Access Statistics for Massimiliano Caporin

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Scientific Classification of Volatility Models 1 4 11 11 1 6 14 14
A Scientific Classification of Volatility Models 4 8 33 33 4 13 36 36
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 7 16 52 101 17 34 139 248
Comparing and selecting performance measures for ranking assets 2 3 13 13 8 11 32 32
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 1 9 23 42 3 18 114 193
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 2 6 26 26 2 7 23 23
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 4 36 36 36 7 15 15 15
Forecasting realized (co)variances with a block structure Wishart autoregressive model 1 5 19 19 5 11 20 20
Forecasting temperature indices with timevarying long-memory models 1 3 16 16 3 9 34 34
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 1 6 26 64 6 18 69 142
Methodological aspects of time series back-calculation 0 4 19 26 3 10 58 108
Multivariate ARCH with spatial effects for stock sector and size 1 3 14 67 2 5 26 108
Spatial effects in multivariate ARCH 1 6 26 73 4 11 53 134
Structured Multivariate Volatility Models 2 4 48 48 4 11 50 50
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 4 7 26 26 3 10 24 24
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 1 5 41 100 2 15 76 165
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 2 3 17 65 4 8 47 100
Total Working Papers 35 128 446 766 78 212 830 1,446

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Dynamic Asymmetric GARCH 1 4 14 65 1 6 26 131
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation 11 30 123 392 21 57 309 958
Generalised long-memory GARCH models for intra-daily volatility 3 3 7 25 3 3 15 47
Periodic Long-Memory GARCH Models 3 4 11 11 4 7 22 22
Scalar BEKK and indirect DCC 2 10 39 43 4 14 72 79
Variance (Non) Causality in Multivariate GARCH 1 2 12 36 1 3 31 83
Total Journal Articles 21 53 206 572 34 90 475 1,320

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Statistics updated 2009-11-04