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Massimiliano Caporin

Personal Details

First Name:Massimiliano
Middle Name:
Last Name:Caporin
Suffix:
RePEc Short-ID:pca441
[This author has chosen not to make the email address public]
Department of Statstical Sciences University of Padova Via Cesare Battisti, 241 35121 Padova Italy
+390498274199
Terminal Degree:2003 Dipartimento di Economia; Università Ca' Foscari Venezia (from RePEc Genealogy)

Affiliation

(66%) Università degli Studi di Padova - Dipartimento di Scienze Statistiche


http://www.stat.unipd.it/
Italy, Padova
Via Cesare Battisti, 241 - 35121 Padova
+39 049 827 4168

Research output

as
Jump to: Working papers Articles

Working papers

  1. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
  2. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • 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. 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.
    • 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).
    • 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.
    • 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 & 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 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. 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.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • 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.
    • 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.
  3. Massimiliano Caporin & Petre Caraiani & Oguzhan Cepni & Rangan Gupta, 2024. "Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks," Working Papers 202407, University of Pretoria, Department of Economics.
  4. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
  5. 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.
  6. 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".
  7. 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".
  8. 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.
  9. 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.
  10. 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.
  11. Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega?”," Post-Print hal-02312145, HAL.
  12. 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.
  13. 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.
  14. 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.
  15. Massimiliano Caporin & Loriana Pelizzon & Alberto Plazzi, 2017. "Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets," Swiss Finance Institute Research Paper Series 17-47, Swiss Finance Institute.
  16. 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.
  17. 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".
  18. Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.
  19. 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.
  20. 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".
  21. 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".
  22. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
  23. 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.
  24. 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".
  25. 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".
  26. Massimiliano Caporin & Rangan Gupta, 2014. "Time-Varying Persistence in US Inflation," Working Papers 201457, University of Pretoria, Department of Economics.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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".
  41. Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
  42. 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).
  43. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.
  44. 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.
  45. 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".
  46. 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.
  47. 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".
  48. Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".
  49. 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".
  50. 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".
  51. 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).
  52. 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".
  53. 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.
  54. 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".
  55. 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.
  56. 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".
  57. 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.
  58. 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.
  59. 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.
  60. 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.
  61. Massimiliano Caporin & Francesco Lisi, 2009. "Comparing and selecting performance measures for ranking assets," "Marco Fanno" Working Papers 0099, Dipartimento di Scienze Economiche "Marco Fanno".
  62. 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.
  63. Massimiliano Caporin & Paolo Paruolo, 2009. "Structured Multivariate Volatility Models," "Marco Fanno" Working Papers 0091, Dipartimento di Scienze Economiche "Marco Fanno".
  64. 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.
  65. 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.
  66. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
  67. Massimiliano Caporin & Juliusz Pres, 2008. "Forecasting temperature indices with timevarying long-memory models," "Marco Fanno" Working Papers 0088, Dipartimento di Scienze Economiche "Marco Fanno".
  68. 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".
  69. 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".
  70. 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".
  71. Massimiliano Caporin & Domenico Sartore, 2006. "Methodological aspects of time series back-calculation," Working Papers 2006_56, Department of Economics, University of Venice "Ca' Foscari".
  72. 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.
  73. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.

Articles

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • 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. 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.
    • 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).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • 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.
    • 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 & 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 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. 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.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • 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.
    • 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.
  2. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  3. Bonaccolto, Giovanni & Caporin, Massimiliano & Iacopini, Matteo, 2024. "Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment," Energy Economics, Elsevier, vol. 132(C).
  4. Massimiliano Caporin & Fulvio Fontini & Rocco Romaniello, 2024. "The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices," The Energy Journal, , vol. 45(2), pages 137-187, March.
  5. Runfeng Yang & Massimiliano Caporin & Juan-Angel Jiménez-Martin, 2024. "Measuring Climate Transition Risk Spillovers," Review of Finance, European Finance Association, vol. 28(2), pages 447-481.
  6. Massimiliano Caporin & Arusha Cooray & Bekhzod Kuziboev & Inomjon Yusubov, 2024. "New insights on the environmental Kuznets curve (EKC) for Central Asia," Empirical Economics, Springer, vol. 66(5), pages 2335-2354, May.
  7. Setoudehtazangi, F. & Manouchehri, T. & Nematollahi, A.R. & Caporin, M., 2024. "Time series clustering based on latent volatility mixture modeling with applications in finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 223(C), pages 543-564.
  8. Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024. "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, vol. 67(1), pages 31-45, July.
  9. Massimiliano Caporin, 2023. "The Role of Jumps in Realized Volatility Modeling and Forecasting," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1143-1168.
  10. 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.
  11. 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).
  12. 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.
  13. 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.
  14. Massimiliano Caporin & Mohammed Elseidi, 2023. "Quantile regression-based seasonal adjustment," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 13(3), pages 270-304.
  15. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
  16. Massimiliano Caporin & Syed Jawad Hussain Shahzad, 2023. "Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves," Finance, Presses universitaires de Grenoble, vol. 44(3), pages 154-198.
  17. Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano, 2023. "Asymmetric and time-frequency based networks of currency markets," Finance Research Letters, Elsevier, vol. 55(PB).
  18. 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).
  19. Massimiliano Caporin & Mikhail Stolbov & Maria Shchepeleva, 2022. "What drives the expansion of research on banking crises? Cross-country evidence," Applied Economics, Taylor & Francis Journals, vol. 54(52), pages 6054-6064, November.
  20. 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.
  21. Massimiliano Caporin, 2022. "Statistical Analysis of Financial Data: with Examples In R," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(1), pages 432-433, January.
  22. 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).
  23. 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).
  24. 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).
  25. 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).
  26. Anna Gloria Billé & Massimiliano Caporin, 2022. "Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects," Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-21, December.
  27. 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).
  28. 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).
  29. 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).
  30. 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).
  31. 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.
  32. G. Bonaccolto & M. Caporin & N. Zambon, 2021. "Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements," The European Journal of Finance, Taylor & Francis Journals, vol. 27(11), pages 1098-1116, July.
  33. 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.
  34. Ahmed Khalif & Massimiliano Caporin & Michele Costola & Shawkat Hammoudeh, 2021. "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, , vol. 42(6), pages 247-274, November.
  35. Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021. "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, vol. 42(C).
  36. Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba, 2020. "Analytical Gradients of Dynamic Conditional Correlation Models," JRFM, MDPI, vol. 13(3), pages 1-21, March.
  37. 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.
  38. Massimiliano Caporin & Giuseppe Storti, 2020. "Financial Time Series: Methods and Models," JRFM, MDPI, vol. 13(5), pages 1-3, April.
  39. Shahzad, Syed Jawad Hussain & Caporin, Massimiliano, 2020. "On the volatilities of tourism stocks and oil," Annals of Tourism Research, Elsevier, vol. 81(C).
  40. 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.
  41. 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.
  42. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).
  43. 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.
  44. 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).
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  56. 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.
  57. Massimilano Caporin & Paolo Paruolo, 2017. "Correction of Caporin and Paruolo (2015)," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 493-493, April.
  58. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
  59. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
  60. Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
  61. 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.
  62. 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.
  63. Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.
  64. 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.
  65. 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.
  66. 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.
  67. 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.
  68. 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.
  69. 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.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. 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.
  78. 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.
  79. 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.
  80. 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.
  81. 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.
  82. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  83. 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.
  84. 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.
  85. 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.
  86. 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.
  87. 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.
  88. 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.
  89. 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.
  90. 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.
  91. Massimiliano Caporin & Michael McAleer, 2010. "The Ten Commandments For Managing Investments," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 196-200, February.
  92. 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.
  93. 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.
  94. Massimiliano Caporin & Michael McAleer, 2010. "A Scientific Classification Of Volatility Models," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 192-195, February.
  95. Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
  96. 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.
  97. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549.
  98. 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.
  99. 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.
  100. Massimiliano Caporin, 2007. "Variance (Non) Causality in Multivariate GARCH," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 1-24.
  101. Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 385-412.
  102. 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.
  103. 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.
  104. 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.
    RePEc:taf:apfelt:v:2:y:2006:i:2:p:123-130 is not listed on IDEAS

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 99 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (38) 2007-01-13 2007-01-23 2008-03-15 2008-04-04 2009-03-22 2009-08-22 2010-01-10 2010-02-13 2010-04-17 2010-05-22 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 2010-10-23 2010-12-11 2011-04-02 2011-05-24 2011-06-04 2011-06-11 2011-07-02 2011-07-13 2012-03-14 2012-04-17 2012-04-17 2012-05-15 2013-03-30 2013-04-06 2013-06-16 2014-09-29 2015-03-05 2020-07-27 2024-01-29. Author is listed
  2. NEP-ECM: Econometrics (30) 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 2010-01-10 2010-02-13 2010-05-22 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 2014-09-29 2015-03-05 2017-02-19 2018-09-24 2024-01-29. Author is listed
  3. NEP-RMG: Risk Management (26) 2009-07-03 2010-09-25 2010-10-02 2010-10-23 2011-04-02 2011-10-09 2012-02-20 2012-03-14 2012-04-17 2012-05-02 2012-07-23 2013-11-02 2014-09-05 2014-09-29 2015-02-05 2015-02-16 2015-04-25 2015-07-04 2015-09-05 2016-03-23 2016-10-23 2017-02-19 2017-07-02 2020-07-27 2021-08-16 2022-10-03. Author is listed
  4. NEP-FOR: Forecasting (23) 2009-02-14 2010-01-23 2010-05-22 2010-06-04 2010-09-18 2010-09-25 2010-10-02 2011-04-02 2011-05-24 2011-06-11 2011-07-02 2011-07-13 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 2015-02-05 2015-09-18. Author is listed
  5. NEP-ENE: Energy Economics (11) 2010-01-23 2010-10-09 2011-04-02 2015-09-05 2016-02-12 2017-07-02 2018-01-22 2020-04-06 2021-09-06 2022-10-03 2024-04-08. Author is listed
  6. NEP-ORE: Operations Research (11) 2010-09-25 2010-10-02 2011-04-02 2011-05-24 2012-03-14 2012-04-17 2013-06-16 2014-09-29 2015-02-05 2017-02-19 2020-07-27. Author is listed
  7. NEP-CBA: Central Banking (9) 2012-03-14 2012-04-17 2012-12-22 2013-02-03 2014-11-07 2015-06-13 2017-08-20 2018-08-27 2020-05-25. Author is listed
  8. NEP-MAC: Macroeconomics (9) 2008-02-09 2012-04-17 2012-12-22 2013-02-03 2014-11-07 2015-06-13 2018-08-27 2020-04-06 2020-05-25. Author is listed
  9. NEP-EEC: European Economics (7) 2012-04-17 2012-12-22 2013-02-03 2015-06-13 2016-03-23 2017-08-20 2020-05-25. Author is listed
  10. NEP-FMK: Financial Markets (6) 2007-01-23 2011-11-21 2012-05-02 2014-10-13 2016-02-12 2024-04-08. Author is listed
  11. NEP-MST: Market Microstructure (5) 2011-05-24 2012-02-20 2013-10-25 2014-06-22 2016-10-23. Author is listed
  12. NEP-BAN: Banking (4) 2012-03-14 2012-07-23 2017-07-02 2017-08-20
  13. NEP-MON: Monetary Economics (4) 2014-11-07 2018-08-27 2020-05-25 2024-01-29
  14. NEP-NET: Network Economics (4) 2016-03-23 2017-02-19 2020-07-27 2021-08-16
  15. NEP-EXP: Experimental Economics (3) 2021-12-06 2022-02-21 2022-03-14
  16. NEP-ARA: MENA - Middle East and North Africa (2) 2017-07-02 2020-04-06
  17. NEP-IFN: International Finance (2) 2012-04-17 2020-05-25
  18. NEP-ISF: Islamic Finance (2) 2021-08-16 2021-09-06
  19. NEP-OPM: Open Economy Macroeconomics (2) 2012-12-22 2015-06-13
  20. NEP-SEA: South East Asia (2) 2008-02-09 2021-12-06
  21. NEP-UPT: Utility Models and Prospect Theory (2) 2014-10-13 2015-06-20
  22. NEP-URE: Urban and Real Estate Economics (2) 2007-01-13 2019-03-11
  23. NEP-BEC: Business Economics (1) 2011-06-11
  24. NEP-CFN: Corporate Finance (1) 2011-07-13
  25. NEP-CSE: Economics of Strategic Management (1) 2012-05-02
  26. NEP-EFF: Efficiency and Productivity (1) 2009-05-16
  27. NEP-ENV: Environmental Economics (1) 2024-04-08
  28. NEP-EUR: Microeconomic European Issues (1) 2018-01-22
  29. NEP-GEO: Economic Geography (1) 2007-01-23
  30. NEP-GER: German Papers (1) 2014-09-29
  31. NEP-MFD: Microfinance (1) 2015-03-05
  32. NEP-REG: Regulation (1) 2018-01-22
  33. NEP-RES: Resource Economics (1) 2024-04-08

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