Browsing All of EconStor by Author Caporin, Massimiliano

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Showing results 1 to 15 of 15
Year of PublicationTitleAuthor(s)
2011 Comparing and selecting performance measures using rank correlationsCaporin, Massimiliano; Lisi, Francesco
2011 Comparing and selecting performance measures using rank correlationsCaporin, Massimiliano; Lisi, Francesco
2013 Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility ModelsAsai, Manabu; Caporin, Massimiliano; McAleer, Michael
2013 Ten Things you should know about DCCCaporin, Massimiliano; McAleer, Michael
2013 Ten Things you should know about the Dynamic Conditional Correlation RepresentationCaporin, Massimiliano; McAleer, Michael
2013 Ten things you should know about the dynamic conditional correlation representationCaporin, Massimiliano; McAleer, Michael
2015 Measuring sovereign contagion in EuropeCaporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
2016 The determinants of equity risk and their forecasting implications: A quantile regression perspectiveBonaccolto, Giovanni; Caporin, Massimiliano
2016 Are 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
2016 Systemic co-jumpsCaporin, Massimiliano; Kolokolov, Alexey; RenĂ², Roberto
2017 Building news measures from textual data and an application to volatility forecastingCaporin, Massimiliano; Poli, Francesco
2017 Estimation and model-based combination of causality networksBonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero
2017 Systemic risk for financial institutions of major petroleum-based economies: The role of oilKhalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat
2017 The impact of network connectivity on factor exposures, asset pricing and portfolio diversificationBillio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana
2018 Networks in risk spillovers: A multivariate GARCH perspectiveBillio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana