| 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 |
2 |
190 |
| A Survey on the Four Families of Performance Measures |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
14 |
| A Survey on the Four Families of Performance Measures |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
63 |
| A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation |
0 |
0 |
1 |
211 |
0 |
0 |
5 |
587 |
| A multilevel factor approach for the analysis of CDS commonality and risk contribution |
0 |
0 |
0 |
22 |
0 |
0 |
5 |
86 |
| Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? |
0 |
0 |
1 |
14 |
0 |
0 |
4 |
71 |
| Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? |
0 |
0 |
0 |
31 |
1 |
1 |
2 |
81 |
| Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? |
0 |
0 |
0 |
44 |
3 |
6 |
10 |
187 |
| Asset Allocation Strategies Based On Penalized Quantile Regression |
0 |
1 |
3 |
42 |
0 |
3 |
8 |
146 |
| Asset Allocation Strategies Based on Penalized Quantile Regression |
0 |
0 |
1 |
22 |
0 |
1 |
3 |
56 |
| Backward/forward optimal combination of performance measures for equity screening |
1 |
1 |
1 |
31 |
1 |
1 |
2 |
154 |
| Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
105 |
| Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
30 |
0 |
1 |
4 |
119 |
| Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
110 |
| CDS Industrial Sector Indices, credit and liquidity risk |
0 |
0 |
0 |
66 |
0 |
1 |
2 |
225 |
| Chasing Volatility. A Persistent Multiplicative Error Model With Jumps |
0 |
0 |
0 |
25 |
0 |
0 |
3 |
114 |
| Chasing volatility - A persistent multiplicative error model with jumps |
0 |
0 |
0 |
91 |
0 |
1 |
3 |
127 |
| Comparing and selecting performance measures for ranking assets |
0 |
0 |
0 |
67 |
0 |
0 |
1 |
240 |
| Comparing and selecting performance measures using rank correlations |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
152 |
| Conditional jumps in volatility and their economic determinants |
0 |
0 |
1 |
63 |
1 |
1 |
2 |
197 |
| Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach |
0 |
0 |
0 |
15 |
0 |
0 |
5 |
122 |
| Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach |
0 |
0 |
1 |
57 |
2 |
2 |
5 |
215 |
| Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises |
0 |
0 |
0 |
6 |
1 |
2 |
3 |
58 |
| Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises |
0 |
0 |
0 |
31 |
0 |
0 |
2 |
103 |
| Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI |
0 |
0 |
1 |
83 |
0 |
0 |
1 |
415 |
| 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 |
101 |
0 |
0 |
1 |
239 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models |
1 |
1 |
1 |
12 |
1 |
1 |
3 |
107 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
60 |
0 |
0 |
1 |
144 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
40 |
0 |
0 |
3 |
411 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
148 |
0 |
0 |
1 |
485 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
32 |
0 |
0 |
1 |
156 |
| Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets |
0 |
0 |
0 |
30 |
0 |
0 |
2 |
188 |
| Does monetary policy impact international market co-movements? |
0 |
0 |
0 |
43 |
0 |
4 |
6 |
86 |
| Dynamic Large Financial Networks via Conditional Expected Shortfalls |
0 |
0 |
0 |
13 |
1 |
1 |
6 |
33 |
| Dynamic Principal Components: a New Class of Multivariate GARCH Models |
0 |
0 |
0 |
101 |
0 |
1 |
6 |
229 |
| Ensemble properties of high frequency data and intraday trading rules |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
113 |
| Estimation and model-based combination of causality networks |
0 |
0 |
2 |
45 |
0 |
0 |
5 |
98 |
| Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model |
0 |
0 |
1 |
12 |
0 |
0 |
5 |
101 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
46 |
0 |
0 |
1 |
102 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
40 |
0 |
0 |
1 |
134 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
35 |
0 |
0 |
1 |
98 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
82 |
| Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
78 |
| Forecasting realized (co)variances with a block structure Wishart autoregressive model |
0 |
0 |
0 |
82 |
0 |
0 |
0 |
253 |
| Forecasting temperature indices with timevarying long-memory models |
0 |
0 |
0 |
82 |
0 |
0 |
0 |
291 |
| I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti |
0 |
0 |
2 |
54 |
0 |
1 |
4 |
181 |
| Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
406 |
| Market volatility, optimal portfolios and naive asset allocations |
0 |
0 |
0 |
65 |
0 |
0 |
2 |
216 |
| Measuring Sovereign Contagion in Europe |
0 |
0 |
0 |
124 |
0 |
0 |
1 |
201 |
| Measuring Sovereign Contagion in Europe |
0 |
0 |
0 |
133 |
0 |
1 |
1 |
291 |
| Measuring sovereign contagion in Europe |
0 |
0 |
0 |
59 |
0 |
0 |
2 |
165 |
| Measuring sovereign contagion in Europe |
0 |
0 |
0 |
257 |
0 |
0 |
0 |
643 |
| Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 |
0 |
0 |
0 |
77 |
0 |
0 |
0 |
186 |
| Methodological aspects of time series back-calculation |
0 |
0 |
1 |
65 |
1 |
1 |
3 |
273 |
| Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options |
0 |
0 |
0 |
115 |
0 |
0 |
2 |
276 |
| Model Selection and Testing of Conditional and Stochastic Volatility Models |
0 |
0 |
0 |
66 |
0 |
0 |
4 |
369 |
| Model Selection and Testing of Conditional and Stochastic Volatility Models |
1 |
1 |
1 |
33 |
1 |
1 |
1 |
86 |
| Model Selection and Testing of Conditional and Stochastic Volatility Models |
0 |
0 |
0 |
48 |
0 |
1 |
1 |
162 |
| Model based Monte Carlo pricing of energy and temperature quanto options |
1 |
1 |
2 |
63 |
1 |
2 |
6 |
160 |
| Modeling and forecasting realized range volatility |
0 |
0 |
0 |
107 |
0 |
0 |
5 |
169 |
| Modelling and forecasting wind speed intensity for weather risk management |
0 |
0 |
0 |
197 |
0 |
0 |
2 |
734 |
| Multi-jumps |
0 |
0 |
0 |
20 |
0 |
0 |
2 |
180 |
| Multi-jumps |
0 |
0 |
0 |
58 |
0 |
0 |
1 |
143 |
| Multivariate ARCH with spatial effects for stock sector and size |
0 |
0 |
0 |
126 |
0 |
0 |
1 |
239 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
0 |
1 |
45 |
1 |
1 |
3 |
67 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
117 |
| Networks in risk spillovers: a multivariate GARCH perspective |
0 |
0 |
0 |
109 |
0 |
0 |
1 |
298 |
| Non-Standard Errors |
0 |
0 |
1 |
27 |
3 |
5 |
28 |
150 |
| Non-Standard Errors |
0 |
0 |
1 |
19 |
1 |
2 |
4 |
26 |
| Non-Standard Errors |
0 |
2 |
3 |
44 |
2 |
7 |
42 |
440 |
| Non-Standard Errors |
0 |
0 |
1 |
8 |
1 |
1 |
3 |
34 |
| Nonstandard Errors |
0 |
1 |
3 |
3 |
0 |
6 |
20 |
20 |
| Nonstandard errors |
0 |
0 |
5 |
11 |
2 |
3 |
33 |
47 |
| Nowcasting Inflation at Quantiles: Causality from Commodities |
2 |
6 |
24 |
86 |
5 |
13 |
50 |
131 |
| Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa |
0 |
0 |
0 |
21 |
0 |
4 |
8 |
80 |
| On the (Ab)Use of Omega? |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
78 |
| On the (Ab)Use of Omega? |
0 |
0 |
0 |
56 |
1 |
1 |
2 |
223 |
| On the (Ab)use of Omega ? |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| On the (Ab)use of Omega? |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
24 |
| On the Predictability of Stock Prices: A Case for High and Low Prices |
0 |
0 |
1 |
58 |
0 |
0 |
1 |
269 |
| On the Predictability of Stock Prices: a Case for High and Low Prices |
0 |
0 |
0 |
83 |
0 |
0 |
1 |
160 |
| On the Predictability of Stock Prices: a Case for High and Low Prices |
0 |
0 |
1 |
19 |
0 |
1 |
5 |
128 |
| Option pricing with non-Gaussian scaling and infinite-state switching volatility |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
62 |
| Precious Metals Under the Microscope: A High-Frequency Analysis |
0 |
0 |
0 |
47 |
1 |
1 |
4 |
153 |
| Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks |
0 |
0 |
0 |
7 |
0 |
1 |
13 |
22 |
| Price convergence within and between the Italian electricity day-ahead and dispatching services markets |
0 |
1 |
1 |
30 |
0 |
1 |
1 |
80 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
51 |
0 |
0 |
0 |
147 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
50 |
1 |
1 |
3 |
128 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
209 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
48 |
0 |
0 |
2 |
171 |
| Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation |
0 |
0 |
0 |
51 |
0 |
0 |
1 |
126 |
| Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation |
0 |
0 |
0 |
33 |
1 |
1 |
3 |
128 |
| Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation |
0 |
0 |
0 |
76 |
0 |
0 |
0 |
110 |
| Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation |
0 |
0 |
0 |
43 |
0 |
0 |
0 |
209 |
| Ranking multivariate GARCH models by problem dimension |
0 |
0 |
0 |
77 |
1 |
1 |
2 |
207 |
| Rational learning for risk-averse investors by conditioning on behavioral choices |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
110 |
| Risk Spillovers in International Equity Portfolios |
0 |
0 |
1 |
11 |
0 |
1 |
5 |
77 |
| Risk spillovers in international equity portfolios |
0 |
0 |
0 |
57 |
0 |
0 |
3 |
191 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
117 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
1 |
1 |
59 |
0 |
1 |
3 |
248 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
95 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
77 |
| Spatial effects in multivariate ARCH |
0 |
0 |
1 |
137 |
0 |
0 |
2 |
295 |
| Structured Multivariate Volatility Models |
1 |
1 |
1 |
114 |
2 |
2 |
2 |
251 |
| Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals |
0 |
0 |
0 |
75 |
1 |
1 |
1 |
203 |
| Systemic co-jumps |
0 |
0 |
1 |
49 |
1 |
2 |
6 |
158 |
| Systemic risk for financial institutions of major petroleum-based economies: The role of oil |
0 |
1 |
1 |
56 |
0 |
2 |
3 |
87 |
| Ten Things You Should Know About DCC |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
65 |
| Ten Things You Should Know About DCC |
0 |
0 |
1 |
88 |
2 |
2 |
4 |
167 |
| Ten Things You Should Know About DCC |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
71 |
| Ten Things You Should Know About DCC |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
168 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
118 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
133 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
105 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
84 |
| Ten Things you should know about DCC |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
77 |
| Ten Things you should know about the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
197 |
| The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode |
0 |
0 |
0 |
53 |
0 |
0 |
2 |
95 |
| The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk |
0 |
0 |
0 |
48 |
0 |
1 |
2 |
127 |
| The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution |
0 |
0 |
0 |
66 |
0 |
0 |
1 |
166 |
| The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises |
0 |
0 |
1 |
51 |
1 |
3 |
6 |
142 |
| The impact of network connectivity on factor exposures, asset pricing and portfolio diversification |
0 |
0 |
0 |
90 |
0 |
0 |
5 |
340 |
| The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland |
2 |
2 |
11 |
42 |
3 |
6 |
30 |
122 |
| The systemic risk of US oil and natural gas companies |
0 |
0 |
0 |
15 |
0 |
1 |
4 |
32 |
| Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
116 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
11 |
0 |
1 |
1 |
105 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
147 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
1 |
15 |
0 |
1 |
2 |
109 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
141 |
0 |
0 |
3 |
349 |
| 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 |
2 |
0 |
0 |
0 |
70 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
99 |
| Time-Varying Persistence in US Inflation |
0 |
0 |
0 |
37 |
0 |
2 |
5 |
167 |
| Unveiling True Connectedness in US State-Level Stock Markets: The Role of Common Factors |
0 |
9 |
11 |
11 |
1 |
9 |
12 |
12 |
| Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators |
0 |
0 |
0 |
66 |
0 |
0 |
1 |
235 |
| Volatility Threshold Dynamic Conditional Correlations: An International Analysis |
0 |
0 |
0 |
153 |
0 |
0 |
2 |
462 |
| Volatility jumps and their economic determinants |
0 |
0 |
1 |
70 |
0 |
0 |
3 |
147 |
| Total Working Papers |
9 |
29 |
95 |
7,081 |
45 |
121 |
514 |
22,833 |
| 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 |
0 |
19 |
0 |
0 |
3 |
86 |
| A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance |
1 |
1 |
3 |
76 |
1 |
3 |
10 |
300 |
| A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS |
0 |
0 |
1 |
27 |
0 |
2 |
7 |
153 |
| A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES |
0 |
0 |
2 |
34 |
1 |
3 |
8 |
147 |
| 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 |
0 |
10 |
0 |
1 |
1 |
77 |
| A multilevel factor approach for the analysis of CDS commonality and risk contribution |
0 |
0 |
0 |
9 |
0 |
2 |
8 |
44 |
| A note on calculating autocovariances of long‐memory processes |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
17 |
| Analytical Gradients of Dynamic Conditional Correlation Models |
0 |
0 |
1 |
12 |
0 |
0 |
1 |
63 |
| Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic |
0 |
0 |
1 |
2 |
0 |
1 |
5 |
12 |
| Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? |
1 |
1 |
1 |
23 |
1 |
1 |
2 |
221 |
| Asset allocation strategies based on penalized quantile regression |
0 |
0 |
0 |
3 |
0 |
1 |
1 |
45 |
| Asymmetric and time-frequency based networks of currency markets |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
3 |
| Asymmetric and time-frequency spillovers among commodities using high-frequency data |
0 |
0 |
0 |
14 |
1 |
1 |
7 |
44 |
| Asymmetry and leverage in GARCH models: a News Impact Curve perspective |
0 |
2 |
4 |
20 |
0 |
3 |
11 |
71 |
| 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 |
2 |
14 |
0 |
2 |
6 |
111 |
| Chasing volatility |
0 |
0 |
0 |
20 |
0 |
1 |
2 |
98 |
| Comparing and selecting performance measures using rank correlations |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
173 |
| Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach |
0 |
0 |
2 |
21 |
1 |
2 |
15 |
70 |
| Correction of Caporin and Paruolo (2015) |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
90 |
| Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises |
0 |
0 |
0 |
12 |
2 |
3 |
3 |
86 |
| DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS |
1 |
1 |
3 |
46 |
2 |
4 |
13 |
177 |
| 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 |
0 |
2 |
11 |
1 |
2 |
7 |
56 |
| Do structural breaks in volatility cause spurious volatility transmission? |
0 |
0 |
0 |
20 |
1 |
1 |
5 |
100 |
| Dynamic Asymmetric GARCH |
0 |
0 |
0 |
96 |
0 |
1 |
1 |
267 |
| Dynamic large financial networks via conditional expected shortfalls |
0 |
0 |
1 |
4 |
1 |
1 |
4 |
16 |
| Dynamic network analysis of North American financial institutions |
0 |
0 |
1 |
1 |
0 |
1 |
2 |
15 |
| ESG risk exposure: a tale of two tails |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
5 |
| Ensemble properties of high-frequency data and intraday trading rules |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
32 |
| Environmental Kuznets Curve for Extended Brics Economies: Do Women Governance and Water Stress Matter? |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| Equity and CDS sector indices: Dynamic models and risk hedging |
0 |
0 |
1 |
27 |
0 |
0 |
1 |
127 |
| Estimation and model-based combination of causality networks among large US banks and insurance companies |
0 |
0 |
2 |
29 |
0 |
0 |
7 |
99 |
| Evaluating value-at-risk measures in the presence of long memory conditional volatility |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
| Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment |
0 |
0 |
4 |
5 |
3 |
4 |
19 |
20 |
| Fast clustering of GARCH processes via Gaussian mixture models |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
53 |
| Financial Time Series: Methods and Models |
0 |
0 |
1 |
12 |
0 |
1 |
3 |
31 |
| Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
79 |
| Forecasting Value-at-Risk using block structure multivariate stochastic volatility models |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
64 |
| Generalised long-memory GARCH models for intra-daily volatility |
0 |
0 |
0 |
51 |
1 |
1 |
4 |
152 |
| Has the EU-ETS Financed the Energy Transition of the Italian Power System? |
1 |
1 |
1 |
3 |
1 |
1 |
5 |
10 |
| Identification of long memory in GARCH models |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
31 |
| Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects |
1 |
1 |
1 |
2 |
3 |
3 |
6 |
12 |
| Is the Korean housing market following Gangnam style? |
0 |
0 |
0 |
5 |
0 |
1 |
15 |
36 |
| Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion |
0 |
0 |
0 |
75 |
0 |
0 |
1 |
264 |
| Measuring Climate Transition Risk Spillovers |
1 |
3 |
33 |
39 |
3 |
7 |
56 |
69 |
| Measuring sovereign contagion in Europe |
0 |
0 |
5 |
46 |
2 |
2 |
10 |
191 |
| Measuring systemic risk during the COVID-19 period: A TALIS3 approach |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
26 |
| Misspecification tests for periodic long memory GARCH models |
0 |
0 |
0 |
14 |
0 |
1 |
1 |
69 |
| Model based Monte Carlo pricing of energy and temperature Quanto options |
1 |
1 |
3 |
33 |
2 |
2 |
12 |
137 |
| Modelling and forecasting wind speed intensity for weather risk management |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
75 |
| Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
15 |
| Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis |
0 |
1 |
2 |
7 |
0 |
2 |
3 |
47 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
0 |
1 |
3 |
1 |
1 |
3 |
8 |
| New insights on the environmental Kuznets curve (EKC) for Central Asia |
0 |
0 |
1 |
2 |
0 |
1 |
8 |
30 |
| News and intraday jumps: Evidence from regularization and class imbalance |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
14 |
| Nonstandard Errors |
1 |
7 |
29 |
38 |
4 |
17 |
107 |
127 |
| Not all words are equal: Sentiment and jumps in the cryptocurrency market |
0 |
1 |
4 |
4 |
0 |
3 |
14 |
18 |
| Omega Compatibility: A Meta-analysis |
0 |
0 |
0 |
1 |
0 |
1 |
5 |
9 |
| On the (Ab)use of Omega? |
0 |
0 |
0 |
8 |
0 |
0 |
4 |
91 |
| On the evaluation of marginal expected shortfall |
0 |
0 |
1 |
30 |
0 |
0 |
1 |
149 |
| On the predictability of stock prices: A case for high and low prices |
1 |
1 |
1 |
47 |
2 |
5 |
6 |
187 |
| On the role of risk in the Morningstar rating for mutual funds |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
30 |
| On the volatilities of tourism stocks and oil |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
58 |
| Option pricing with non-Gaussian scaling and infinite-state switching volatility |
0 |
0 |
1 |
6 |
0 |
0 |
1 |
87 |
| Periodic Long-Memory GARCH Models |
0 |
1 |
2 |
75 |
0 |
1 |
3 |
176 |
| Precious metals under the microscope: a high-frequency analysis |
0 |
0 |
0 |
12 |
1 |
1 |
1 |
59 |
| Proximity-Structured Multivariate Volatility Models |
0 |
0 |
1 |
22 |
0 |
0 |
2 |
73 |
| Quantile regression-based seasonal adjustment |
0 |
0 |
0 |
2 |
1 |
1 |
4 |
9 |
| 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 |
0 |
13 |
1 |
1 |
4 |
61 |
| Risk spillovers in international equity portfolios |
0 |
0 |
0 |
8 |
0 |
0 |
3 |
99 |
| Robust ranking of multivariate GARCH models by problem dimension |
0 |
1 |
1 |
14 |
1 |
2 |
4 |
91 |
| Scalar BEKK and indirect DCC |
0 |
0 |
2 |
125 |
0 |
0 |
9 |
391 |
| Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements |
0 |
0 |
0 |
35 |
0 |
2 |
5 |
152 |
| Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
| Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
42 |
| Statistical Analysis of Financial Data: with Examples In R |
0 |
0 |
1 |
16 |
0 |
0 |
4 |
45 |
| Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
2 |
| Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil |
0 |
0 |
1 |
2 |
0 |
0 |
3 |
8 |
| Systemic co-jumps |
0 |
0 |
3 |
29 |
0 |
0 |
5 |
116 |
| Systemic risk and severe economic downturns: A targeted and sparse analysis |
0 |
0 |
3 |
27 |
0 |
1 |
6 |
52 |
| 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 |
1 |
1 |
2 |
57 |
1 |
1 |
8 |
204 |
| Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock |
1 |
2 |
4 |
34 |
2 |
3 |
8 |
147 |
| The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices |
0 |
1 |
1 |
1 |
0 |
2 |
7 |
7 |
| The Contribution of Green, Blue, and Energy Sources to Economic Development in Central Asia |
0 |
0 |
1 |
1 |
1 |
1 |
3 |
3 |
| The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective |
0 |
0 |
2 |
21 |
0 |
0 |
3 |
100 |
| The Role of Jumps in Realized Volatility Modeling and Forecasting |
0 |
0 |
4 |
6 |
0 |
0 |
11 |
15 |
| The bank-sovereign nexus: Evidence from a non-bailout episode |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
45 |
| The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk |
0 |
0 |
0 |
3 |
0 |
0 |
4 |
43 |
| The factor structure of exchange rates volatility: global and intermittent factors |
0 |
0 |
2 |
2 |
0 |
1 |
7 |
7 |
| The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
11 |
| The long-run oil–natural gas price relationship and the shale gas revolution |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
115 |
| The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland |
0 |
0 |
1 |
11 |
0 |
1 |
8 |
32 |
| The relationship between oil prices and rig counts: The importance of lags |
1 |
1 |
1 |
37 |
1 |
2 |
6 |
233 |
| The systemic risk of US oil and natural gas companies |
1 |
1 |
2 |
5 |
1 |
1 |
6 |
16 |
| Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH |
0 |
0 |
0 |
16 |
0 |
0 |
3 |
103 |
| Time series clustering based on latent volatility mixture modeling with applications in finance |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
| Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test |
0 |
0 |
1 |
10 |
1 |
2 |
7 |
32 |
| Time-varying persistence in US inflation |
0 |
0 |
0 |
10 |
0 |
1 |
4 |
82 |
| TrAffic LIght system for systemic Stress: TALIS3 |
0 |
0 |
0 |
5 |
0 |
0 |
7 |
43 |
| Variance (Non) Causality in Multivariate GARCH |
0 |
0 |
0 |
68 |
1 |
1 |
1 |
201 |
| Variance clustering improved dynamic conditional correlation MGARCH estimators |
1 |
1 |
1 |
9 |
1 |
1 |
1 |
61 |
| Volatility Jumps and Their Economic Determinants |
0 |
0 |
2 |
9 |
0 |
1 |
9 |
81 |
| Volatility Threshold Dynamic Conditional Correlations: An International Analysis |
0 |
0 |
1 |
18 |
0 |
0 |
7 |
94 |
| What drives the expansion of research on banking crises? Cross-country evidence |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
5 |
| Total Journal Articles |
14 |
30 |
160 |
1,909 |
49 |
120 |
623 |
8,536 |
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