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 86 0 1 3 179
A Survey on the Four Families of Performance Measures 0 0 0 0 0 1 4 4
A Survey on the Four Families of Performance Measures 0 0 0 0 0 6 12 51
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 0 0 0 208 0 0 4 575
A multilevel factor approach for the analysis of CDS commonality and risk contribution 1 1 5 19 4 9 35 63
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? 1 1 1 30 3 4 9 71
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? 0 0 0 12 0 0 6 62
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? 0 0 0 39 1 6 16 97
Asset Allocation Strategies Based On Penalized Quantile Regression 1 2 5 26 4 9 26 86
Asset Allocation Strategies Based on Penalized Quantile Regression 0 0 0 21 0 1 10 49
Backward/forward optimal combination of performance measures for equity screening 0 0 0 30 0 0 7 150
Block Structure Multivariate Stochastic Volatility Models 0 0 0 29 0 1 3 91
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 2 9 101
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 1 2 9 102
CDS Industrial Sector Indices, credit and liquidity risk 0 0 1 65 0 1 8 217
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 1 2 22 1 2 9 86
Chasing volatility - A persistent multiplicative error model with jumps 0 0 1 91 0 1 7 120
Comparing and selecting performance measures for ranking assets 1 2 8 64 1 5 16 228
Comparing and selecting performance measures using rank correlations 0 0 0 28 0 0 6 141
Conditional jumps in volatility and their economic determinants 1 1 3 52 1 3 8 172
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach 0 0 6 15 1 4 50 74
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach 3 3 17 46 7 9 68 167
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 0 0 0 6 0 0 3 43
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 0 0 0 29 0 0 6 92
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 0 0 0 81 0 0 2 406
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 2 100 2 2 9 228
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 43 2 2 6 94
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 10 2 8 14 83
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 59 1 1 12 133
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 38 2 14 260 392
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 2 144 2 2 20 458
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 3 31 1 2 36 141
Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets 0 1 2 25 0 9 137 168
Does monetary policy impact international market co-movements? 0 0 33 33 1 12 48 48
Dynamic Principal Components: a New Class of Multivariate GARCH Models 0 0 3 93 2 8 27 191
Ensemble properties of high frequency data and intraday trading rules 0 0 0 34 0 1 6 104
Estimation and model-based combination of causality networks 0 0 2 38 1 4 10 76
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 1 10 2 3 6 93
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 1 6 127
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 6 90
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 1 5 94
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 5 76
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 1 38 0 1 9 76
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 2 81 0 0 5 240
Forecasting temperature indices with timevarying long-memory models 0 0 0 80 1 1 5 281
I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti 0 0 3 50 0 1 14 158
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 1 1 1 138 1 1 9 398
Market volatility, optimal portfolios and naive asset allocations 0 0 1 63 0 0 3 196
Measuring Sovereign Contagion in Europe 0 0 2 122 1 5 24 185
Measuring Sovereign Contagion in Europe 1 2 6 132 1 7 30 274
Measuring sovereign contagion in Europe 0 1 3 56 1 4 22 146
Measuring sovereign contagion in Europe 0 0 1 255 1 2 17 538
Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 0 0 0 76 0 1 9 105
Methodological aspects of time series back-calculation 0 0 1 59 1 1 8 246
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options 0 0 2 113 2 4 13 251
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 32 1 2 8 78
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 48 0 0 5 152
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 1 65 2 49 243 341
Model based Monte Carlo pricing of energy and temperature quanto options 0 0 2 59 0 1 10 147
Modeling and forecasting realized range volatility 0 0 1 102 2 4 8 143
Modelling and forecasting wind speed intensity for weather risk management 1 1 4 191 2 4 11 706
Multi-jumps 0 0 2 19 1 8 21 98
Multi-jumps 0 0 1 58 1 5 20 128
Multivariate ARCH with spatial effects for stock sector and size 0 0 0 124 0 0 7 230
Networks in risk spillovers: A multivariate GARCH perspective 0 0 6 40 0 3 24 66
Networks in risk spillovers: A multivariate GARCH perspective 0 1 34 34 2 4 29 29
Networks in risk spillovers: a multivariate GARCH perspective 0 1 8 102 1 2 23 244
Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa 0 3 13 13 0 8 23 23
On the (Ab)Use of Omega? 0 0 0 0 0 3 13 42
On the (Ab)Use of Omega? 0 0 1 55 1 2 22 199
On the (Ab)use of Omega? 0 0 0 0 0 2 7 7
On the Predictability of Stock Prices: A Case for High and Low Prices 1 1 2 54 1 5 18 239
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 2 83 0 1 20 153
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 2 16 0 3 13 113
Option pricing with non-Gaussian scaling and infinite-state switching volatility 0 1 1 8 0 1 3 45
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 1 45 1 2 12 134
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 1 2 3 26 2 4 10 59
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 48 1 1 7 156
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 51 0 1 9 136
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 45 0 1 5 110
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 41 1 1 9 143
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 0 76 2 3 10 99
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 1 1 33 0 1 13 119
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 1 1 49 0 1 9 111
Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation 0 0 2 42 0 0 8 194
Ranking multivariate GARCH models by problem dimension 0 0 0 77 1 1 8 200
Rational learning for risk-averse investors by conditioning on behavioral choices 0 0 0 26 1 1 5 90
Risk Spillovers in International Equity Portfolios 0 0 0 9 2 2 6 65
Risk spillovers in international equity portfolios 0 0 0 57 0 7 61 175
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 4 1 1 6 66
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 1 17 2 3 12 83
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 1 49 0 0 15 107
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 57 0 1 9 228
Spatial effects in multivariate ARCH 0 0 0 129 0 0 4 276
Structured Multivariate Volatility Models 0 0 0 110 0 0 6 236
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 1 1 72 0 1 11 188
Systemic co-jumps 0 0 8 44 2 8 37 109
Systemic risk for financial institutions of major petroleum-based economies: The role of oil 0 0 4 52 3 5 28 63
Ten Things You Should Know About DCC 0 0 0 2 2 4 13 58
Ten Things You Should Know About DCC 0 0 4 36 3 7 24 152
Ten Things You Should Know About DCC 0 0 0 39 3 4 8 62
Ten Things You Should Know About DCC 0 0 1 86 3 4 11 148
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 1 30 2 3 17 93
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 1 13 2 5 23 111
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 10 3 4 24 94
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 3 2 3 16 74
Ten Things you should know about DCC 0 0 0 8 2 3 7 65
Ten Things you should know about the Dynamic Conditional Correlation Representation 0 0 0 27 2 4 17 186
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 2 52 3 5 22 76
The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk 0 0 0 48 0 3 16 113
The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution 0 1 2 64 4 8 18 138
The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises 0 0 4 48 0 0 13 114
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification 0 1 8 76 4 11 53 191
Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH 0 0 1 26 0 2 10 96
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 11 0 1 5 73
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 1 12 0 4 9 86
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 2 1 2 9 56
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 14 0 2 10 84
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 35 0 4 9 89
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 37 0 1 8 135
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 141 0 2 9 330
Time-Varying Persistence in US Inflation 0 0 0 37 0 1 6 158
Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators 0 0 0 66 3 8 17 212
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 0 0 0 152 1 1 6 444
Volatility jumps and their economic determinants 1 1 2 61 1 2 12 131
Total Working Papers 14 32 250 6,499 125 415 2,337 19,016


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 0 0 1 15 0 3 8 75
A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance 1 3 12 43 2 12 54 176
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES 0 2 4 23 0 3 16 91
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 2 3 5 46
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 0 0 0 8 1 3 10 65
A multilevel factor approach for the analysis of CDS commonality and risk contribution 1 1 1 1 1 2 9 9
A note on calculating autocovariances of long‐memory processes 0 0 0 0 0 1 3 5
Analytical Gradients of Dynamic Conditional Correlation Models 0 0 6 6 0 5 42 42
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? 1 2 8 11 14 23 101 140
Asset allocation strategies based on penalized quantile regression 0 0 0 3 1 4 15 39
Asymmetry and leverage in GARCH models: a News Impact Curve perspective 0 0 3 9 0 2 10 36
Backward/forward optimal combination of performance measures for equity screening 0 0 0 4 1 2 7 47
Building News Measures from Textual Data and an Application to Volatility Forecasting 0 0 1 5 0 3 27 60
Chasing volatility 0 0 3 13 1 4 12 60
Comparing and selecting performance measures using rank correlations 0 0 0 17 1 5 10 164
Correction of Caporin and Paruolo (2015) 0 0 0 8 4 11 25 62
Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises 0 0 2 11 0 1 9 75
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS 0 0 0 40 1 2 15 143
Dating EU15 monthly business cycle jointly using GDP and IPI 0 0 0 36 0 1 4 167
Decomposing and backtesting a flexible specification for CoVaR 1 1 4 4 1 4 22 22
Do structural breaks in volatility cause spurious volatility transmission? 0 1 8 8 1 5 28 28
Dynamic Asymmetric GARCH 0 1 3 92 0 3 11 232
Ensemble properties of high-frequency data and intraday trading rules 0 0 0 6 0 1 7 28
Equity and CDS sector indices: Dynamic models and risk hedging 0 0 1 23 2 3 7 113
Estimation and model-based combination of causality networks among large US banks and insurance companies 0 0 2 2 5 13 25 25
Fast clustering of GARCH processes via Gaussian mixture models 0 0 2 5 0 1 8 47
Financial Time Series: Methods and Models 1 3 7 7 2 6 18 18
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation 0 1 3 559 0 2 18 1,513
Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models 0 0 0 0 1 2 9 76
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 6 0 2 8 58
Generalised long-memory GARCH models for intra-daily volatility 0 0 0 47 0 3 10 138
Identification of long memory in GARCH models 0 0 0 2 0 1 5 19
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 0 0 2 70 2 5 19 239
Measuring sovereign contagion in Europe 1 2 8 21 2 8 38 96
Misspecification tests for periodic long memory GARCH models 0 0 0 13 0 1 3 64
Model based Monte Carlo pricing of energy and temperature Quanto options 0 0 1 22 1 4 15 103
Modelling and forecasting wind speed intensity for weather risk management 1 1 1 11 1 2 5 66
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 0 0 1 2 2 4 13 27
On the (Ab)use of Omega? 0 0 0 3 0 3 17 56
On the evaluation of marginal expected shortfall 0 0 1 24 0 1 5 128
On the predictability of stock prices: A case for high and low prices 0 0 3 37 0 2 19 149
On the role of risk in the Morningstar rating for mutual funds 0 0 2 5 1 5 9 22
On the volatilities of tourism stocks and oil 1 1 5 5 3 8 30 30
Option pricing with non-Gaussian scaling and infinite-state switching volatility 0 0 0 4 1 2 5 77
Periodic Long-Memory GARCH Models 0 0 1 71 0 3 11 165
Precious metals under the microscope: a high-frequency analysis 0 0 2 11 0 5 15 51
Proximity-Structured Multivariate Volatility Models 0 2 2 19 1 6 9 61
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES 1 1 1 3 1 2 12 29
Realized range volatility forecasting: Dynamic features and predictive variables 1 1 2 11 1 2 7 48
Risk spillovers in international equity portfolios 0 0 0 7 1 3 11 66
Robust ranking of multivariate GARCH models by problem dimension 0 1 2 13 1 5 15 73
Scalar BEKK and indirect DCC 0 0 1 114 1 3 11 334
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements 0 2 9 18 2 9 54 88
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle 0 0 0 3 0 2 4 35
Systemic co-jumps 0 0 6 18 2 5 25 81
Ten Things You Should Know about the Dynamic Conditional Correlation Representation 0 0 1 52 1 3 15 172
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock 1 3 13 16 5 13 55 72
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective 0 0 0 15 1 4 16 83
The bank-sovereign nexus: Evidence from a non-bailout episode 1 2 2 2 6 9 23 32
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk 0 0 0 1 0 1 14 28
The long-run oil–natural gas price relationship and the shale gas revolution 0 1 6 20 2 4 17 75
The relationship between oil prices and rig counts: The importance of lags 0 1 8 28 8 13 44 141
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH 0 0 0 16 0 1 4 96
Time-varying persistence in US inflation 0 0 0 6 0 2 6 56
Variance (Non) Causality in Multivariate GARCH 0 0 0 68 0 1 3 195
Variance clustering improved dynamic conditional correlation MGARCH estimators 0 0 1 7 1 3 8 55
Volatility Jumps and Their Economic Determinants 1 1 3 4 2 3 11 22
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 0 0 0 13 2 4 6 70
Total Journal Articles 13 34 155 1,776 92 287 1,132 7,004


Statistics updated 2021-01-03