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

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2021-01-03