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 1 86 0 0 6 171
A Survey on the Four Families of Performance Measures 0 0 0 0 0 2 4 32
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 0 0 1 207 0 0 5 567
A multilevel factor approach for the analysis of CDS commonality and risk contribution 1 2 8 8 2 6 18 18
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? 0 0 8 28 1 4 20 54
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? 0 0 0 12 0 1 8 46
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? 0 0 1 39 0 1 24 72
Asset Allocation Strategies Based On Penalized Quantile Regression 0 1 1 21 1 2 8 59
Asset Allocation Strategies Based on Penalized Quantile Regression 0 0 0 21 3 5 6 38
Backward/forward optimal combination of performance measures for equity screening 0 0 1 30 1 2 6 136
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 5 86
Block Structure Multivariate Stochastic Volatility Models 0 0 1 19 0 1 7 90
Block Structure Multivariate Stochastic Volatility Models 0 0 0 29 0 0 8 85
CDS Industrial Sector Indices, credit and liquidity risk 0 0 1 64 3 5 8 206
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 2 3 4 20 2 3 8 75
Chasing volatility - A persistent multiplicative error model with jumps 0 0 4 90 0 0 11 110
Comparing and selecting performance measures for ranking assets 0 1 1 55 0 1 3 209
Comparing and selecting performance measures using rank correlations 0 0 0 28 0 0 0 135
Conditional jumps in volatility and their economic determinants 0 0 0 49 1 1 5 164
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach 2 3 7 7 2 4 9 9
Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach 2 5 23 23 6 20 68 68
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 0 0 0 28 1 3 7 79
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 0 0 0 6 0 0 2 38
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 0 0 0 81 2 2 3 400
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 10 0 0 5 67
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 0 43 0 0 4 83
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models 0 0 1 98 2 2 8 215
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 27 0 1 11 99
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 38 1 5 12 127
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 0 0 59 0 2 10 117
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 0 1 8 141 3 11 45 422
Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets 1 1 10 22 1 3 19 24
Dynamic Principal Components: a New Class of Multivariate GARCH Models 1 2 5 90 3 7 20 159
Ensemble properties of high frequency data and intraday trading rules 0 0 1 34 3 4 6 93
Estimation and model-based combination of causality networks 1 1 5 33 1 1 11 53
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 9 1 2 3 82
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 2 7 80
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 2 7 88
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 1 7 120
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 1 2 7 70
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 37 1 1 6 64
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 79 1 1 11 231
Forecasting temperature indices with timevarying long-memory models 0 0 1 80 3 3 8 271
I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti 0 1 2 45 1 5 11 138
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 0 0 1 137 2 2 4 383
Market volatility, optimal portfolios and naive asset allocations 0 0 1 61 1 1 5 189
Measuring Sovereign Contagion in Europe 0 1 4 120 0 3 13 231
Measuring Sovereign Contagion in Europe 0 1 2 120 0 1 12 158
Measuring sovereign contagion in Europe 1 1 1 253 1 1 3 516
Measuring sovereign contagion in Europe 0 2 3 50 8 15 26 113
Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 0 0 0 76 0 1 5 91
Methodological aspects of time series back-calculation 0 0 0 58 0 0 1 236
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options 0 0 5 111 2 2 16 227
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 48 2 2 14 142
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 32 1 2 9 62
Model Selection and Testing of Conditional and Stochastic Volatility Models 0 0 0 64 2 4 16 93
Model based Monte Carlo pricing of energy and temperature quanto options 0 0 0 57 1 1 3 130
Modeling and forecasting realized range volatility 0 0 1 101 2 2 6 130
Modelling and forecasting wind speed intensity for weather risk management 0 0 0 186 0 1 6 692
Multi-jumps 0 1 1 17 0 1 5 76
Multi-jumps 0 0 0 57 0 0 2 103
Multivariate ARCH with spatial effects for stock sector and size 0 0 2 124 0 0 3 223
Networks in risk spillovers: A multivariate GARCH perspective 0 1 31 31 0 2 30 30
Networks in risk spillovers: a multivariate GARCH perspective 0 0 6 93 1 2 30 208
On the (Ab)Use of Omega? 0 0 1 54 2 5 12 166
On the (Ab)Use of Omega? 0 0 0 0 1 6 23 23
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 52 0 3 19 216
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 14 2 4 10 97
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 81 2 3 9 128
Option pricing with non-Gaussian scaling and infinite-state switching volatility 0 0 0 6 0 0 3 39
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 1 44 2 4 6 117
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 4 23 1 2 10 43
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 44 1 1 7 101
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 41 1 1 5 132
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 48 2 2 8 142
Ranking Multivariate GARCH Models by Problem Dimension 0 0 0 51 0 0 8 122
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 0 32 0 0 10 100
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 0 48 2 3 10 97
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation 0 0 0 76 1 2 9 82
Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation 0 0 1 40 2 3 12 181
Ranking multivariate GARCH models by problem dimension 0 0 0 77 1 1 11 185
Rational learning for risk-averse investors by conditioning on behavioral choices 1 1 1 26 1 1 5 82
Risk Spillovers in International Equity Portfolios 0 0 0 9 1 1 2 54
Risk spillovers in international equity portfolios 0 0 1 57 2 2 6 109
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 48 1 1 9 89
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 1 57 0 0 13 212
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 1 16 0 1 7 66
Robust Ranking of Multivariate GARCH Models by Problem Dimension 0 0 0 4 0 0 9 57
Spatial effects in multivariate ARCH 0 0 1 129 0 1 3 270
Structured Multivariate Volatility Models 0 0 0 109 1 1 2 228
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 3 70 1 1 9 173
Systemic co-jumps 2 2 5 35 5 9 22 67
Systemic risk for financial institutions of major petroleum-based economies: The role of oil 0 0 1 48 0 2 9 29
Ten Things You Should Know About DCC 0 0 0 84 1 2 8 134
Ten Things You Should Know About DCC 0 0 1 2 0 0 7 43
Ten Things You Should Know About DCC 0 0 0 39 0 0 7 53
Ten Things You Should Know About DCC 0 0 2 32 1 4 18 123
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 3 0 0 6 52
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 1 10 0 1 13 63
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 1 1 1 12 4 5 18 81
Ten Things You Should Know About the Dynamic Conditional Correlation Representation 0 0 0 29 0 0 8 71
Ten Things you should know about DCC 0 0 0 7 1 1 6 50
Ten Things you should know about the Dynamic Conditional Correlation Representation 0 0 0 27 0 2 9 164
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 1 50 1 4 12 49
The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk 0 0 2 48 2 3 11 93
The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution 1 3 7 61 2 6 23 115
The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises 0 0 5 43 0 2 12 96
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification 1 5 14 60 3 8 38 119
Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH 0 0 0 25 2 2 6 83
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 14 1 1 6 71
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 2 2 2 6 44
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 35 0 0 7 70
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 11 0 0 5 72
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 11 1 1 4 63
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 0 37 1 1 7 124
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 0 0 1 141 1 1 6 317
Time-Varying Persistence in US Inflation 0 0 0 37 0 1 9 143
Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators 0 0 1 66 0 0 6 186
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 0 0 3 152 0 0 17 436
Volatility jumps and their economic determinants 3 3 5 56 3 4 11 107
Total Working Papers 20 43 219 6,187 130 273 1,230 16,012


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 1 3 14 0 1 5 66
A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance 2 7 21 28 9 23 70 101
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS 0 0 1 26 1 1 9 135
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES 0 0 1 17 0 1 6 68
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 1 1 2 40
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 0 0 1 7 0 0 5 50
A note on calculating autocovariances of long‐memory processes 0 0 0 0 0 0 2 2
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? 1 1 2 2 2 6 16 16
Asset allocation strategies based on penalized quantile regression 0 0 1 3 2 3 11 22
Asymmetry and leverage in GARCH models: a News Impact Curve perspective 0 1 5 5 0 9 21 21
Backward/forward optimal combination of performance measures for equity screening 0 0 0 4 0 2 6 37
Building News Measures from Textual Data and an Application to Volatility Forecasting 0 1 2 4 1 6 16 28
Chasing volatility 0 0 0 9 1 1 7 42
Comparing and selecting performance measures using rank correlations 0 0 0 17 2 3 7 152
Correction of Caporin and Paruolo (2015) 0 1 2 8 0 2 11 33
Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises 0 0 0 9 1 1 8 62
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS 1 1 2 39 1 2 14 122
Dating EU15 monthly business cycle jointly using GDP and IPI 0 1 1 35 2 6 13 153
Dynamic Asymmetric GARCH 0 0 1 88 0 1 11 216
Ensemble properties of high-frequency data and intraday trading rules 0 0 0 6 0 1 1 18
Equity and CDS sector indices: Dynamic models and risk hedging 0 0 2 22 0 3 9 102
Fast clustering of GARCH processes via Gaussian mixture models 0 0 2 3 0 0 7 36
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation 0 0 2 556 2 3 14 1,492
Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models 0 0 0 0 0 0 2 66
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 5 3 3 9 45
Generalised long-memory GARCH models for intra-daily volatility 0 0 2 47 0 0 12 125
Identification of long memory in GARCH models 0 0 1 1 1 3 6 7
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 0 0 1 67 3 3 11 216
Measuring sovereign contagion in Europe 0 2 8 12 3 7 31 47
Misspecification tests for periodic long memory GARCH models 0 0 0 13 0 0 1 59
Model based Monte Carlo pricing of energy and temperature Quanto options 0 1 2 20 0 1 7 83
Modelling and forecasting wind speed intensity for weather risk management 0 0 1 10 0 0 6 58
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 0 0 1 1 5 6 9 11
On the (Ab)use of Omega? 1 1 1 2 1 5 18 25
On the evaluation of marginal expected shortfall 0 1 2 23 0 1 5 120
On the predictability of stock prices: A case for high and low prices 0 0 0 32 2 4 17 121
On the role of risk in the Morningstar rating for mutual funds 0 0 0 3 0 0 1 12
Option pricing with non-Gaussian scaling and infinite-state switching volatility 0 0 0 4 1 2 6 68
Periodic Long-Memory GARCH Models 0 0 2 69 0 0 5 149
Precious metals under the microscope: a high-frequency analysis 0 0 0 9 1 1 3 31
Proximity-Structured Multivariate Volatility Models 0 1 2 16 2 4 10 48
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES 0 0 2 2 0 1 6 13
Realized range volatility forecasting: Dynamic features and predictive variables 0 0 1 9 1 1 8 35
Risk spillovers in international equity portfolios 0 0 0 7 0 1 4 50
Robust ranking of multivariate GARCH models by problem dimension 1 2 2 11 2 3 11 56
Scalar BEKK and indirect DCC 0 1 1 113 2 4 17 321
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements 0 0 1 1 3 6 13 13
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle 0 0 1 3 1 1 6 30
Systemic co-jumps 0 1 5 9 0 4 20 46
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS 0 0 0 21 2 2 9 144
Ten Things You Should Know about the Dynamic Conditional Correlation Representation 0 0 3 48 3 3 14 148
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock 2 2 2 2 8 8 8 8
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective 0 0 1 15 2 2 7 61
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk 0 0 0 0 1 3 8 10
The long-run oil–natural gas price relationship and the shale gas revolution 0 1 2 13 1 4 22 50
The relationship between oil prices and rig counts: The importance of lags 1 3 7 19 5 16 36 80
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH 0 0 0 16 1 1 7 87
Time-varying persistence in US inflation 0 0 0 6 0 2 15 39
Variance (Non) Causality in Multivariate GARCH 0 0 0 68 2 2 8 187
Variance clustering improved dynamic conditional correlation MGARCH estimators 0 0 0 6 0 1 6 45
Volatility Jumps and Their Economic Determinants 0 0 1 1 0 0 5 9
Volatility Threshold Dynamic Conditional Correlations: An International Analysis 0 0 0 13 0 2 11 57
Total Journal Articles 9 30 101 1,628 81 183 671 5,794


Statistics updated 2019-09-09