Browsing All of EconStor by Author Caporin, Massimiliano


Showing results 1 to 20 of 20
Year of PublicationTitleAuthor(s)
2011Comparing and selecting performance measures using rank correlationsCaporin, Massimiliano; Lisi, Francesco
2011Comparing and selecting performance measures using rank correlationsCaporin, Massimiliano; Lisi, Francesco
2012Measuring Sovereign Contagion in EuropeCaporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility ModelsAsai, Manabu; Caporin, Massimiliano; McAleer, Michael
2013Ten Things you should know about the Dynamic Conditional Correlation RepresentationCaporin, Massimiliano; McAleer, Michael
2013Ten things you should know about the dynamic conditional correlation representationCaporin, Massimiliano; McAleer, Michael
2013Ten Things you should know about DCCCaporin, Massimiliano; McAleer, Michael
2015Measuring sovereign contagion in EuropeCaporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
2016The determinants of equity risk and their forecasting implications: A quantile regression perspectiveBonaccolto, Giovanni; Caporin, Massimiliano
2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael
2016Systemic co-jumpsCaporin, Massimiliano; Kolokolov, Alexey; RenĂ², Roberto
2017Systemic risk for financial institutions of major petroleum-based economies: The role of oilKhalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat
2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversificationBillio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana
2017Estimation and model-based combination of causality networksBonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero
2017Building news measures from textual data and an application to volatility forecastingCaporin, Massimiliano; Poli, Francesco
2018Networks in risk spillovers: A multivariate GARCH perspectiveBillio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana
2020Does monetary policy impact international market co-movements?Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto
2020Analytical gradients of dynamic conditional correlation modelsCaporin, Massimiliano; Lucchetti, Riccardo; Palomba, Giulio
2020Financial time series: Methods and modelsCaporin, Massimiliano; Storti, Giuseppe
2021Has the EU-ETS financed the energy transition of the Italian power system?Caporin, Massimiliano; Fontini, Fulvio; Segato, Samuele