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 0 0 0 87 0 0 0 188
A Survey on the Four Families of Performance Measures 0 0 0 0 0 0 0 62
A Survey on the Four Families of Performance Measures 0 0 0 0 0 0 0 13
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 0 0 1 210 0 0 1 582
A multilevel factor approach for the analysis of CDS commonality and risk contribution 0 0 2 22 1 1 5 81
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? 0 0 1 31 0 0 1 79
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? 0 0 1 13 0 0 1 67
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? 0 1 2 44 0 4 14 177
Asset Allocation Strategies Based On Penalized Quantile Regression 0 1 1 39 0 1 3 138
Asset Allocation Strategies Based on Penalized Quantile Regression 0 0 0 21 0 0 0 53
Backward/forward optimal combination of performance measures for equity screening 0 0 0 30 0 0 0 152
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 1 109
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 0 1 105
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 0 0 0 115
CDS Industrial Sector Indices, credit and liquidity risk 0 0 0 66 0 0 0 223
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 0 25 0 0 1 111
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 1 2 124
Comparing and selecting performance measures for ranking assets 0 0 0 67 0 0 0 239
Comparing and selecting performance measures using rank correlations 0 0 1 31 0 0 1 152
Conditional jumps in volatility and their economic determinants 0 2 4 62 0 2 4 195
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach 0 0 1 56 0 1 7 210
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach 0 0 0 15 0 1 5 117
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 0 0 1 31 0 0 3 101
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 0 0 0 6 0 0 2 55
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 0 0 0 82 0 0 1 414
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 44 0 0 0 100
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 10 0 5 9 101
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 101 0 0 1 238
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 1 1 32 0 2 3 154
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 60 0 0 0 143
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 1 40 0 0 3 408
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 148 0 0 3 484
Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets 0 0 1 30 0 0 3 186
Does monetary policy impact international market co-movements? 0 0 0 43 0 0 1 80
Dynamic Large Financial Networks via Conditional Expected Shortfalls 0 0 2 13 1 2 5 27
Dynamic Principal Components: a New Class of Multivariate GARCH Models 0 0 4 101 0 3 10 223
Ensemble properties of high frequency data and intraday trading rules 0 0 0 36 0 1 2 112
Estimation and model-based combination of causality networks 1 1 1 43 1 2 9 93
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 11 0 0 0 96
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 1 1 1 101
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 0 0 0 97
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 0 0 133
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 2 82
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 0 1 78
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 0 0 1 253
Forecasting temperature indices with timevarying long-memory models 0 0 0 82 0 0 1 291
I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti 0 1 1 52 0 2 2 177
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 0 0 0 140 0 0 1 406
Market volatility, optimal portfolios and naive asset allocations 0 0 0 65 0 0 8 214
Measuring Sovereign Contagion in Europe 0 0 0 133 0 2 5 290
Measuring Sovereign Contagion in Europe 0 0 0 124 0 0 2 200
Measuring sovereign contagion in Europe 0 0 0 257 0 0 7 643
Measuring sovereign contagion in Europe 0 0 0 59 0 0 1 163
Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 0 0 0 77 0 0 9 186
Methodological aspects of time series back-calculation 0 0 0 64 0 1 3 270
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options 0 0 2 115 0 2 10 274
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 48 0 1 1 161
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 32 0 0 2 85
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 66 3 5 11 365
Model based Monte Carlo pricing of energy and temperature quanto options 0 0 0 61 0 1 2 153
Modeling and forecasting realized range volatility 0 0 0 107 0 0 4 164
Modelling and forecasting wind speed intensity for weather risk management 0 0 0 197 0 1 1 732
Multi-jumps 0 0 0 58 0 0 0 142
Multi-jumps 0 1 1 20 0 1 4 178
Multivariate ARCH with spatial effects for stock sector and size 0 0 0 126 0 1 1 238
Networks in risk spillovers: A multivariate GARCH perspective 0 0 3 44 0 0 9 63
Networks in risk spillovers: A multivariate GARCH perspective 0 0 0 41 0 0 7 117
Networks in risk spillovers: a multivariate GARCH perspective 0 0 1 109 0 0 8 297
Non-Standard Errors 0 0 0 18 0 2 4 22
Non-Standard Errors 0 1 7 40 4 9 68 321
Non-Standard Errors 0 0 1 41 6 16 80 392
Non-Standard Errors 0 0 0 7 1 1 5 31
Non-Standard Errors 1 1 3 24 48 55 65 117
Nowcasting Inflation at Quantiles: Causality from Commodities 7 16 59 59 9 23 76 76
Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa 1 1 2 21 3 6 16 70
On the (Ab)Use of Omega? 0 0 0 0 0 1 3 73
On the (Ab)Use of Omega? 0 0 0 56 0 0 2 221
On the (Ab)use of Omega ? 0 0 0 0 0 0 1 1
On the (Ab)use of Omega? 0 0 0 0 2 2 2 20
On the Predictability of Stock Prices: A Case for High and Low Prices 0 1 1 57 0 2 7 268
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 0 0 1 159
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 18 0 0 0 122
Option pricing with non-Gaussian scaling and infinite-state switching volatility 0 0 0 12 0 0 2 59
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 46 0 1 6 147
Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks 1 6 6 6 3 8 8 8
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 1 29 0 0 3 79
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 41 0 0 4 209
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 48 0 0 1 169
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 51 0 0 1 147
Ranking Multivariate GARCH Models by Problem Dimension 0 1 2 50 0 2 9 124
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 0 76 0 0 2 110
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 1 51 0 0 4 125
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 0 33 0 0 1 125
Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation 0 0 0 43 0 0 1 209
Ranking multivariate GARCH models by problem dimension 0 0 0 77 0 0 1 205
Rational learning for risk-averse investors by conditioning on behavioral choices 0 0 0 27 0 0 1 110
Risk Spillovers in International Equity Portfolios 0 0 0 10 0 0 1 72
Risk spillovers in international equity portfolios 0 0 0 57 1 1 2 188
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 49 0 0 0 116
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 17 1 1 2 93
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 4 0 1 1 76
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 58 0 0 1 245
Spatial effects in multivariate ARCH 0 0 1 136 0 0 1 293
Structured Multivariate Volatility Models 0 0 0 113 1 1 2 249
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 74 2 3 7 200
Systemic co-jumps 0 0 0 48 0 5 9 152
Systemic risk for financial institutions of major petroleum-based economies: The role of oil 0 0 0 55 0 0 2 84
Ten Things You Should Know About DCC 0 1 1 3 1 2 3 65
Ten Things You Should Know About DCC 0 0 0 39 0 1 2 70
Ten Things You Should Know About DCC 0 0 0 39 0 0 1 168
Ten Things You Should Know About DCC 0 0 0 87 0 0 1 163
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 10 0 0 1 118
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 15 0 0 1 133
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 1 31 0 0 1 103
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 3 0 0 2 83
Ten Things you should know about DCC 0 0 0 8 0 0 2 77
Ten Things you should know about the Dynamic Conditional Correlation Representation 0 0 0 28 0 0 2 197
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 1 53 0 0 2 93
The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk 0 0 0 48 0 3 3 125
The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution 0 0 0 66 0 0 2 165
The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises 0 0 0 50 0 0 0 136
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification 0 0 1 90 0 1 7 335
The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland 0 1 7 31 1 8 24 91
The systemic risk of US oil and natural gas companies 0 0 0 14 0 0 1 27
Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH 0 0 0 31 0 0 2 116
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 2 1 1 2 70
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 11 0 0 3 104
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 141 1 2 2 346
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 37 0 0 1 147
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 14 0 0 4 99
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 35 0 0 0 106
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 14 0 0 2 107
Time-Varying Persistence in US Inflation 0 0 0 37 0 0 0 162
Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators 0 0 0 66 0 0 0 234
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 0 0 0 153 0 0 4 459
Volatility jumps and their economic determinants 0 3 4 69 0 4 5 144
Total Working Papers 11 40 132 7,010 92 206 688 22,590


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management 1 1 3 19 1 1 3 83
A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance 0 1 7 73 3 9 29 290
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS 0 0 0 26 0 1 1 145
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES 0 0 1 32 1 3 10 138
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 0 0 49
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 0 0 2 10 0 0 4 75
A multilevel factor approach for the analysis of CDS commonality and risk contribution 1 2 2 8 2 3 6 35
A note on calculating autocovariances of long‐memory processes 0 0 0 0 0 0 1 16
Analytical Gradients of Dynamic Conditional Correlation Models 0 1 1 11 0 1 1 62
Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic 0 1 1 1 3 4 7 7
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? 0 0 2 21 0 1 4 217
Asset allocation strategies based on penalized quantile regression 0 0 0 3 0 0 1 44
Asymmetric and time-frequency based networks of currency markets 0 0 1 1 0 0 1 1
Asymmetric and time-frequency spillovers among commodities using high-frequency data 0 0 1 14 0 0 5 37
Asymmetry and leverage in GARCH models: a News Impact Curve perspective 1 1 3 16 1 1 6 60
Backward/forward optimal combination of performance measures for equity screening 0 0 0 5 0 0 0 50
Building News Measures from Textual Data and an Application to Volatility Forecasting 0 0 0 12 0 0 1 105
Chasing volatility 0 0 2 20 0 1 5 96
Comparing and selecting performance measures using rank correlations 0 0 0 17 0 0 0 171
Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach 0 0 3 18 1 3 13 53
Correction of Caporin and Paruolo (2015) 0 0 0 8 0 0 1 89
Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises 0 0 0 12 0 1 2 83
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS 0 0 1 43 1 2 4 163
Dating EU15 monthly business cycle jointly using GDP and IPI 0 0 0 37 0 0 0 184
Decomposing and backtesting a flexible specification for CoVaR 0 1 3 9 0 2 9 49
Do structural breaks in volatility cause spurious volatility transmission? 0 0 0 20 1 3 7 95
Dynamic Asymmetric GARCH 3 3 3 96 3 3 5 266
Dynamic large financial networks via conditional expected shortfalls 0 0 1 3 0 0 4 12
Dynamic network analysis of North American financial institutions 0 0 0 0 0 0 4 13
Ensemble properties of high-frequency data and intraday trading rules 0 0 0 7 0 0 0 30
Equity and CDS sector indices: Dynamic models and risk hedging 0 0 3 26 0 0 4 125
Estimation and model-based combination of causality networks among large US banks and insurance companies 1 4 15 26 3 7 34 91
Fast clustering of GARCH processes via Gaussian mixture models 0 0 1 6 0 0 2 53
Financial Time Series: Methods and Models 0 0 1 11 0 1 3 28
Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models 0 0 0 0 0 0 0 76
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 0 0 0 63
Generalised long-memory GARCH models for intra-daily volatility 1 1 1 51 1 1 1 148
Has the EU-ETS Financed the Energy Transition of the Italian Power System? 0 0 0 2 1 1 1 5
Identification of long memory in GARCH models 0 0 1 5 0 0 2 29
Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects 0 0 0 1 0 0 0 6
Is the Korean housing market following Gangnam style? 0 0 3 5 1 3 6 21
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 0 0 0 75 0 1 1 261
Measuring Climate Transition Risk Spillovers 4 5 5 5 5 8 8 8
Measuring sovereign contagion in Europe 0 0 9 41 0 5 23 181
Measuring systemic risk during the COVID-19 period: A TALIS3 approach 0 1 2 3 1 2 4 23
Misspecification tests for periodic long memory GARCH models 0 0 0 14 0 0 1 68
Model based Monte Carlo pricing of energy and temperature Quanto options 0 1 4 30 0 1 6 124
Modelling and forecasting wind speed intensity for weather risk management 0 0 2 14 0 0 2 75
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements 0 1 2 4 0 1 6 14
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 0 0 0 5 0 0 1 44
Networks in risk spillovers: A multivariate GARCH perspective 1 1 2 2 1 1 5 5
New insights on the environmental Kuznets curve (EKC) for Central Asia 0 1 1 1 18 22 22 22
News and intraday jumps: Evidence from regularization and class imbalance 2 2 3 7 2 2 4 12
Not all words are equal: Sentiment and jumps in the cryptocurrency market 0 0 0 0 4 4 4 4
Omega Compatibility: A Meta-analysis 0 0 1 1 0 0 4 4
On the (Ab)use of Omega? 0 0 0 8 0 1 3 87
On the evaluation of marginal expected shortfall 0 0 1 29 1 1 3 148
On the predictability of stock prices: A case for high and low prices 0 1 1 45 0 1 4 180
On the role of risk in the Morningstar rating for mutual funds 0 0 0 5 0 0 1 30
On the volatilities of tourism stocks and oil 0 0 1 12 0 1 5 57
Option pricing with non-Gaussian scaling and infinite-state switching volatility 0 0 0 5 0 0 0 86
Periodic Long-Memory GARCH Models 0 0 0 73 0 0 1 173
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 0 1 58
Proximity-Structured Multivariate Volatility Models 0 0 0 20 0 0 0 68
Quantile regression-based seasonal adjustment 0 1 2 2 2 3 4 4
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES 0 0 0 3 0 0 0 36
Realized range volatility forecasting: Dynamic features and predictive variables 0 0 1 13 0 0 1 57
Risk spillovers in international equity portfolios 0 0 0 8 0 2 4 96
Robust ranking of multivariate GARCH models by problem dimension 0 0 0 13 0 0 1 87
Scalar BEKK and indirect DCC 0 0 4 123 1 1 12 381
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements 0 0 1 35 0 2 5 147
Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves 0 0 0 0 0 1 1 1
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle 0 0 0 4 0 0 1 41
Statistical Analysis of Financial Data: with Examples In R 0 1 2 13 1 3 4 38
Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil 0 0 1 1 0 1 3 5
Systemic co-jumps 0 2 4 26 1 4 9 111
Systemic risk and severe economic downturns: A targeted and sparse analysis 0 1 6 24 0 3 13 46
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS 0 0 0 21 0 0 0 155
Ten Things You Should Know about the Dynamic Conditional Correlation Representation 0 0 2 55 1 3 10 196
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock 1 1 1 30 2 2 9 139
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective 0 0 0 19 0 0 2 96
The Role of Jumps in Realized Volatility Modeling and Forecasting 0 2 2 2 0 3 3 3
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 0 0 1 44
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk 0 1 1 3 0 1 5 39
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification 0 1 1 2 0 2 7 8
The long-run oil–natural gas price relationship and the shale gas revolution 0 0 1 34 0 0 2 114
The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland 0 1 2 10 1 2 9 24
The relationship between oil prices and rig counts: The importance of lags 0 1 2 36 1 6 18 227
The systemic risk of US oil and natural gas companies 0 0 3 3 0 1 9 10
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH 0 0 0 16 0 0 1 100
Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test 0 0 4 9 1 1 9 24
Time-varying persistence in US inflation 0 0 0 10 0 0 1 78
TrAffic LIght system for systemic Stress: TALIS3 0 1 1 5 0 2 8 34
Variance (Non) Causality in Multivariate GARCH 0 0 0 68 0 0 0 200
Variance clustering improved dynamic conditional correlation MGARCH estimators 0 0 1 8 0 0 1 60
Volatility Jumps and Their Economic Determinants 0 0 1 7 0 1 5 72
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 0 0 1 16 0 0 4 86
What drives the expansion of research on banking crises? Cross-country evidence 0 1 2 3 0 1 2 4
Total Journal Articles 16 43 142 1,729 66 148 460 7,858
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Statistics updated 2024-06-06