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Information about:
Massimiliano Caporin

Personal Details | Affiliation | Works
This is information that was supplied by Massimiliano Caporin in registering through RePEc. If you are Massimiliano Caporin , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Massimiliano
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Last Name: Caporin
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RePEc Short-ID: pca441

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Affiliation

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Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

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

  2. Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos del Instituto Complutense de Análisis Económico 0905, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
    Other versions:

  3. Massimiliano Caporin & Paolo Paruolo, 2009. "Structured Multivariate Volatility Models," "Marco Fanno" Working Papers 0091, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]

  4. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos del Instituto Complutense de Análisis Económico 0904, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
    Other versions:

  5. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2009. "Forecasting realized (co)variances with a block structure Wishart autoregressive model," Working Papers 2009-3, Swiss National Bank. [Downloadable!]

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

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

  8. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    Other versions:

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

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

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

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

  13. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria. [Downloadable!]

  14. 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. [Downloadable!]

Articles

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

  2. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549. [Downloadable!]

  3. 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. [Downloadable!] (restricted)

  4. Massimiliano Caporin, 2007. "Variance (Non) Causality in Multivariate GARCH," Econometric Reviews, Taylor and Francis Journals, vol. 26(1), pages 1-24. [Downloadable!] (restricted)

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

  6. Monica Billio & Massimiliano Caporin & Michele Gobbo, 2006. "Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 123-130, March. [Downloadable!] (restricted)

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (11) 2007-01-13 2007-01-23 2008-02-09 2008-03-15 2008-04-04 2009-02-14 2009-03-22 2009-03-22 2009-03-22 2009-07-03 2009-08-22 Author is listed
  2. NEP-EFF: Efficiency & Productivity (1) 2009-05-16
  3. NEP-ETS: Econometric Time Series (7) 2007-01-13 2007-01-23 2008-03-15 2008-04-04 2009-03-22 2009-07-03 2009-08-22 Author is listed
  4. NEP-FMK: Financial Markets (1) 2007-01-23
  5. NEP-FOR: Forecasting (2) 2009-02-14 2009-07-03
  6. NEP-GEO: Economic Geography (1) 2007-01-23
  7. NEP-MAC: Macroeconomics (1) 2008-02-09
  8. NEP-RMG: Risk Management (1) 2009-07-03
  9. NEP-SEA: South East Asia (1) 2008-02-09
  10. NEP-URE: Urban & Real Estate Economics (1) 2007-01-13
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This page was last updated on 2009-11-25.

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