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Massimiliano Caporin

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Personal Details

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

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Affiliation

Dipartimento di Scienze Economiche "Marco Fanno"
Università degli Studi di Padova
Location: Padova, Italy
Homepage: http://www.decon.unipd.it/
Email:
Phone: +39 +49 8274210
Fax: +39 +49 827.4211
Postal: via del Santo, 33 - 35122 Padova
Handle: RePEc:edi:dspadit (more details at EDIRC)

Works

as in new window

Working papers

  1. 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.
  2. 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.
  3. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, School of Economics and Management, University of Aarhus.
  4. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  5. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, School of Economics and Management, University of Aarhus.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 13/16, University of Canterbury, Department of Economics and Finance.
  11. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper, Norges Bank 2012/05, Norges Bank.
  13. Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 12/06, University of Canterbury, Department of Economics and Finance.
  14. Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
  15. Loriana Pelizzon & Massimiliano Caporin, 2012. "Market volatility, optimal portfolios and naive asset allocations," Working Papers 2012_08, Department of Economics, University of Venice "Ca' Foscari".
  16. M. Caporin & A. Lanzavecchia & V. Lippoli, 2012. "I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti," Economics Department Working Papers 2012-EF01, Department of Economics, Parma University (Italy).
  17. 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".
  18. 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.
  19. 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".
  20. 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".
  21. 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".
  22. Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics Discussion Papers 2011-14, Kiel Institute for the World Economy.
  23. Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".
  24. 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".
  25. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 11/23, University of Canterbury, Department of Economics and Finance.
  26. Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
  27. 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.
  28. 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".
  29. Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
  30. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 10/34, University of Canterbury, Department of Economics and Finance.
  31. 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.
  32. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009. "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo.
  33. Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 0905, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  34. Massimiliano Caporin & Paolo Paruolo, 2009. "Structured Multivariate Volatility Models," "Marco Fanno" Working Papers 0091, Dipartimento di Scienze Economiche "Marco Fanno".
  35. Massimiliano Caporin & Francesco Lisi, 2009. "Comparing and selecting performance measures for ranking assets," "Marco Fanno" Working Papers 0099, Dipartimento di Scienze Economiche "Marco Fanno".
  36. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 0904, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  37. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
  38. Massimiliano Caporin & Juliusz Pres, 2008. "Forecasting temperature indices with timevarying long-memory models," "Marco Fanno" Working Papers 0088, Dipartimento di Scienze Economiche "Marco Fanno".
  39. 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".
  40. 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".
  41. 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".
  42. 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".
  43. Massimiliano Caporin & Domenico Sartore, 2006. "Methodological aspects of time series back-calculation," Working Papers 2006_56, Department of Economics, University of Venice "Ca' Foscari".
  44. Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0509, Department of Economics, University of Insubria.
  45. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0501, Department of Economics, University of Insubria.

Articles

  1. 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, Elsevier, vol. 31(C), pages 159-177.
  2. Caporin, Massimiliano & McAleer, Michael, 2014. "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 172-185.
  3. Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 556-576.
  4. 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, 07.
  5. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(4), pages 706-742, September.
  6. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 94(C), pages 205-222.
  7. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, Elsevier, vol. 24(C), pages 121-137.
  8. 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, Elsevier, vol. 37(12), pages 5132-5146.
  9. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 115-126, June.
  10. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 25(C), pages 261-275.
  11. 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, Elsevier, vol. 26(C), pages 236-249.
  12. Massimiliano Caporin & Paolo Santucci de Magistris, 2012. "On the evaluation of marginal expected shortfall," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(2), pages 175-179, February.
  13. Caporin, Massimiliano & PreÅ›, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, Elsevier, vol. 34(5), pages 1700-1712.
  14. 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, Wiley Blackwell, vol. 26(4), pages 736-751, 09.
  15. 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, Taylor & Francis Journals, vol. 18(9), pages 761-774, October.
  16. Caporin, Massimiliano & PreÅ›, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3459-3476.
  17. Francesco Lisi & Massimiliano Caporin, 2012. "On the role of risk in the Morningstar rating for mutual funds," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(10), pages 1477-1486, October.
  18. Caporin, Massimiliano & Lisi, Francesco, 2011. "Comparing and selecting performance measures using rank correlations," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 5(10), pages 1-34.
  19. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, 05.
  20. Billio, Monica & Caporin, Massimiliano, 2010. "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2443-2458, November.
  21. Massimiliano Caporin & Francesco Lisi, 2010. "Misspecification tests for periodic long memory GARCH models," Statistical Methods and Applications, Springer, Springer, vol. 19(1), pages 47-62, March.
  22. Massimiliano Caporin & Michael McAleer, 2010. "The Ten Commandments For Managing Investments," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 24(1), pages 196-200, 02.
  23. Massimiliano Caporin & Michael McAleer, 2010. "A Scientific Classification Of Volatility Models," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 24(1), pages 192-195, 02.
  24. Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2566-2578.
  25. Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
  26. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.
  27. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(12), pages 5900-5912, August.
  28. Massimiliano Caporin, 2007. "Variance (Non) Causality in Multivariate GARCH," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(1), pages 1-24.
  29. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2007(3), pages 333-366.
  30. Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 385-412.
  31. 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, Taylor and Francis Journals, vol. 2(2), pages 123-130, March.

NEP Fields

66 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2012-03-14 2012-07-23 2013-06-16
  2. NEP-BEC: Business Economics (1) 2011-06-11
  3. NEP-CBA: Central Banking (4) 2012-03-14 2012-04-17 2012-12-22 2013-02-03
  4. NEP-CFN: Corporate Finance (1) 2011-07-13
  5. NEP-CSE: Economics of Strategic Management (1) 2012-05-02
  6. NEP-ECM: Econometrics (23) 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 2009-08-22 2010-01-10 2010-02-13 2010-05-29 2010-06-04 2010-09-25 2011-05-24 2011-06-04 2011-06-11 2012-03-14 2012-04-17 2013-03-30 2013-06-16 2014-09-08. Author is listed
  7. NEP-EEC: European Economics (3) 2012-04-17 2012-12-22 2013-02-03
  8. NEP-EFF: Efficiency & Productivity (1) 2009-05-16
  9. NEP-ENE: Energy Economics (3) 2010-01-23 2010-10-09 2011-04-02
  10. NEP-ETS: Econometric Time Series (30) 2007-01-13 2007-01-23 2008-03-15 2008-04-04 2009-03-22 2009-08-22 2010-01-10 2010-02-13 2010-05-22 2010-05-22 2010-05-29 2010-06-04 2010-06-04 2010-09-18 2010-09-18 2010-09-25 2010-10-02 2010-12-11 2011-04-02 2011-05-24 2011-06-04 2011-06-11 2011-07-02 2012-03-14 2012-04-17 2012-04-17 2012-05-15 2013-03-30 2013-04-06 2013-06-16. Author is listed
  11. NEP-FMK: Financial Markets (3) 2007-01-23 2011-11-21 2012-05-02
  12. NEP-FOR: Forecasting (19) 2009-02-14 2010-01-23 2010-06-04 2010-09-18 2010-09-25 2010-10-02 2011-04-02 2011-05-24 2011-06-11 2011-07-02 2011-11-21 2012-03-14 2012-03-14 2012-04-17 2012-04-17 2012-05-02 2012-05-02 2012-05-15 2013-06-16. Author is listed
  13. NEP-GEO: Economic Geography (1) 2007-01-23
  14. NEP-IFN: International Finance (1) 2012-04-17
  15. NEP-MAC: Macroeconomics (4) 2008-02-09 2012-04-17 2012-12-22 2013-02-03
  16. NEP-MST: Market Microstructure (4) 2011-05-24 2012-02-20 2013-10-25 2014-06-22
  17. NEP-OPM: Open Economy Macroeconomics (1) 2012-12-22
  18. NEP-ORE: Operations Research (7) 2010-09-25 2010-10-02 2011-04-02 2011-05-24 2012-03-14 2012-04-17 2013-06-16. Author is listed
  19. NEP-RMG: Risk Management (12) 2010-09-25 2010-10-02 2011-04-02 2011-10-09 2012-02-20 2012-03-14 2012-04-17 2012-05-02 2012-07-23 2013-06-16 2013-11-02 2014-09-05. Author is listed
  20. NEP-SEA: South East Asia (1) 2008-02-09
  21. NEP-URE: Urban & Real Estate Economics (1) 2007-01-13

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