Massimiliano Caporin : Citation Profile


Are you Massimiliano Caporin?

13

H index

19

i10 index

667

Citations

RESEARCH PRODUCTION:

43

Articles

111

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 55
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 81 (10.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca441
   Updated: 2017-03-25    RAS profile: 2017-03-16    
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Relations with other researchers


Works with:

McAleer, Michael (26)

Ranaldo, Angelo (10)

Asai, Manabu (6)

Pelizzon, Loriana (5)

Ravazzolo, Francesco (4)

Rigobon, Roberto (4)

Rossi, Eduardo (4)

Jimenez-Martin, Juan (3)

Chang, Chia-Lin (3)

Santucci de Magistris, Paolo (3)

Renò, Roberto (2)

Fontini, Fulvio (2)

GUPTA, RANGAN (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 (245)

Chang, Chia-Lin (121)

Jimenez-Martin, Juan (81)

perez-amaral, teodosio (65)

Hammoudeh, Shawkat (32)

Tansuchat, Roengchai (28)

Ruiz, Esther (17)

Casarin, Roberto (16)

Asai, Manabu (13)

Ravazzolo, Francesco (12)

Allen, David (12)

Cites to:

Bollerslev, Tim (82)

McAleer, Michael (79)

Engle, Robert (70)

Diebold, Francis (32)

Andersen, Torben (31)

Billio, Monica (24)

Sheppard, Kevin (23)

Tauchen, George (22)

Shephard, Neil (20)

Lunde, Asger (20)

Hansen, Peter (20)

Main data


Where Massimiliano Caporin has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis5
Journal of Economic Surveys4
Quantitative Finance3
Econometric Reviews3
Journal of Financial Econometrics3
The North American Journal of Economics and Finance3
Mathematics and Computers in Simulation (MATCOM)2
International Review of Economics & Finance2

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"17
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 Econmico11
KIER Working Papers / Kyoto University, Institute of Economic Research8
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo5
Working Papers on Finance / University of St. Gallen, School of Finance5
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt4
Tinbergen Institute Discussion Papers / Tinbergen Institute4
MPRA Paper / University Library of Munich, Germany4
Papers / arXiv.org3
Working Papers / Swiss National Bank3
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Working Papers / University of Pretoria, Department of Economics2

Recent works citing Massimiliano Caporin (2017 and 2016)


YearTitle of citing document
2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2016On the stationarity of Dynamic Conditional Correlation models. (2016). Malongo, Hassan ; Fermanian, Jean-David . In: Papers. RePEc:arx:papers:1405.6905.

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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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2016Regime switching vine copula models for global equity and volatility indices. (2016). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Papers. RePEc:arx:papers:1604.05598.

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2016Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly. (2016). Sheenan, Lisa ; Flavin, Thomas ; Cronin, David. In: Research Technical Papers. RePEc:cbi:wpaper:03/rt/16.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2017The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures. (2017). EL KHAMLICHI, ABDELBARI ; Yildiz, Selim Baha . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00446.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations. (2016). Park, Sung Y. ; Li, Haiqi ; Zhong, Wanling . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:661-671.

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2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

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2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries. (2016). Brooks, Rob ; Fenech, Jean Pierre ; Silvapulle, Param ; Thomas, Alice. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:83-92.

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2016On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, André ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2016Macro-economic determinants of European stock and government bond correlations: A tale of two regions. (2016). Perego, Erica R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:214-232.

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2016The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; Kräussl, Roman ; Kraussl, Roman ; Lehnert, Thorsten . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.

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2016Bank fragility and contagion: Evidence from the bank CDS market. (2016). Ballester, Laura ; Gonzalez-Urteaga, Ana ; Casu, Barbara . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:394-416.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2016). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:209-220.

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2016Regime-dependent determinants of Euro area sovereign CDS spreads. (2016). Eijffinger, Sylvester ; Blommestein, Hans ; Qian, Zongxin . In: Journal of Financial Stability. RePEc:eee:finsta:v:22:y:2016:i:c:p:10-21.

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2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt. (2016). Sedunov, John ; Pagano, Michael S. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:62-78.

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2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

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2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. (2016). Sosvilla-Rivero, Simon ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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2016Foster–Hart optimal portfolios. (2016). Anand, Abhinav ; Kurosaki, Tetsuo ; Li, Tiantian ; Kim, Young Shin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:117-130.

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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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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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2016Multiscale dependence analysis and portfolio risk modeling for precious metal markets. (2016). Liu, Youjin ; Yu, Lean ; Lai, Kin Keung ; He, Kaijian . In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:224-233.

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2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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2017Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test. (2017). Wohar, Mark ; Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:269-279.

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2017Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Bouri, Elie ; Lv, Xin ; Xin Lv, ; Lien, Donald ; Chen, Qian . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:34-48.

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2016Wine: To drink or invest in? A study of wine as an investment asset in French portfolios. (2016). HOANG, Thi Hong Van ; Mandou, Cyrille ; Ayta, Beysul . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:591-614.

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2016Contagion effects in selected European capital markets during the financial crisis of 2007–2009. (2016). Burzala, Milda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:556-571.

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2017Dynamic correlations and domestic-global diversification. (2017). Li, Leon . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:280-290.

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2017Oil vs. gasoline: The dark side of volatility and taxation. (2017). Chevallier, Julien ; Aboura, Sofiane. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:976-989.

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2016Dynamic volatility spillovers across shipping freight markets. (2016). Tsouknidis, Dimitris. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:91:y:2016:i:c:p:90-111.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). Visvikis, I ; 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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2016How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79913.

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2016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923.

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2016Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93115.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116.

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2016Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117.

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2016The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?. (2016). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene . In: European Research Studies Journal. RePEc:ers:journl:v:xix:y:2016:i:1:p:129-148.

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2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM. (2016). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_02.

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2016The impact of screening strategies on the performance of ESG indices. (2016). Darné, Olivier ; Fouilloux, Jessica ; Darne, Olivier ; Charles, Amelie . In: Working Papers. RePEc:hal:wpaper:hal-01344699.

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2016Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis. (2016). Lunina, Veronika . In: Working Papers. RePEc:hhs:lunewp:2016_030.

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2016Economic Volatility and Sovereign Yields’ Determinants: a Time-Varying Approach. (2016). Jalles, Joao ; Afonso, Antonio. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp042016.

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2016A note on normalization schemes:The case of generalized forecast error variance decompositions. (2016). cipollini, andrea ; Caloia, Francesco Giuseppe ; Muzzioli, Silvia . In: Department of Economics. RePEc:mod:depeco:0092.

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2016Brazil, Preservation of Forest and Biodiversity. (2016). PAUNIC, ALIDA. In: MPRA Paper. RePEc:pra:mprapa:71462.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong . In: MPRA Paper. RePEc:pra:mprapa:76282.

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2016Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test. (2016). GUPTA, RANGAN ; Balcilar, Mehmet ; Cakan, Esin . In: Working Papers. RePEc:pre:wpaper:201631.

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2016The Effect of Investor Sentiment on Gold Market Dynamics. (2016). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bonato, Matteo . In: Working Papers. RePEc:pre:wpaper:201638.

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2016Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets. (2016). Ananchotikul, Nasha ; Zhang, Longmei . In: PIER Discussion Papers. RePEc:pui:dpaper:36..

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2016Volatility Dependent Dynamic Equicorrelation. (2016). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha . In: NCER Working Paper Series. RePEc:qut:auncer:2016_02.

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2016Multivariate Wishart stochastic volatility and changes in regime. (2016). Gribisch, Bastian . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-016-0269-9.

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2016Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6.

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2016Asymmetry with respect to the memory in stock market volatilities. (2016). Lonnbark, Carl . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0975-2.

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2016Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging. (2016). Wang, Yudong ; Liu, LI. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0983-2.

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2016Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data. (2016). Sen, Rituparna ; Mehrotra, Pulkit . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:14:y:2016:i:1:d:10.1007_s40953-016-0028-5.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160010.

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2017Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160014.

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2016Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160046.

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2016Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047.

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2016Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053.

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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Lucas, André ; Siegmann, Arjen H ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

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2016How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1602.

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2016Modelling volatility spillovers for bio-ethanol, sugarcane and corn. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1603.

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2016Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609.

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2016Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610.

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2016Volatility spillovers for spot, futures, and ETF prices in energy and agriculture. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1611.

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2016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1704.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1708.

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2016Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds. (2016). Sun, Hang . In: Research Memorandum. RePEc:unm:umagsb:2016032.

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2016Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance. (2016). Füss, Roland ; Adams, Zeno . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:13.

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2016RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES. (2016). Costola, Michele ; Caporin, Massimiliano . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:p:1650003-01-1650003-26.

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2017The European sovereign debt crisis: What have we learned?. (2017). Kräussl, Roman ; Stefanova, Denitsa ; Lehnert, Thorsten ; Kraussl, Roman . In: CFS Working Paper Series. RePEc:zbw:cfswop:567.

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Works by Massimiliano Caporin:


YearTitleTypeCited
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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2015Volatility Jumps and Their Economic Determinants.(2015) 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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