Massimiliano Caporin : Citation Profile


Are you Massimiliano Caporin?

16

H index

24

i10 index

936

Citations

RESEARCH PRODUCTION:

61

Articles

120

Papers

RESEARCH ACTIVITY:

   17 years (2002 - 2019). See details.
   Cites by year: 55
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 161.    Total self citations: 93 (9.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca441
   Updated: 2019-09-14    RAS profile: 2019-06-21    
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Relations with other researchers


Works with:

Santucci de Magistris, Paolo (7)

Pelizzon, Loriana (7)

McAleer, Michael (6)

GUPTA, RANGAN (6)

Fontini, Fulvio (5)

Rossi, Eduardo (5)

Billio, Monica (4)

Chang, Chia-Lin (4)

Jannin, Gregory (3)

Ravazzolo, Francesco (3)

Khalifa, Ahmed (3)

Maillet, Bertrand (3)

Rodríguez Caballero, Carlos (3)

Ranaldo, Angelo (2)

Costola, Michele (2)

Rigobon, Roberto (2)

Renò, Roberto (2)

Paruolo, Paolo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Caporin.

Is cited by:

McAleer, Michael (276)

Chang, Chia-Lin (141)

Jimenez-Martin, Juan (81)

perez-amaral, teodosio (65)

Hammoudeh, Shawkat (32)

GUPTA, RANGAN (31)

Tansuchat, Roengchai (28)

Ruiz, Esther (25)

Asai, Manabu (19)

Casarin, Roberto (17)

Hotta, Luiz (17)

Cites to:

Bollerslev, Tim (112)

McAleer, Michael (88)

Engle, Robert (81)

Andersen, Torben (45)

Diebold, Francis (41)

Tauchen, George (30)

Corsi, Fulvio (30)

Billio, Monica (26)

Sheppard, Kevin (24)

Shephard, Neil (24)

Laurent, Sébastien (21)

Main data


Where Massimiliano Caporin has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis5
Journal of Economic Surveys4
Econometric Reviews4
Journal of Financial Econometrics3
The North American Journal of Economics and Finance3
International Review of Economics & Finance3
Energy Economics3
Statistical Methods & Applications3
Quantitative Finance3
Energy Policy2
Journal of Econometrics2
Econometrics2
Mathematics and Computers in Simulation (MATCOM)2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"18
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico10
Working Papers / Department of Economics, University of Venice "Ca' Foscari"10
KIER Working Papers / Kyoto University, Institute of Economic Research8
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt6
Working Papers on Finance / University of St. Gallen, School of Finance5
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo5
Tinbergen Institute Discussion Papers / Tinbergen Institute4
MPRA Paper / University Library of Munich, Germany4
Working Papers / University of Pretoria, Department of Economics3
Papers / arXiv.org3
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Working Papers / Swiss National Bank3

Recent works citing Massimiliano Caporin (2019 and 2018)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2018Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?. (2018). Scarcioffolo, Alexandre Ribeiro ; Etienne, Xiaoli L. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273976.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900.

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2018A new time-varying model for forecasting long-memory series. (2018). Bisaglia, Luisa ; Grigoletto, Matteo. In: Papers. RePEc:arx:papers:1812.07295.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2018PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:74-87.

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2017Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach. (2017). Sanjuán López, Ana ; Dawson, Philip J ; Sanjuan-Lopez, Ana I. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:3:p:822-838.

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2017On the Identification of Interdependence and Contagion of Financial Crises. (2017). Bacchiocchi, Emanuele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1148-1175.

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2018Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi. (2018). Chiesa, G ; Mansilla-Fernandez, J M. In: Working Papers. RePEc:bol:bodewp:wp1124.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2017Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023.

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2018Long-run co-movements between oil prices and rig count in the presence of structural breaks. (2018). Iliescu, Nicoleta. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00297.

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2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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2018Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model. (2018). Roventini, Andrea ; Dosi, Giovanni ; Sapio, A ; Napoletano, M ; Lamperti, F. In: Ecological Economics. RePEc:eee:ecolec:v:150:y:2018:i:c:p:315-339.

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2019Circular, Green, and Bio Economy: How Do Companies in Land-Use Intensive Sectors Align with Sustainability Concepts?. (2019). Toppinen, A ; Korhonen, J ; D'Amato, D. In: Ecological Economics. RePEc:eee:ecolec:v:158:y:2019:i:c:p:116-133.

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2019Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2018Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade. (2018). Zhang, Dayong ; Shi, Xunpeng. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:33-41.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018Oil returns and volatility: The role of mergers and acquisitions. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53.

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2018Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade. (2018). Klein, Tony. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:636-646.

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2018Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test. (2018). Zhang, Dayong ; Liu, Jia ; Shi, Xunpeng ; Wang, Tiantian . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:495-503.

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2018Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). Gogolin, Fabian ; Vigne, Samuel A ; Peat, Maurice ; Lucey, Brian M ; Kearney, Fearghal. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593.

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2018Further evidence on the debate of oil-gas price decoupling: A long memory approach. (2018). Zhang, Dayong ; Ji, Qiang. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:68-75.

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2019Does energy price affect energy efficiency? Cross-country panel evidence. (2019). Fontini, Fulvio ; Antonietti, Roberto. In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:896-906.

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2018Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:984-997.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2019A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.

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2018Causality in the EMU sovereign bond markets. (2018). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:281-290.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2019Day-of-the-week effects in financial contagion. (2019). Gebka, Bartosz ; Anderson, Robert ; Sewraj, Deeya. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226.

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2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2017Identifying and measuring the contagion channels at work in the European financial crises. (2017). Guidolin, Massimo ; Pedio, Manuela. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134.

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2018Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. (2018). Tsopanakis, Andreas ; Sogiakas, Vasilios ; MacDonald, Ronald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:17-36.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:24-37.

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2017One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2018Managing renewable energy production risk. (2018). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:1-19.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2017Sovereign tail risk. (2017). Moreno, Antonio ; Lopez-Espinosa, German ; Valderrama, Laura ; Rubia, Antonio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:174-188.

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2019A wavelet analysis of the relationship between oil and natural gas prices. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Balcilar, Mehmet ; Mukherjee, Zinnia. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:118-124.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2018Multi-step-ahead wind speed forecasting based on optimal feature selection and a modified bat algorithm with the cognition strategy. (2018). Niu, Tong ; Du, Pei ; Zhang, Kequan ; Wang, Jianzhou. In: Renewable Energy. RePEc:eee:renene:v:118:y:2018:i:c:p:213-229.

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2018Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018.

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2018Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe. (2018). Ters, Kristyna ; Urban, Jorg. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:123-142.

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2018Do house prices hedge inflation in the US? A quantile cointegration approach. (2018). Wohar, Mark ; GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:15-26.

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2019The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea. (2019). Balcilar, Mehmet ; Kyei, Clement ; Kim, Won Joong ; Gupta, Rangan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:150-163.

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2019Feedback trading: Strategies during day and night with global interconnectedness. (2019). Rudolf, Markus ; Kusen, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). VISVIKIS, ILIAS ; Alexandridis, G ; Sahoo, S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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2018Asymmetric and nonlinear inter-relations of US stock indices. (2018). Gkillas (Gillas), Konstantinos ; Svingou, Argyro ; Syriopoulos, Costas ; Vortelinos, Dimitrios. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-02-2017-0018.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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2018Cointegrated Dynamics for A Generalized Long Memory Process. (2018). McAleer, Michael ; Asai, Manabu ; Allen, David ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:110018.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2017Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170307:p:85-95.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2018A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns. (2018). Clements, Adam ; O'Neill, Robert ; Becker, Ralf. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:7-:d:132320.

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2018Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model. (2018). Khuntia, Swasti R ; MART, ; Rueda, Jose L. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3308-:d:185892.

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2018Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices. (2018). Cansado-Bravo, Pablo ; Rodriguez-Monroy, Carlos. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3486-:d:190416.

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2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

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2019Assessing Business Risks of Natural Gas Trading Companies: Evidence from GET Baltic. (2019). Giriuniene, Gintare ; CERNIUS, GINTARAS ; Morkunas, Mangirdas. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:14:p:2647-:d:247240.

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2019Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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2018Can Bitcoin Replace Gold in an Investment Portfolio?. (2018). Henriques, Irene ; Sadorsky, Perry. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:48-:d:163664.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

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2019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:61-:d:221223.

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2018A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection. (2018). Liu, Xin ; Jiang, Wenjun ; Yang, Chen ; Wu, Jiang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:115-:d:174402.

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2018RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan. (2018). Zhang, Zhaoyong ; Qin, Fengming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:120-:d:175263.

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2018Does Firm Performance Influence Corporate Social Responsibility Reporting of Chinese Listed Companies?. (2018). Sial, Muhammad Safdar ; Usman, Muhammad ; Khan, Tehmina ; Khuong, Nguyen Vinh ; Zheng, Chunmei. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2217-:d:155014.

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2019An Analysis of Corporate Social Responsibility and Firm Performance with Moderating Effects of CEO Power and Ownership Structure: A Case Study of the Manufacturing Sector of Pakistan. (2019). Javeed, Sohail Ahmad ; Lefen, Lin. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:1:p:248-:d:195308.

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2019Chinese Financial Market Investors Attitudes toward Corporate Social Responsibility: Evidence from Mergers and Acquisitions. (2019). Zhang, Meilan ; Li, Minghui. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:9:p:2615-:d:228785.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017Volatility Spillover between Water, Energy and Food. (2017). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981.

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2017The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene. In: Post-Print. RePEc:hal:journl:hal-01589269.

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2018Brexit and CDS spillovers across UK and Europe. (2018). Selmi, Refk ; bouoiyour, jamal. In: Post-Print. RePEc:hal:journl:hal-01736525.

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2018Dynamic Equicorrelation between S&P500 Index and S&P GSCI. (2018). Derbali, Abdelkader ; Chebbi, Tarek. In: Working Papers. RePEc:hal:wpaper:hal-01695995.

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More than 100 citations found, this list is not complete...

Works by Massimiliano Caporin:


YearTitleTypeCited
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 In: CREATES Research Papers.
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2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
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2018A multilevel factor approach for the analysis of CDS commonality and risk contribution In: CREATES Research Papers.
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2013Ensemble properties of high frequency data and intraday trading rules In: Papers.
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2015Ensemble properties of high-frequency data and intraday trading rules.(2015) In: Quantitative Finance.
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2014Option pricing with non-Gaussian scaling and infinite-state switching volatility In: Papers.
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2015Option pricing with non-Gaussian scaling and infinite-state switching volatility.(2015) In: Journal of Econometrics.
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article
2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
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paper1
2015Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers.
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paper
2018Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science.
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2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
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article4
2009A Scientific Classification of Volatility Models..(2009) In: Documentos de Trabajo del ICAE.
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2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
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article35
2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
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article102
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers.
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paper
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series.
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2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
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article15
2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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2002A note on calculating autocovariances of long‐memory processes In: Journal of Time Series Analysis.
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2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
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article11
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series.
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
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2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
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2009Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2009) In: Documentos de Trabajo del ICAE.
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2012Measuring sovereign contagion in Europe In: Working Paper.
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paper100
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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article
2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
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paper0
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach.(2019) In: Working Papers.
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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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paper18
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
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paper
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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paper13
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series.
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2010Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
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paper41
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics.
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paper4
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers.
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paper
2011Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Documentos de Trabajo del ICAE.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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paper7
2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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article
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
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paper
2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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paper14
2014Robust ranking of multivariate GARCH models by problem dimension.(2014) In: Computational Statistics & Data Analysis.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Econometric Institute Research Papers.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: KIER Working Papers.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Documentos de Trabajo del ICAE.
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2013Ten Things You Should Know About DCC In: Working Papers in Economics.
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2013Ten Things You Should Know About DCC.(2013) In: Econometric Institute Research Papers.
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2013Ten Things You Should Know About DCC.(2013) In: KIER Working Papers.
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2013Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About DCC.(2013) In: Documentos de Trabajo del ICAE.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
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paper55
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Econometric Institute Research Papers.
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2013Ten Things You Should Know about the Dynamic Conditional Correlation Representation.(2013) In: Econometrics.
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article
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: KIER Working Papers.
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paper
2013Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Documentos de Trabajo del ICAE.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
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paper65
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: Documentos de Trabajo del ICAE.
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paper
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 65
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2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
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paper0
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
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article16
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
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article39
2007Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers.
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2012Modelling and forecasting wind speed intensity for weather risk management In: Computational Statistics & Data Analysis.
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article18
2010Modelling and forecasting wind speed intensity for weather risk management.(2010) In: Marco Fanno Working Papers.
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2014Variance clustering improved dynamic conditional correlation MGARCH estimators In: Computational Statistics & Data Analysis.
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article6
2011Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators.(2011) In: Marco Fanno Working Papers.
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2013Equity and CDS sector indices: Dynamic models and risk hedging In: The North American Journal of Economics and Finance.
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article5
2013A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance.
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article5
2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
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article2
2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
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2018A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms Economic Performance In: Ecological Economics.
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2017Chasing volatility In: Journal of Econometrics.
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2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
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2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
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2018“On the (Ab)use of Omega?” In: Journal of Empirical Finance.
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2016On the (Ab)Use of Omega?.(2016) In: Working Papers.
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2015On the (Ab)Use of Omega?.(2015) In: Working Papers.
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2012Model based Monte Carlo pricing of energy and temperature Quanto options In: Energy Economics.
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2010Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options.(2010) In: Marco Fanno Working Papers.
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2010Model based Monte Carlo pricing of energy and temperature quanto options.(2010) In: MPRA Paper.
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2017The relationship between oil prices and rig counts: The importance of lags In: Energy Economics.
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2017The long-run oil–natural gas price relationship and the shale gas revolution In: Energy Economics.
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2015The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution.(2015) In: Marco Fanno Working Papers.
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2019Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements In: Energy Policy.
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2015Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy.
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2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
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2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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2017Systemic co-jumps In: Journal of Financial Economics.
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2016Systemic co-jumps.(2016) In: SAFE Working Paper Series.
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2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
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2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
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2013Fast clustering of GARCH processes via Gaussian mixture models In: Mathematics and Computers in Simulation (MATCOM).
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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk In: Physica A: Statistical Mechanics and its Applications.
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2015The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk.(2015) In: Working Papers.
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2015Realized range volatility forecasting: Dynamic features and predictive variables In: International Review of Economics & Finance.
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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? In: International Review of Economics & Finance.
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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?.(2016) In: Econometric Institute Research Papers.
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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?.(2016) In: Tinbergen Institute Discussion Papers.
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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?.(2016) In: Documentos de Trabajo del ICAE.
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2017Building News Measures from Textual Data and an Application to Volatility Forecasting In: Econometrics.
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2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective In: Journal of Risk and Financial Management.
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2005Spatial effects in multivariate ARCH In: Economics and Quantitative Methods.
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2005Multivariate ARCH with spatial effects for stock sector and size In: Economics and Quantitative Methods.
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2008Scalar BEKK and indirect DCC In: Journal of Forecasting.
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2008Dating EU15 monthly business cycle jointly using GDP and IPI In: Journal of Business Cycle Measurement and Analysis.
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