets in the U.S.: Evidence from spatial data," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1267-1281.

  13. Khamis Hamed Al-Yahyaee & Walid Mensi & Hee-Un Ko & Massimiliano Caporin & Sang Hoon Kang, 2021. "Is the Korean housing market following Gangnam style?," Empirical Economics, Springer, vol. 61(4), pages 2041-2072, October.

    Cited by:

    1. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    2. Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.

  14. Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2021. "TrAffic LIght system for systemic Stress: TALIS3," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).

    Cited by:

    1. Pawe{l} Sakowski & Rafa{l} Sieradzki & Robert 'Slepaczuk, 2023. "Systemic risk indicator based on implied and realized volatility," Papers 2307.05719, arXiv.org.
    2. Paweł Sakowski & Rafał Sieradzki & Robert Ślepaczuk, 2023. "The systemic risk approach based on implied and realized volatility," Working Papers 2023-07, Faculty of Economic Sciences, University of Warsaw.
    3. Wang, Ze & Gao, Xiangyun & Huang, Shupei & Sun, Qingru & Chen, Zhihua & Tang, Renwu & Di, Zengru, 2022. "Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2022. "Measuring systemic risk during the COVID-19 period: A TALIS3 approach," Finance Research Letters, Elsevier, vol. 46(PA).

  15. Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021. "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, vol. 42(C).

    Cited by:

    1. García, Javier Sánchez & Rambaud, Salvador Cruz, 2023. "Macrofinancial determinants of volatility transmission in a network of European sovereign debt markets," Finance Research Letters, Elsevier, vol. 53(C).
    2. Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
    3. Wang, Ze & Gao, Xiangyun & Huang, Shupei & Sun, Qingru & Chen, Zhihua & Tang, Renwu & Di, Zengru, 2022. "Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
    5. Juan Li & Keyin Liu & Zixin Yang & Yi Qu, 2023. "Evolution and Impacting Factors of Global Renewable Energy Products Trade Network: An Empirical Investigation Based on ERGM Model," Sustainability, MDPI, vol. 15(11), pages 1-27, May.

  16. Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
    See citations under working paper version above.
  17. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.

    Cited by:

    1. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    2. Malik, Farooq, 2021. "Volatility spillover between exchange rate and stock returns under volatility shifts," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 605-613.
    3. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
    4. Farooq Malik, 2022. "Volatility spillover among sector equity returns under structural breaks," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1063-1080, April.
    5. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    6. Vatsa, Puneet & Basnet, Hem C., 2020. "The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis," Resources Policy, Elsevier, vol. 68(C).
    7. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).

  18. Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba, 2020. "Analytical Gradients of Dynamic Conditional Correlation Models," JRFM, MDPI, vol. 13(3), pages 1-21, March.

    Cited by:

    1. Massimiliano Caporin & Giuseppe Storti, 2020. "Financial Time Series: Methods and Models," JRFM, MDPI, vol. 13(5), pages 1-3, April.

  19. Shahzad, Syed Jawad Hussain & Caporin, Massimiliano, 2020. "On the volatilities of tourism stocks and oil," Annals of Tourism Research, Elsevier, vol. 81(C).

    Cited by:

    1. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2022. "Did COVID-19 tourism sector supports alleviate investor fear?," Annals of Tourism Research, Elsevier, vol. 95(C).

  20. Massimiliano Caporin & Michele Costola, 2019. "Asymmetry and leverage in GARCH models: a News Impact Curve perspective," Applied Economics, Taylor & Francis Journals, vol. 51(31), pages 3345-3364, July.

    Cited by:

    1. Paul R. Dewick, 2022. "On Financial Distributions Modelling Methods: Application on Regression Models for Time Series," JRFM, MDPI, vol. 15(10), pages 1-15, October.
    2. Maurice Omane‐Adjepong & Imhotep Paul Alagidede, 2021. "Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets," Economic Papers, The Economic Society of Australia, vol. 40(2), pages 152-166, June.
    3. Rachna Mahalwala, 2022. "Analysing exchange rate volatility in India using GARCH family models," SN Business & Economics, Springer, vol. 2(9), pages 1-16, September.
    4. Wang, Gang-Jin & Ma, Xin-yu & Wu, Hao-yu, 2020. "Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?," Research in International Business and Finance, Elsevier, vol. 54(C).
    5. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
    6. Najam Iqbal & Muhammad Saqib Manzoor & Muhammad Ishaq Bhatti, 2021. "Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19," JRFM, MDPI, vol. 14(7), pages 1-15, July.

  21. Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    See citations under working paper version above.
  22. Caporin, Massimiliano & Fontini, Fulvio & Talebbeydokhti, Elham, 2019. "Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock," Energy Economics, Elsevier, vol. 79(C), pages 21-31.

    Cited by:

    1. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    2. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
    3. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
    4. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).
    5. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    6. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    7. Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
    8. Malkidis, Stavros & Fountas, Stilianos, 2020. "Liquid fuel price adjustment in Greece: A two-stage, threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    9. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
    10. Kumar, Satish, 2022. "Speed of adjustment in energy and metal prices: Evidence from India," Resources Policy, Elsevier, vol. 78(C).
    11. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2021. "Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns," Energy Economics, Elsevier, vol. 94(C).
    12. Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
    13. Jerome Geyer‐Klingeberg & Andreas W. Rathgeber, 2021. "Determinants of the WTI‐Brent price spread revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 736-757, May.
    14. Qiang Ji & Dayong Zhang & Yuqian Zhao, 2022. "Intra-day co-movements of crude oil futures: China and the international benchmarks," Annals of Operations Research, Springer, vol. 313(1), pages 77-103, June.

  23. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).

    Cited by:

    1. Xu, Qifa & Jin, Bei & Jiang, Cuixia, 2021. "Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    2. Karoline Bax & Giovanni Bonaccolto & Sandra Paterlini, 2023. "Do lower environmental, social, and governance (ESG) rated companies have higher systemic impact? Empirical evidence from Europe and the United States," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(3), pages 1406-1420, May.
    3. Shaowei Chen & Long Guo & Weike Zhang, 2023. "Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
    4. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
    5. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
    6. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    7. Bianchi, Michele Leonardo & De Luca, Giovanni & Rivieccio, Giorgia, 2023. "Non-Gaussian models for CoVaR estimation," International Journal of Forecasting, Elsevier, vol. 39(1), pages 391-404.
    8. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).

  24. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.

    Cited by:

    1. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," Working Papers 2021-13, Joint Research Centre, European Commission.
    2. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
    3. Karoline Bax & Giovanni Bonaccolto & Sandra Paterlini, 2023. "Do lower environmental, social, and governance (ESG) rated companies have higher systemic impact? Empirical evidence from Europe and the United States," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(3), pages 1406-1420, May.
    4. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
    5. Wen, Shigang & Li, Jianping & Huang, Chuangxia & Zhu, Xiaoqian, 2023. "Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 190-202.
    6. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
    7. Michele Costola & Matteo Iacopini & Casper Wichers, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," Papers 2310.17473, arXiv.org.
    8. Qian, Biyu & Wang, Gang-Jin & Feng, Yusen & Xie, Chi, 2022. "Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).

  25. Khalifa, Ahmed & Caporin, Massimiliano & Di Fonzo, Tommaso, 2019. "Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements," Energy Policy, Elsevier, vol. 127(C), pages 155-164.

    Cited by:

    1. Abulibdeh, Ammar, 2022. "Time series analysis of environmental quality in the state of Qatar," Energy Policy, Elsevier, vol. 168(C).
    2. Yusri Syam Akil & Hajime Miyauchi & Saiful Mangngenre & Kifayah Amar, 2020. "Perceptions and Determinants of SMEs Consumers Behaviors for Electricity Saving: Evidence from Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 168-174.
    3. Zhixiong Weng & Yuqi Song & Hao Ma & Zhong Ma & Tingting Liu, 2023. "Forecasting energy demand, structure, and CO2 emission: a case study of Beijing, China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(9), pages 10369-10391, September.
    4. Xin Ma & Yubin Cai & Hong Yuan & Yanqiao Deng, 2023. "Partially Linear Component Support Vector Machine for Primary Energy Consumption Forecasting of the Electric Power Sector in the United States," Sustainability, MDPI, vol. 15(9), pages 1-26, April.
    5. Angel Manuel Benitez Rodriguez & Ian Michael Trotter, 2019. "Climate change scenarios for Paraguayan power demand 2017–2050," Climatic Change, Springer, vol. 156(3), pages 425-445, October.
    6. Chen, Hai-Bao & Pei, Ling-Ling & Zhao, Yu-Feng, 2021. "Forecasting seasonal variations in electricity consumption and electricity usage efficiency of industrial sectors using a grey modeling approach," Energy, Elsevier, vol. 222(C).
    7. Shayma Al Bannay & Satoshi Takizawa, 2022. "Decoupling of Water Production and Electricity Generation from GDP and Population in the Gulf Cooperation Council (GCC) Countries," Sustainability, MDPI, vol. 14(9), pages 1-20, April.

  26. Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
    See citations under working paper version above.
  27. Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo, 2019. "The bank-sovereign nexus: Evidence from a non-bailout episode," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 181-196.
    See citations under working paper version above.
  28. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
    See citations under working paper version above.
  29. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
    See citations under working paper version above.
  30. Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
    See citations under working paper version above.
  31. Blasi, Silvia & Caporin, Massimiliano & Fontini, Fulvio, 2018. "A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance," Ecological Economics, Elsevier, vol. 147(C), pages 218-229.

    Cited by:

    1. Raja Abid, 2023. "Corporate social (ir)responsibility towards employees and financial performance: using time to solve the chicken-egg problem," Review of Managerial Science, Springer, vol. 17(2), pages 635-659, February.
    2. Antonio Salvi & Emanuele Doronzo & Anastasia Giakoumelou & Felice Petruzzella, 2021. "CSR and Corporate Financial Performance: An Inter-Sectorial Analysis," International Journal of Business and Management, Canadian Center of Science and Education, vol. 14(11), pages 193-193, July.
    3. Thomas Bassetti & Silvia Blasi & Silvia Rita Sedita, 2021. "The management of sustainable development: A longitudinal analysis of the effects of environmental performance on economic performance," Business Strategy and the Environment, Wiley Blackwell, vol. 30(1), pages 21-37, January.
    4. Wafa Ghardallou & Noha Alessa, 2022. "Corporate Social Responsibility and Firm Performance in GCC Countries: A Panel Smooth Transition Regression Model," Sustainability, MDPI, vol. 14(13), pages 1-21, June.
    5. Cristian Carini & Nicola Comincioli & Laura Poddi & Sergio Vergalli, 2017. "Measure the Performance with the Market Value Added: Evidence from CSR Companies," Sustainability, MDPI, vol. 9(12), pages 1-19, November.
    6. Muhammad Safdar Sial & Chunmei Zheng & Nguyen Vinh Khuong & Tehmina Khan & Muhammad Usman, 2018. "Does Firm Performance Influence Corporate Social Responsibility Reporting of Chinese Listed Companies?," Sustainability, MDPI, vol. 10(7), pages 1-12, June.
    7. Fang Zhang & Minghui Li & Meilan Zhang, 2019. "Chinese Financial Market Investors Attitudes toward Corporate Social Responsibility: Evidence from Mergers and Acquisitions," Sustainability, MDPI, vol. 11(9), pages 1-20, May.
    8. Sohail Ahmad Javeed & Lin Lefen, 2019. "An Analysis of Corporate Social Responsibility and Firm Performance with Moderating Effects of CEO Power and Ownership Structure: A Case Study of the Manufacturing Sector of Pakistan," Sustainability, MDPI, vol. 11(1), pages 1-25, January.
    9. Tomlinson, Bill & Silberman, M. Six & Torrance, Andrew W. & Nikols, Nick & Black, Rebecca W. & Squire, Kurt & Atwal, Paramdeep S. & Mandalik, Ameya N. & Railkar, Sahil & Workman, Mary Kate, 2020. "“Environment-selected directors”: An interactive simulation experiment of environmental representation on corporate boards," Ecological Economics, Elsevier, vol. 178(C).
    10. Hunjra, Ahmed Imran & Boubaker, Sabri & Arunachalam, Murugesh & Mehmood, Asad, 2021. "How does CSR mediate the relationship between culture, religiosity and firm performance?," Finance Research Letters, Elsevier, vol. 39(C).
    11. Zhao‐Yong Sun & Meng‐Jie Li & Dongdong Li, 2023. "Carbon performance and corporate financial performance: The moderating role of consumer awareness of corporate social responsibility," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(1), pages 663-670, January.
    12. Chang Seop Rhee & Sohee Woo & So-Jin Yu & Hyunjung Rhee, 2021. "Corporate Social Responsibility and Sustainable Employability: Empirical Evidence from Korea," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    13. Bang, You-Young & Lee, Dae Sung & Lim, Seong-Rin, 2019. "Analysis of corporate CO2 and energy cost efficiency: The role of performance indicators and effective environmental reporting," Energy Policy, Elsevier, vol. 133(C).
    14. Sonia Boukattaya & Zyed Achour & Zeineb Hlioui, 2021. "Corporate Social Responsibility and Corporate Financial Performance: An Empirical Literature Review," Post-Print hal-03472433, HAL.
    15. Olivier Beaumais & Mireille Chiroleu-Assouline, 2020. "Informal versus Formal Corporate Social Responsibility: a Tale of Hidden Green Attitude," PSE Working Papers halshs-03073242, HAL.
    16. Dongsheng Zhang & Hongwei Wang & Xiangshan Jin, 2022. "Element Matching and Configuration Path of Corporate Social Responsibility Performance," Sustainability, MDPI, vol. 14(11), pages 1-18, May.
    17. Kren, Janez & Lawless, Martina, 2023. "Firm-level attitudes and actions to the “Twin Transition” challenges of digitalisation and climate change," Papers WP742, Economic and Social Research Institute (ESRI).
    18. Lasarov, Wassili & Mai, Robert & Krause, Jan S. & Schmidt, Ulrich & Hoffmann, Stefan, 2021. "Too Cold to be Skeptical: How Ambient Temperature Moderates the Effects of CSR Communication," Ecological Economics, Elsevier, vol. 183(C).
    19. Wassili Lasarov & Stefan Hoffmann & Ulrich Orth, 2023. "Vanishing Boycott Impetus: Why and How Consumer Participation in a Boycott Decreases Over Time," Journal of Business Ethics, Springer, vol. 182(4), pages 1129-1154, February.
    20. Szennay, Áron, 2018. "Nagyvállalatok pénzügyi teljesítményének és társadalmi felelősségvállalásának összefüggései Magyarországon [Relations between financial and non-financial performance in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1281-1298.
    21. Ben Lahouel, Béchir & Ben Zaied, Younes & Managi, Shunsuke & Taleb, Lotfi, 2022. "Re-thinking about U: The relevance of regime-switching model in the relationship between environmental corporate social responsibility and financial performance," Journal of Business Research, Elsevier, vol. 140(C), pages 498-519.
    22. Shirasu, Yoko & Kawakita, Hidetaka, 2021. "Long-term financial performance of corporate social responsibility," Global Finance Journal, Elsevier, vol. 50(C).
    23. Silvia Blasi & Benedetta Crisafulli & Silvia Rita Sedita, 2020. "Selling the circularity: Investigating the impact of circularity promotion on the performance of Italian manufacturing companies," "Marco Fanno" Working Papers 0259, Dipartimento di Scienze Economiche "Marco Fanno".
    24. Slobodan Marić & Nemanja Berber & Agneš Slavić & Marko Aleksić, 2021. "The Mediating Role of Employee Commitment in the Relationship Between Corporate Social Responsibility and Firm Performance in Serbia," SAGE Open, , vol. 11(3), pages 21582440211, August.
    25. D'Amato, D. & Korhonen, J. & Toppinen, A., 2019. "Circular, Green, and Bio Economy: How Do Companies in Land-Use Intensive Sectors Align with Sustainability Concepts?," Ecological Economics, Elsevier, vol. 158(C), pages 116-133.
    26. Jakub Horak & Petr Suler & Jaroslav Kollmann & Jan Marecek, 2020. "Credit Absorption Capacity of Businesses in the Construction Sector of the Czech Republic—Analysis Based on the Difference in Values of EVA Entity and EVA Equity," Sustainability, MDPI, vol. 12(21), pages 1-16, October.
    27. Kudłak, Robert, 2019. "The role of corporate social responsibility in predicting CO2 emission: An institutional approach," Ecological Economics, Elsevier, vol. 163(C), pages 169-176.
    28. Faisal Mahmood & Faisal Qadeer & Usman Sattar & Antonio Ariza-Montes & Maria Saleem & Jaffar Aman, 2020. "Corporate Social Responsibility and Firms’ Financial Performance: A New Insight," Sustainability, MDPI, vol. 12(10), pages 1-19, May.
    29. Wafa Sahraoui & Rimvie Enoc Kabore, 2021. "The relationship between Corporate Social Responsibility and performance: the moderating effect of financial leverage," Working Papers hal-03503462, HAL.
    30. Úbeda-García, Mercedes & Claver-Cortés, Enrique & Marco-Lajara, Bartolomé & Zaragoza-Sáez, Patrocinio, 2021. "Corporate social responsibility and firm performance in the hotel industry. The mediating role of green human resource management and environmental outcomes," Journal of Business Research, Elsevier, vol. 123(C), pages 57-69.
    31. Asif Mahmood & Rana Tahir Naveed & Naveed Ahmad & Miklas Scholz & Muhammad Khalique & Mohammad Adnan, 2021. "Unleashing the Barriers to CSR Implementation in the SME Sector of a Developing Economy: A Thematic Analysis Approach," Sustainability, MDPI, vol. 13(22), pages 1-20, November.

  32. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
    See citations under working paper version above.
  33. Caporin, Massimiliano & Fontini, Fulvio, 2017. "The long-run oil–natural gas price relationship and the shale gas revolution," Energy Economics, Elsevier, vol. 64(C), pages 511-519.
    See citations under working paper version above.
  34. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.

    Cited by:

    1. Andres Algaba & David Ardia & Keven Bluteau & Samuel Borms & Kris Boudt, 2020. "Econometrics Meets Sentiment: An Overview Of Methodology And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 34(3), pages 512-547, July.
    2. Justina Deveikyte & Helyette Geman & Carlo Piccari & Alessandro Provetti, 2020. "A Sentiment Analysis Approach to the Prediction of Market Volatility," Papers 2012.05906, arXiv.org.
    3. Kim Christensen & Mathias Siggaard & Bezirgen Veliyev, 2021. "A machine learning approach to volatility forecasting," CREATES Research Papers 2021-03, Department of Economics and Business Economics, Aarhus University.
    4. Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
    5. Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    6. Banerjee, Ameet Kumar & Dionisio, Andreia & Pradhan, H.K. & Mahapatra, Biplab, 2021. "Hunting the quicksilver: Using textual news and causality analysis to predict market volatility," International Review of Financial Analysis, Elsevier, vol. 77(C).
    7. Anese, Gianluca & Corazza, Marco & Costola, Michele & Pelizzon, Loriana, 2021. "Impact of public news sentiment on stock market index return and volatility," SAFE Working Paper Series 322, Leibniz Institute for Financial Research SAFE.
    8. Yicun Li & Yuanyang Teng, 2023. "The Fama–French Five-Factor Model with Hurst Exponents Compared with Machine Learning Methods," Mathematics, MDPI, vol. 11(13), pages 1-19, July.
    9. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
    10. Mikhaylov, Dmitry, 2023. "Macroeconomic Forecasting with the Use of News Data," Working Papers w20220250, Russian Presidential Academy of National Economy and Public Administration.
    11. Ye, Jing & Xue, Minggao, 2021. "Influences of sentiment from news articles on EU carbon prices," Energy Economics, Elsevier, vol. 101(C).
    12. Chen, Wang & Lu, Xinjie & Wang, Jiqian, 2022. "Modeling and managing stock market volatility using MRS-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 625-635.
    13. Fang, Jianchun & Gozgor, Giray & Lau, Chi-Keung Marco & Lu, Zhou, 2020. "The impact of Baidu Index sentiment on the volatility of China's stock markets," Finance Research Letters, Elsevier, vol. 32(C).
    14. Alomari, Mohammad & Al Rababa’a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Ur Rehman, Mobeen, 2021. "Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 280-297.
    15. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
    16. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    17. Deev, Oleg & Plíhal, Tomáš, 2022. "How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty," Research in International Business and Finance, Elsevier, vol. 60(C).
    18. Khan, Muhammad Asif & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency relationship between household investors’ sentiment index and US industry stock returns," Finance Research Letters, Elsevier, vol. 36(C).

  35. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.

    Cited by:

    1. Xuehai Zhang, 2019. "A Box-Cox semiparametric multiplicative error model," Working Papers CIE 122, Paderborn University, CIE Center for International Economics.
    2. Xuehai Zhang, 2019. "A Box-Cox semiparametric multiplicative error model," Working Papers CIE 125, Paderborn University, CIE Center for International Economics.

  36. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2017. "The relationship between oil prices and rig counts: The importance of lags," Energy Economics, Elsevier, vol. 63(C), pages 213-226.

    Cited by:

    1. Song-Zan Chiou-Wei & Sheng-Hung Chen & Wei-Hung Chen, 2023. "Asymmetric Effects of Prices and Storage on Rig Counts: Evidence from the US Natural Gas and Crude Oil Markets," Energies, MDPI, vol. 16(15), pages 1-25, August.
    2. Ali, Muhammad Kashif & Zahoor, Muhammad Khurram & Saeed, Asif & Nosheen, Safia & Thanakijsombat, Thanarerk, 2023. "Institutional and country level determinants of vertical integration: New evidence from the oil and gas industry," Resources Policy, Elsevier, vol. 84(C).
    3. Yang, Dong-Xiao & Wu, Bi-Bo & Tong, Jing-Yang, 2021. "Dynamics and causality of oil price shocks on commodities: Quantile-on-quantile and causality-in-quantiles methods," Resources Policy, Elsevier, vol. 74(C).
    4. Fantazzini, Dean & Kolodin, Nikita, 2020. "Does the hashrate affect the bitcoin price?," MPRA Paper 103812, University Library of Munich, Germany.
    5. Ahmed Khalifa, Massimiliano Caporin, Michele Costola, and Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
    6. Nenubari John Ikue & Lucky Ifeanyi Amabuike & Joseph Osaro Denwi & Aminu Usman Mohammed & Ahmadu Uba Musa, 2021. "Economic growth and crude oil revenue in Nigeria: A control for industrial shocks," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(8), pages 218-227, December.
    7. Comincioli, Nicola & Hagspiel, Verena & Kort, Peter M. & Menoncin, Francesco & Miniaci, Raffaele & Vergalli, Sergio, 2021. "Mothballing in a Duopoly: Evidence from a (Shale) Oil Market," Energy Economics, Elsevier, vol. 104(C).
    8. Nenubari John Ikue & Lamin Mohammed Magaji & Samuel Zeb-Omoni & Mohammed, Aminu Usman & Joseph Osaro Denwi, 2021. "Trade Balance and Oil Shocks in African Oil Exporting Countries: A Panel Threshold Regression," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(4), pages 150-166, October.
    9. Wu, Bi-Bo, 2021. "The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?," Journal of Commodity Markets, Elsevier, vol. 23(C).
    10. Nicoleta Iliescu, 2018. "Long-run co-movements between oil prices and rig count in the presence of structural breaks," Economics Bulletin, AccessEcon, vol. 38(2), pages 1171-1179.
    11. Shakya, Shishir & Li, Bingxin & Etienne, Xiaoli, 2022. "Shale revolution, oil and gas prices, and drilling activities in the United States," Energy Economics, Elsevier, vol. 108(C).
    12. Pedro Moreno Alonso & Antonio Mu oz San Roque, 2021. "Oil Costs and Prices: An Empirical Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 546-554.
    13. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.

  37. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
    See citations under working paper version above.
  38. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
    See citations under working paper version above.
  39. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.

    Cited by:

    1. Tan, Shay-Kee & Ng, Kok-Haur & Chan, Jennifer So-Kuen & Mohamed, Ibrahim, 2019. "Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 537-551.
    2. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).

  40. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
    See citations under working paper version above.
  41. F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella, 2015. "Ensemble properties of high-frequency data and intraday trading rules," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 231-245, February.
    See citations under working paper version above.
  42. Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.

    Cited by:

    1. Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
    2. Philipp Otto & Wolfgang Schmid, 2023. "A general framework for spatial GARCH models," Statistical Papers, Springer, vol. 64(5), pages 1721-1747, October.
    3. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    4. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
    5. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
    6. Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
    7. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    8. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
    9. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
    10. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    11. Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021. "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, vol. 42(C).
    12. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2023. "Long monthly European temperature series and the North Atlantic Oscillation," Energy Economics, Elsevier, vol. 126(C).
    13. Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    14. Sophie Béreau & Nicolas Debarsy & Cyrille Dossougoin & Jean-Yves Gnabo, 2022. "Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis," Working Papers halshs-03513049, HAL.
    15. Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    16. Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2019. "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study," Energy Economics, Elsevier, vol. 84(C).
    17. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.

  43. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.

    Cited by:

    1. Ahmed, Walid M.A., 2018. "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 149-161.
    2. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data," Resources Policy, Elsevier, vol. 77(C).
    3. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    4. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    5. Ahmed, Walid M.A., 2017. "On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt," Research in International Business and Finance, Elsevier, vol. 42(C), pages 61-74.
    6. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
    7. Li, Xiao-Ping & Zhou, Chun-Yang & Wu, Chong-Feng, 2017. "Jump spillover between oil prices and exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 656-667.

  44. Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.

    Cited by:

    1. Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Ma, Feng & Liu, Jing & Huang, Dengshi & Chen, Wang, 2017. "Forecasting the oil futures price volatility: A new approach," Economic Modelling, Elsevier, vol. 64(C), pages 560-566.
    3. Gong, Xu & Lin, Boqiang, 2018. "Structural changes and out-of-sample prediction of realized range-based variance in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 27-39.
    4. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach," Papers 1708.02073, arXiv.org.
    5. Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong, 2018. "Forecasting oil futures price volatility: New evidence from realized range-based volatility," Energy Economics, Elsevier, vol. 75(C), pages 400-409.
    6. Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020. "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, vol. 85(C).

  45. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
    See citations under working paper version above.
  46. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
    See citations under working paper version above.
  47. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
    See citations under working paper version above.
  48. Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
    See citations under working paper version above.
  49. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
    See citations under working paper version above.
  50. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
    See citations under working paper version above.
  51. Caporin, Massimiliano & McAleer, Michael, 2014. "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
    See citations under working paper version above.
  52. Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 556-576.
    See citations under working paper version above.
  53. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
    See citations under working paper version above.
  54. Massimiliano Caporin & Juliusz Preś, 2013. "Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(4), pages 339-352, July.

    Cited by:

    1. Luisa Bisaglia & Matteo Grigoletto, 2018. "A new time-varying model for forecasting long-memory series," Papers 1812.07295, arXiv.org.
    2. Luisa Bisaglia & Matteo Grigoletto, 2021. "A new time-varying model for forecasting long-memory series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 139-155, March.
    3. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
    4. Mehmet Balcilar & Rangan Gupta & Charl Jooste, 2014. "Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter," Working Papers 15-09, Eastern Mediterranean University, Department of Economics.
    5. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    6. Caporin, Massimiliano & Fontini, Fulvio, 2014. "The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises," MPRA Paper 53779, University Library of Munich, Germany.
    7. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    8. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).

  55. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.

    Cited by:

    1. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    2. Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Documentos de Trabajo del ICAE 2013-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Yang, Tingting & Huang, Xiaoxia, 2022. "Two new mean–variance enhanced index tracking models based on uncertainty theory," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    4. Jiang, Minqi & Liu, Jiapeng & Zhang, Lu, 2021. "An extended regularized Kalman filter based on Genetic Algorithm: Application to dynamic asset pricing models," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 28-44.

  56. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
    See citations under working paper version above.
  57. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.

    Cited by:

    1. Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Naji Jalkh & Elie Bouri & Xuan Vinh Vo & Anupam Dutta, 2021. "Hedging the risk of travel and leisure stocks: The role of crude oil," Tourism Economics, , vol. 27(7), pages 1337-1356, November.
    3. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    4. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    5. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
    6. Ayben Koy, 2015. "The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange," Proceedings of International Academic Conferences 2604117, International Institute of Social and Economic Sciences.

  58. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.

    Cited by:

    1. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
    2. B. Lafuente-Rego & P. D’Urso & J. A. Vilar, 2020. "Robust fuzzy clustering based on quantile autocovariances," Statistical Papers, Springer, vol. 61(6), pages 2393-2448, December.
    3. Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
    4. Takashi Isogai, 2017. "Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 193-220, September.

  59. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
    See citations under working paper version above.
  60. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    See citations under working paper version above.
  61. Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
    See citations under working paper version above.
  62. M. Bonato & M. Caporin & A. Ranaldo, 2012. "A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 761-774, October.

    Cited by:

    1. Matthias R. Fengler & Ostap Okhrin, 2012. "Realized Copula," SFB 649 Discussion Papers SFB649DP2012-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    4. Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021. "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, vol. 37(2), pages 569-586.

  63. Massimiliano Caporin & Paolo Santucci de Magistris, 2012. "On the evaluation of marginal expected shortfall," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 175-179, February.

    Cited by:

    1. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.

  64. Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
    See citations under working paper version above.
  65. Massimiliano Caporin & Michael McAleer, 2012. "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 736-751, September.
    See citations under working paper version above.
  66. Francesco Lisi & Massimiliano Caporin, 2012. "On the role of risk in the Morningstar rating for mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1477-1486, October.

    Cited by:

    1. Kozo Omori & Tomoki Kitamura, 2021. "Managers’ skills and fund flows in the Japanese mutual fund market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 39(4), pages 675-696, November.
    2. Massimiliano Caporin & Gregory Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-02312333, HAL.
    3. Daniel Chiew & Judy Qiu & Sirimon Treepongkaruna & Jiping Yang & Chenxiao Shi, 2019. "The predictive ability of the expected utility-entropy based fund rating approach: A comparison investigation with Morningstar ratings in US," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-22, April.

  67. Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-34.
    See citations under working paper version above.
  68. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
    See citations under working paper version above.
  69. Billio, Monica & Caporin, Massimiliano, 2010. "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2443-2458, November.
    See citations under working paper version above.
  70. Massimiliano Caporin & Francesco Lisi, 2010. "Misspecification tests for periodic long memory GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 47-62, March.

    Cited by:

    1. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    2. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
    3. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting," Papers 2204.09568, arXiv.org.

  71. Massimiliano Caporin & Michael McAleer, 2010. "A Scientific Classification Of Volatility Models," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 192-195, February.
    See citations under working paper version above.
  72. Massimiliano Caporin & Michael McAleer, 2010. "The Ten Commandments For Managing Investments," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 196-200, February.

    Cited by:

    1. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
    3. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    4. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 2009-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI 2011-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE 2011-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    7. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    9. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

  73. Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.

    Cited by:

    1. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
    2. Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
    3. Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
    4. Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    6. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    7. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
    8. Massimiliano Caporin & Francesco Lisi, 2010. "Misspecification tests for periodic long memory GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 47-62, March.
    9. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    10. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    11. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    12. Heni Boubaker & Bassem Saidane & Mouna Ben Saad Zorgati, 2022. "Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.
    13. Rajesh Mohnot, 2011. "Forecasting Forex Volatility In Turbulent Times," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 5(1), pages 27-38.
    14. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  74. Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
    See citations under working paper version above.
  75. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.

    Cited by:

    1. Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
    2. Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
    4. Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017. "Are correlations constant? Empirical and theoretical results on popular correlation models in finance," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
    5. McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE 2009-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Documentos de Trabajo del ICAE 2013-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    9. Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Caporin, M. & McAleer, M.J., 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers EI 2010-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
    12. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
    13. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
    14. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 80435, University Library of Munich, Germany.
    15. Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011. "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE 2011-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    16. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," KIER Working Papers 751, Kyoto University, Institute of Economic Research.
    17. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    18. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    19. John Francis Diaz & Peh Ying Qian & Genevieve Liao Tan, 2018. "Variance Persistence in the Greater China Region: A Multivariate GARCH Approach," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(2), pages 49-68, July-Dec.
    20. Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos de Trabajo del ICAE 2009-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    21. Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    22. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    23. David C Broadstock & Hong Cao & Dayong Zhang, 2012. "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 137, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
    24. Jamal Bouoiyour & Refk Selmi, 2014. "Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model," Post-Print hal-01879687, HAL.
    25. G.K. Chetan Kumar & K.B. Rangappa & S. Suchitra, 2022. "Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(631), S), pages 151-164, Summer.
    26. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    27. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    28. G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2022. "Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model," MPRA Paper 114027, University Library of Munich, Germany.
    29. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    30. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    31. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
    32. Weiping Li & Wenwen Liu, 2021. "Investor sentiment‐styled index in index futures market," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 51-72, January.
    33. Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer, 2009. "Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies," CIRJE F-Series CIRJE-F-668, CIRJE, Faculty of Economics, University of Tokyo.
    34. Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
    35. Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    36. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
    37. H. J. Turtle & Kainan Wang, 2014. "Modeling Conditional Covariances With Economic Information Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 217-236, April.
    38. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
    39. Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
    40. Lv, Xin & Lien, Donald & Yu, Chang, 2020. "Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 85-100.
    41. Domingo Rodríguez Benavides & Ignacio Perrotini Hernández, 2019. "Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 151-168, Abril-Jun.
    42. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    43. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
    44. Tiago Trancoso, 2013. "Global macroeconomic interdependence: a minimum spanning tree approach," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 5(1), pages 179-189, June.

  76. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2008. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(3), pages 333-366.
    See citations under working paper version above.
  77. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.

    Cited by:

    1. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
    2. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    3. Artiach Escauriaza, Miguel Manuel & Arteche González, Jesús María, 2011. "Doubly fractional models for dynamic heteroskedastic cycles," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    4. Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
    5. Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
    7. Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen, 2018. "Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates," Documentos de Trabajo del ICAE 2018-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    9. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    10. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
    11. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    12. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
    13. Heni Boubaker & Nadia Sghaier, 2014. "Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach," Working Papers 2014-66, Department of Research, Ipag Business School.
    14. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    15. Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.
    16. Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
    17. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting," Papers 2204.09568, arXiv.org.
    18. Heni Boubaker & Bassem Saidane & Mouna Ben Saad Zorgati, 2022. "Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.
    19. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    20. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    21. Alexandra Chronopoulou & Frederi Viens, 2012. "Estimation and pricing under long-memory stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 379-403, May.
    22. Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E., 2018. "Cointegrated Dynamics for A Generalized Long Memory Process," Econometric Institute Research Papers EI 2018-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    23. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    24. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
    25. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    26. Richard Hunt & Shelton Peiris & Neville Weber, 2022. "Estimation methods for stationary Gegenbauer processes," Statistical Papers, Springer, vol. 63(6), pages 1707-1741, December.

  78. Massimiliano Caporin, 2007. "Variance (Non) Causality in Multivariate GARCH," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 1-24.

    Cited by:

    1. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
    2. PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    4. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
    5. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.

  79. Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 385-412.

    Cited by:

    1. Mazzotta, Stefano, 2008. "How important is asymmetric covariance for the risk premium of international assets?," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1636-1647, August.
    2. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
    3. A. B. M. Rabiul Alam Beg & Sajid Anwar, 2014. "Detecting volatility persistence in GARCH models in the presence of the leverage effect," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2205-2213, December.
    4. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
    5. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    6. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    7. Ederington, Louis H. & Guan, Wei, 2010. "How asymmetric is U.S. stock market volatility?," Journal of Financial Markets, Elsevier, vol. 13(2), pages 225-248, May.
    8. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    9. Carl Lönnbark, 2016. "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, vol. 50(4), pages 1409-1419, June.
    10. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, Department of Economics, University of Venice "Ca' Foscari".
    11. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    12. Ederington, Louis H. & Guan, Wei, 2013. "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3388-3400.
    13. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461.
    14. Mariana Petrova & Teodor Todorov, 2023. "Empirical Testing of Models of Autoregressive Conditional Heteroscedasticity Used for Prediction of the Volatility of Bulgarian Investment Funds," Risks, MDPI, vol. 11(11), pages 1-30, November.
    15. Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
    16. Rituparna Sen & Pulkit Mehrotra, 2016. "Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 137-150, June.
    17. Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.

  80. Monica Billio & Massimiliano Caporin, 2005. "Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(2), pages 145-161, November.

    Cited by:

    1. Achraf Ghorbel & Ahmed Jeribi, 2021. "Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 449-467, September.
    2. Miao, Daniel Wei-Chung & Wu, Chun-Chou & Su, Yi-Kai, 2013. "Regime-switching in volatility and correlation structure using range-based models with Markov-switching," Economic Modelling, Elsevier, vol. 31(C), pages 87-93.
    3. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic & Wong, Wing-Keung, 2023. "Are Islamic stocks immune from financial crises? Evidence from contagion tests," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 919-948.
    4. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    5. Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014. "Commodity returns co-movements: Fundamentals or "style" effect?," Working Papers hal-01093631, HAL.
    6. Adekunle, Salami Saheed & Masih, Mansur, 2017. "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper 79443, University Library of Munich, Germany.
    7. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
    8. Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, vol. 7(2), pages 86-97, June.
    9. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
    10. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    11. Lee, Hsiang-Tai & Tsang, Wei-Lun, 2011. "Cross hedging single stock with American Depositary Receipt and stock index futures," Finance Research Letters, Elsevier, vol. 8(3), pages 146-157, September.
    12. Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Reprints CORE 3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    13. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
    14. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
    15. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    16. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    17. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    18. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
    19. Muñoz, Mª Pilar & Márquez, María Dolores & Sánchez, Josep A., 2011. "Contagion between United States and european markets during the recent crises," MPRA Paper 35993, University Library of Munich, Germany.
    20. Marie Brière & Ombretta Signori, 2009. "Do Inflation‐Linked Bonds Still Diversify?," European Financial Management, European Financial Management Association, vol. 15(2), pages 279-297, March.
    21. E. Otranto, 2015. "Adding Flexibility to Markov Switching Models," Working Paper CRENoS 201509, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    22. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
    23. Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar & Heidari, Hassan, 2013. "تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران [Separation of the Effects of Oil Price Shocks Origin on Dynamic Correlation between Growth of Industr," MPRA Paper 79257, University Library of Munich, Germany.
    24. Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," Working Papers hal-04141224, HAL.
    25. Fuchun Li & Hui Zhu, 2014. "Testing for financial contagion based on a nonparametric measure of the cross‐market correlation," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 141-147, September.
    26. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
    27. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    28. Kaihua Deng, 2018. "Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 227-262, February.
    29. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    30. Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
    31. Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2015. "“Every cloud has a silver lining”; to what extent does the Arab Spring accelerate the integration among Arab monarchies?," MPRA Paper 70942, University Library of Munich, Germany.
    32. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    33. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    34. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
    35. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers 159, Banque de France.
    36. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    37. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
    38. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    39. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
    40. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    41. Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2017. "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Sustainability, MDPI, vol. 9(10), pages 1-18, October.
    42. Jacques Jaussaud & Sophie Nivoix & Serge Rey, 2015. "The Great East Japan Earthquake and Stock Prices," Economics Bulletin, AccessEcon, vol. 35(2), pages 1237-1261.
    43. Cody Yu-Ling Hsiao & James Morley, 2015. "Debt and Financial Market Contagion," Discussion Papers 2015-02, School of Economics, The University of New South Wales.
    44. Pedro Nielsen Rotta & Pedro L. Valls Pereira, 2016. "Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching," Applied Economics, Taylor & Francis Journals, vol. 48(25), pages 2367-2382, May.
    45. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
    46. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    47. Mehmet Balcilar & Riza Demirer, 2022. "U.S. monetary policy and the predictability of global economic synchronization patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 473-492, July.
    48. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    49. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    50. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach," Working Papers 201915, University of Pretoria, Department of Economics.
    51. Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019. "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 343-366, January.
    52. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
    53. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    54. Paravee Maneejuk & Nootchanat Pirabun & Suphawit Singjai & Woraphon Yamaka, 2021. "Currency Hedging Strategies Using Histogram-Valued Data: Bivariate Markov Switching GARCH Models," Mathematics, MDPI, vol. 9(21), pages 1-20, November.
    55. Li, Fuchun & Zhu, Hui, 2014. "Testing for financial contagion based on a nonparametric measure of the cross-market correlation," Review of Financial Economics, Elsevier, vol. 23(3), pages 141-147.
    56. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
    57. Lee, Hsiang-Tai, 2010. "Regime switching correlation hedging," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2728-2741, November.
    58. Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
    59. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).

  81. Massimiliano Caporin, 2003. "Identification of long memory in GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(2), pages 133-151, December.

    Cited by:

    1. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    2. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
    3. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
    4. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 245-271, September.

  82. Stefano Bertelli & Massimiliano Caporin, 2002. "A note on calculating autocovariances of long‐memory processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 503-508, September.

    Cited by:

    1. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
    2. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
    3. Ladislav Kristoufek, 2014. "On the interplay between short and long term memory in the power-law cross-correlations setting," Papers 1409.6444, arXiv.org, revised Dec 2014.
    4. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, Department of Economics and Business Economics, Aarhus University.
    5. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, University Library of Munich, Germany.
    6. Richard Hunt & Shelton Peiris & Neville Weber, 2022. "Estimation methods for stationary Gegenbauer processes," Statistical Papers, Springer, vol. 63(6), pages 1707-1741, December.

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