Massimiliano Caporin : Citation Profile

Are you Massimiliano Caporin?

21

H index

33

i10 index

1447

Citations

RESEARCH PRODUCTION:

81

Articles

122

Papers

RESEARCH ACTIVITY:

   20 years (2002 - 2022). See details.
   Cites by year: 72
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 187.    Total self citations: 100 (6.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca441
   Updated: 2022-08-13    RAS profile: 2022-05-31    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Pelizzon, Loriana (8)

Rodríguez Caballero, Carlos (6)

Ravazzolo, Francesco (6)

Fontini, Fulvio (6)

GUPTA, RANGAN (5)

Menkveld, Albert (4)

Deev, Oleg (4)

Dumitrescu, Ariadna (4)

Ferrara, Gerardo (4)

Holzmeister, Felix (4)

Gehrig, Thomas (4)

Johannesson, Magnus (4)

Bohorquez Correa, Santiago (4)

FERROUHI, EL MEHDI (4)

Abudy, Menachem (4)

Adrian, Tobias (4)

Chow, Nikolai Sheung-Chi (4)

Dimpfl, Thomas (4)

Brownlees, Christian (4)

Santucci de Magistris, Paolo (4)

CAPELLE-BLANCARD, Gunther (4)

Gerritsen, Dirk (4)

Dreber, Anna (4)

Ait-Sahalia, Yacine (4)

Colliard, Jean-Edouard (4)

Alexeev, Vitali (4)

Frömmel, Michael (3)

Füllbrunn, Sascha (3)

Billio, Monica (3)

Verousis, Thanos (2)

Harris, Jeffrey (2)

Park, Andreas (2)

Sarno, Lucio (2)

LINTON, OLIVER (2)

Wilhelmsson, Anders (2)

PASCUAL, ROBERTO (2)

Lof, Matthijs (2)

Davies, Ryan (2)

Smales, Lee (2)

Foucault, Thierry (2)

Patton, Andrew (2)

Zhou, Chen (2)

Lajaunie, Quentin (2)

Walther, Thomas (2)

Talavera, Oleksandr (2)

Nielsson, Ulf (2)

van Kervel, Vincent (2)

Xiu, Dacheng (2)

Horenstein, Alex (2)

Wolff, Christian (2)

Schwarz, Marco (2)

Shahzad, Syed Jawad Hussain (2)

Moinas, Sophie (2)

Frijns, Bart (2)

Gil-Bazo, Javier (2)

Schenk-Hoppé, Klaus (2)

Stefanova, Denitsa (2)

Jurkatis, Simon (2)

Rakowski, David (2)

Wong, Wing-Keung (2)

Pasquariello, Paolo (2)

Plazzi, Alberto (2)

Bouri, Elie (2)

Khalifa, Ahmed (2)

Putnins, Talis (2)

Ranaldo, Angelo (2)

Bos, Charles (2)

Taylor, Nick (2)

Palan, Stefan (2)

Tonks, Ian (2)

Roy, Saurabh (2)

Kassner, Bernhard (2)

Vilkov, Grigory (2)

Jalkh, Naji (2)

Hautsch, Nikolaus (2)

Hurlin, Christophe (2)

Xia, Shuo (2)

Regis, Luca (2)

Natvik, Gisle (2)

Rinne, Kalle (2)

Theissen, Erik (2)

Jimenez-Martin, Juan (2)

Scaillet, Olivier (2)

Pastor, Lubos (2)

Reitz, Stefan (2)

Liew, Chee (2)

Gorbenko, Arseny (2)

Lopez-Lira, Alejandro (2)

Heath, Davidson (2)

Patel, Vinay (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 (246)

Chang, Chia-Lin (123)

GUPTA, RANGAN (67)

Jimenez-Martin, Juan (53)

Pérez-Amaral, Teodosio (43)

Tansuchat, Roengchai (29)

Hammoudeh, Shawkat (27)

Ruiz, Esther (26)

Balcilar, Mehmet (25)

Asai, Manabu (19)

Hotta, Luiz (18)

Cites to:

Bollerslev, Tim (127)

Engle, Robert (111)

McAleer, Michael (100)

Diebold, Francis (60)

Andersen, Torben (50)

Billio, Monica (39)

Corsi, Fulvio (36)

Sheppard, Kevin (31)

Shephard, Neil (30)

Tauchen, George (30)

Hansen, Peter (26)

Main data

Where Massimiliano Caporin has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis5
Journal of Empirical Finance5
The North American Journal of Economics and Finance5
Energy Economics4
Econometric Reviews4
Journal of Economic Surveys4
International Review of Economics & Finance3
Quantitative Finance3
Statistical Methods & Applications3
Journal of Banking & Finance3
JRFM3
Journal of Financial Econometrics3
Mathematics and Computers in Simulation (MATCOM)2
Empirical Economics2
Econometrics2
Journal of Econometrics2
Journal of International Financial Markets, Institutions and Money2
The European Journal of Finance2
Energy Policy2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"20
Working Papers / Department of Economics, University of Venice "Ca' Foscari"11
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
KIER Working Papers / Kyoto University, Institute of Economic Research8
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE7
Post-Print / HAL6
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo5
Working Papers on Finance / University of St. Gallen, School of Finance5
MPRA Paper / University Library of Munich, Germany4
Tinbergen Institute Discussion Papers / Tinbergen Institute4
Working Papers / Swiss National Bank3
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Papers / arXiv.org3
Working Papers / University of Pretoria, Department of Economics3

Recent works citing Massimiliano Caporin (2022 and 2021)

YearTitle of citing document
2021Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions. (2021). Adam, Anokye M ; Oyedokun, Tunbosun ; Tweneboah, George ; Junior, Peterson Owusu ; Ijasan, Kola. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:3:p:58-91.

Full description at Econpapers || Download paper

2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

Full description at Econpapers || Download paper

2022Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model. (2022). Rangappa, K B ; Chetan, G K ; Suchitra, S. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:151-164.

Full description at Econpapers || Download paper

2022The Energy Transition and the Value of Capacity Remuneration Mechanisms. (2022). Fontini, Fulvio ; Bonaldo, Cinzia ; Moretto, Michele. In: FEEM Working Papers. RePEc:ags:feemwp:321985.

Full description at Econpapers || Download paper

2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

Full description at Econpapers || Download paper

2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

Full description at Econpapers || Download paper

2021A state space approach to fitting higher order moments of empirical financial series with GARCH model parameters. (2021). Savel, Sergey ; de Clerk, Luke. In: Papers. RePEc:arx:papers:2102.11627.

Full description at Econpapers || Download paper

2021Forecasting open-high-low-close data contained in candlestick chart. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2104.00581.

Full description at Econpapers || Download paper

2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

Full description at Econpapers || Download paper

2021Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556.

Full description at Econpapers || Download paper

2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

Full description at Econpapers || Download paper

2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

Full description at Econpapers || Download paper

2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

Full description at Econpapers || Download paper

2022A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289.

Full description at Econpapers || Download paper

2022Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.09568.

Full description at Econpapers || Download paper

2022Time-Varying Multivariate Causal Processes. (2022). Peng, Bin ; Gao, Jiti ; Yan, Yayi ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2206.00409.

Full description at Econpapers || Download paper

2022Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

Full description at Econpapers || Download paper

2021The management of sustainable development: A longitudinal analysis of the effects of environmental performance on economic performance. (2021). Sedita, Silvia Rita ; Blasi, Silvia ; Bassetti, Thomas. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:1:p:21-37.

Full description at Econpapers || Download paper

2021Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets. (2021). ALAGIDEDE, IMHOTEP ; Omaneadjepong, Maurice. In: Economic Papers. RePEc:bla:econpa:v:40:y:2021:i:2:p:152-166.

Full description at Econpapers || Download paper

2021Currency hedging and quantitative easing: Evidence from global bond markets. (2021). Zhong, Rui ; Zhang, Jie ; Kryzanowski, Lawrence. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:555-597.

Full description at Econpapers || Download paper

2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

Full description at Econpapers || Download paper

2021What Drives Saudi Airstrikes in Yemen? An Empirical Analysis of the Dynamics of Coalition Airstrikes, Houthi Attacks, and the Oil Market. (2021). Ansari, Dawud ; Schluter, Helen ; de Oca, Mariza Montes. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1959.

Full description at Econpapers || Download paper

2022Temporal networks in the analysis of financial contagion. (2022). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

Full description at Econpapers || Download paper

2021Oil Costs and Prices: An Empirical Causality Analysis. (2021). san Roque, Antonio Muoz ; Alonso, Pedro Moreno. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-66.

Full description at Econpapers || Download paper

2022Europe in World Natural Gas Market: International Transmission of European Price Shocks. (2022). Maslennikov, Alexander Oskarovich ; Kopytin, Ivan Aleksandrovich ; Zhukov, Stanislav Vyacheslavovich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-2.

Full description at Econpapers || Download paper

2021Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach. (2021). Vo, Duc ; Powell, Robert J ; Dinh, Dung V. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000221.

Full description at Econpapers || Download paper

2021Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

Full description at Econpapers || Download paper

2021Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach. (2021). Jiang, Cuixia ; Jin, Bei ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302357.

Full description at Econpapers || Download paper

2021Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000334.

Full description at Econpapers || Download paper

2022Two new mean–variance enhanced index tracking models based on uncertainty theory. (2022). Huang, Xiaoxia ; Yang, Tingting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002175.

Full description at Econpapers || Download paper

2022Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions. (2022). Xie, Chi ; Feng, Yusen ; Wang, Gang-Jin ; Qian, Biyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055.

Full description at Econpapers || Download paper

2021Too Cold to be Skeptical: How Ambient Temperature Moderates the Effects of CSR Communication. (2021). Hoffmann, Stefan ; Schmidt, Ulrich ; Krause, Jan S ; Mai, Robert ; Lasarov, Wassili. In: Ecological Economics. RePEc:eee:ecolec:v:183:y:2021:i:c:s092180092100001x.

Full description at Econpapers || Download paper

2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

Full description at Econpapers || Download paper

2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

Full description at Econpapers || Download paper

2022Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151.

Full description at Econpapers || Download paper

2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

Full description at Econpapers || Download paper

2022Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146.

Full description at Econpapers || Download paper

2021An assessment of the effect of partisan ideology on shale gas production and the implications for environmental regulations. (2021). Chang, Chun-Ping ; Zhao, Xinxin ; Zheng, Mingbo ; Li, Boying. In: Economic Systems. RePEc:eee:ecosys:v:45:y:2021:i:3:s0939362521000558.

Full description at Econpapers || Download paper

2022Insurance risk analysis of financial networks vulnerable to a shock. (2022). Xun, LI ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:756-771.

Full description at Econpapers || Download paper

2021Influences of sentiment from news articles on EU carbon prices. (2021). Xue, Minggao ; Ye, Jing. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321002929.

Full description at Econpapers || Download paper

2021Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis. (2021). karamti, chiraz ; Belhassine, Olfa. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003959.

Full description at Econpapers || Download paper

2021Mothballing in a Duopoly: Evidence from a (Shale) Oil Market. (2021). Vergalli, Sergio ; Kort, Peter ; Miniaci, Raffaele ; Menoncin, Francesco ; Hagspiel, Verena ; Comincioli, Nicola. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004539.

Full description at Econpapers || Download paper

2021Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results. (2021). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004977.

Full description at Econpapers || Download paper

2022Shale revolution, oil and gas prices, and drilling activities in the United States. (2022). Etienne, Xiaoli ; Li, Bingxin ; Shakya, Shishir. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000597.

Full description at Econpapers || Download paper

2022Multivariate stochastic volatility for herding detection: Evidence from the energy sector. (2022). Philippas, Nikolaos ; Tsionas, Mike G. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001402.

Full description at Econpapers || Download paper

2021Does the shale gas boom change the natural gas price-production relationship? Evidence from the U.S. market. (2021). Wen, Jun ; Chu, Yin ; Wang, Quan-Jing ; Feng, Gen-Fu ; Chang, Chun-Ping. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319300799.

Full description at Econpapers || Download paper

2021Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns. (2021). Vellucci, Pierluigi ; Quaresima, Greta ; Mazzoccoli, Alessandro ; Mastroeni, Loretta. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320303765.

Full description at Econpapers || Download paper

2021Macroeconomic uncertainty and natural gas prices: Revisiting the Asian Premium. (2021). Shen, Yifan ; Shi, Xunpeng. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304217.

Full description at Econpapers || Download paper

2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

Full description at Econpapers || Download paper

2021Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics. (2021). Wang, Lei ; Liu, Liang ; Wei, YU ; Yang, Kun. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000542.

Full description at Econpapers || Download paper

2021The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US. (2021). Fatemian, Farhad ; You, Wanhai ; Li, Yehua ; Guo, Yawei. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001031.

Full description at Econpapers || Download paper

2021The impact of extreme events on energy price risk. (2021). Chang, Chun-Ping ; Zhao, Xin-Xin ; Wen, Jun. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002139.

Full description at Econpapers || Download paper

2021Is there a bubble in the shale gas market?. (2021). Wang, LI ; Han, Xin ; Yang, Haijun. In: Energy. RePEc:eee:energy:v:215:y:2021:i:pa:s0360544220322088.

Full description at Econpapers || Download paper

2021Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives. (2021). Zou, Huiwen ; Li, Binlin ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:216:y:2021:i:c:s0360544220324099.

Full description at Econpapers || Download paper

2021Forecasting seasonal variations in electricity consumption and electricity usage efficiency of industrial sectors using a grey modeling approach. (2021). Zhao, Yu-Feng ; Pei, Ling-Ling ; Chen, Hai-Bao. In: Energy. RePEc:eee:energy:v:222:y:2021:i:c:s0360544221002012.

Full description at Econpapers || Download paper

2021Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models. (2021). Di, Peng ; Zhang, QI ; Farnoosh, Arash. In: Energy. RePEc:eee:energy:v:223:y:2021:i:c:s0360544221002991.

Full description at Econpapers || Download paper

2021Connectedness structures of sovereign bond markets in Central and Eastern Europe. (2021). Karkowska, Renata ; Urjasz, Szczepan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302866.

Full description at Econpapers || Download paper

2021Asymmetric volatility spillover among Chinese sectors during COVID-19. (2021). Bouri, Elie ; Peng, Zhe ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s105752192100096x.

Full description at Econpapers || Download paper

2021Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important. (2021). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001526.

Full description at Econpapers || Download paper

2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility. (2021). Dionisio, Andreia ; Banerjee, Ameet Kumar ; Mahapatra, Biplab ; Pradhan, H K. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001800.

Full description at Econpapers || Download paper

2021Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty. (2021). GUPTA, RANGAN ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319307020.

Full description at Econpapers || Download paper

2021How does CSR mediate the relationship between culture, religiosity and firm performance?. (2021). Mehmood, Asad ; Arunachalam, Murugesh ; Boubaker, Sabri ; Hunjra, Ahmed Imran. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319314552.

Full description at Econpapers || Download paper

2022Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128.

Full description at Econpapers || Download paper

2022Structural breaks, macroeconomic fundamentals and cross hedge ratio. (2022). Liu, LI ; Dong, Qingma ; Xiao, Dongli ; Pan, Zhiyuan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005699.

Full description at Econpapers || Download paper

2022Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis. (2022). Karim, Sitara ; Hassan, Kabir M ; Naeem, Muhammad Abubakr ; Anwer, Zaheer. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000952.

Full description at Econpapers || Download paper

2022COVID-19 and the Economy: Summary of research and future directions. (2022). Simkins, Betty J ; Iyer, Subramanian Rama. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001131.

Full description at Econpapers || Download paper

2022Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps. (2022). Helwege, Jean ; Zhang, Gaiyan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308920301418.

Full description at Econpapers || Download paper

2022Sovereign risk spillovers: A network approach. (2022). Le, Anh ; Dickinson, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000341.

Full description at Econpapers || Download paper

2021Long-term financial performance of corporate social responsibility. (2021). Kawakita, Hidetaka ; Shirasu, Yoko. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028319302844.

Full description at Econpapers || Download paper

2021The US shale gas revolution: An opportunity for the US manufacturing sector?. (2021). Kirat, Yassine. In: International Economics. RePEc:eee:inteco:v:167:y:2021:i:c:p:59-77.

Full description at Econpapers || Download paper

2021The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

Full description at Econpapers || Download paper

2022Quantifying the asymmetric spillovers in sustainable investments. (2022). Suleman, Muhammed Tahir ; Naeem, Muhammad Abubakr ; Iqbal, Najaf. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121001864.

Full description at Econpapers || Download paper

2022Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142.

Full description at Econpapers || Download paper

2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

Full description at Econpapers || Download paper

2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

Full description at Econpapers || Download paper

2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

Full description at Econpapers || Download paper

2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

Full description at Econpapers || Download paper

2021Federal reserve intervention and systemic risk during financial crises. (2021). Sedunov, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001692.

Full description at Econpapers || Download paper

2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077.

Full description at Econpapers || Download paper

2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

Full description at Econpapers || Download paper

2021Corporate social responsibility and firm performance in the hotel industry. The mediating role of green human resource management and environmental outcomes. (2021). Zaragoza-Saez, Patrocinio ; Marco-Lajara, Bartolome ; Claver-Cortes, Enrique ; Ubeda-Garcia, Mercedes. In: Journal of Business Research. RePEc:eee:jbrese:v:123:y:2021:i:c:p:57-69.

Full description at Econpapers || Download paper

2022Re-thinking about U: The relevance of regime-switching model in the relationship between environmental corporate social responsibility and financial performance. (2022). Managi, Shunsuke ; Taleb, Lotfi ; ben Zaied, Younes ; ben Lahouel, Bechir. In: Journal of Business Research. RePEc:eee:jbrese:v:140:y:2022:i:c:p:498-519.

Full description at Econpapers || Download paper

2022ECB monetary policy and bank default risk?. (2022). Vander Vennet, Rudi ; Soenen, Nicolas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002229.

Full description at Econpapers || Download paper

2022Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473.

Full description at Econpapers || Download paper

2021Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach. (2021). Yang, Yuhong ; Rolling, Craig ; Zhang, Yongli. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x20302918.

Full description at Econpapers || Download paper

2021The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?. (2021). Wu, Bi-Bo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300350.

Full description at Econpapers || Download paper

2021Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic. (2021). Singh, Vik ; Roca, Eduardo ; Li, Bin. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:2:p:253-277.

Full description at Econpapers || Download paper

2021Energy commodities and advanced stock markets: A post-crisis approach. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309181.

Full description at Econpapers || Download paper

2021Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies. (2021). Miller, Stephen ; Canarella, Giorgio ; Asl, Mahdi Ghaemi. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720310102.

Full description at Econpapers || Download paper

2021Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Miftah, Amal. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001574.

Full description at Econpapers || Download paper

2021Decomposition-selection-ensemble forecasting system for energy futures price forecasting based on multi-objective version of chaos game optimization algorithm. (2021). Zhang, Lifang ; Wang, Jianzhou ; Liu, Zhenkun ; Jiang, Ping. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002452.

Full description at Econpapers || Download paper

2021Dynamics and causality of oil price shocks on commodities: Quantile-on-quantile and causality-in-quantiles methods. (2021). Tong, Jing-Yang ; Wu, Bi-Bo ; Yang, Dong-Xiao. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002579.

Full description at Econpapers || Download paper

2021The changing role of foreign investors in Tokyo stock price formation. (2021). Iwatsubo, Kentaro ; Watkins, Clinton. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100055x.

Full description at Econpapers || Download paper

2021EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. (2021). Chatziantoniou, Ioannis ; Gabauer, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:1-14.

Full description at Econpapers || Download paper

2021An extended regularized Kalman filter based on Genetic Algorithm: Application to dynamic asset pricing models. (2021). Zhang, LU ; Liu, Jiapeng ; Jiang, Minqi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:28-44.

Full description at Econpapers || Download paper

2021Dynamic impact of the U.S. monetary policy on oil market returns and volatility. (2021). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169.

Full description at Econpapers || Download paper

2021Volatility spillover between exchange rate and stock returns under volatility shifts. (2021). Malik, Farooq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:605-613.

Full description at Econpapers || Download paper

2021Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK. (2021). al Rababaa, Abdel Razzaq ; Alomari, Mohammad ; Ur, Mobeen ; Alkhataybeh, Ahmad ; El-Nader, Ghaith. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:280-297.

Full description at Econpapers || Download paper

2021Identifying the fair value of Sharpe ratio by an option valuation approach. (2021). Li, Xiu-Yan ; Lu, Jin-Ray. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:63-70.

Full description at Econpapers || Download paper

2021Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:32-54.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper30
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2019The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2018A multilevel factor approach for the analysis of CDS commonality and risk contribution In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2019A multilevel factor approach for the analysis of CDS commonality and risk contribution.(2019) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2013Ensemble properties of high frequency data and intraday trading rules In: Papers.
[Full Text][Citation analysis]		paper4
2015Ensemble properties of high-frequency data and intraday trading rules.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2014Option pricing with non-Gaussian scaling and infinite-state switching volatility In: Papers.
[Full Text][Citation analysis]		paper5
2015Option pricing with non-Gaussian scaling and infinite-state switching volatility.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
[Full Text][Citation analysis]		paper4
2015Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2018Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article2
2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article23
2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article111
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		paper
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		paper
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		paper
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		paper
2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article25
2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 25		paper
2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 25		paper
2022Statistical Analysis of Financial Data: with Examples In R In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article0
2002A note on calculating autocovariances of long?memory processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
[Full Text][Citation analysis]		article11
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper174
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		article
2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper4
2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach.(2021) In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach.(2019) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper24
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2010Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
[Full Text][Citation analysis]		paper16
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2010Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper29
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics.
[Full Text][Citation analysis]		paper5
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2011Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper11
2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
[Full Text][Citation analysis]		paper22
2014Robust ranking of multivariate GARCH models by problem dimension.(2014) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2013Ten Things You Should Know About DCC In: Working Papers in Economics.
[Full Text][Citation analysis]		paper65
2013Ten Things You Should Know About DCC.(2013) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2013Ten Things You Should Know About DCC.(2013) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2013Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
[Full Text][Citation analysis]		paper65
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2013Ten Things You Should Know about the Dynamic Conditional Correlation Representation.(2013) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		article
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2013Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
[Full Text][Citation analysis]		paper61
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020On the volatilities of tourism stocks and oil In: Annals of Tourism Research.
[Full Text][Citation analysis]		article0
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article21
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article52
2007Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
2012Modelling and forecasting wind speed intensity for weather risk management In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article21
2010Modelling and forecasting wind speed intensity for weather risk management.(2010) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2014Variance clustering improved dynamic conditional correlation MGARCH estimators In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article8
2011Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators.(2011) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2013Equity and CDS sector indices: Dynamic models and risk hedging In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article7
2013A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article6
2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article4
2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2021TrAffic LIght system for systemic Stress: TALIS3 In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2018A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms Economic Performance In: Ecological Economics.
[Full Text][Citation analysis]		article27
2017Chasing volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2022Dynamic large financial networks via conditional expected shortfalls In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
2021Dynamic Large Financial Networks via Conditional Expected Shortfalls.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2018“On the (Ab)use of Omega?” In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2018“On the (Ab)use of Omega?”.(2018) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018“On the (Ab)use of Omega ?”.(2018) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
2016On the (Ab)Use of Omega?.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
2015On the (Ab)Use of Omega?.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2019Estimation and model-based combination of causality networks among large US banks and insurance companies In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2020Do structural breaks in volatility cause spurious volatility transmission? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2012Model based Monte Carlo pricing of energy and temperature Quanto options In: Energy Economics.
[Full Text][Citation analysis]		article10
2010Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options.(2010) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2010Model based Monte Carlo pricing of energy and temperature quanto options.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2017The relationship between oil prices and rig counts: The importance of lags In: Energy Economics.
[Full Text][Citation analysis]		article11
2017The long-run oil–natural gas price relationship and the shale gas revolution In: Energy Economics.
[Full Text][Citation analysis]		article34
2015The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution.(2015) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2019Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock In: Energy Economics.
[Full Text][Citation analysis]		article8
2019Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements In: Energy Policy.
[Full Text][Citation analysis]		article4
2015Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy.
[Full Text][Citation analysis]		article5
2021Dynamic network analysis of North American financial institutions In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2022Measuring systemic risk during the COVID-19 period: A TALIS3 approach In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article3
2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2019Decomposing and backtesting a flexible specification for CoVaR In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2022Systemic risk and severe economic downturns: A targeted and sparse analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2017Systemic co-jumps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article2
2016Systemic co-jumps.(2016) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Asymmetric and time-frequency spillovers among commodities using high-frequency data In: Resources Policy.
[Full Text][Citation analysis]		article4
2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article35
2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2013Fast clustering of GARCH processes via Gaussian mixture models In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article6
2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article32
2015The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk.(2015) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 32		paper
2015Realized range volatility forecasting: Dynamic features and predictive variables In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article8
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.
[Full Text][Citation analysis]		article8
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2017Building News Measures from Textual Data and an Application to Volatility Forecasting In: Econometrics.
[Full Text][Citation analysis]		article13
2021Has the EU-ETS Financed the Energy Transition of the Italian Power System? In: IJFS.
[Full Text][Citation analysis]		article2
2020Analytical Gradients of Dynamic Conditional Correlation Models In: JRFM.
[Full Text][Citation analysis]		article0
2020Financial Time Series: Methods and Models In: JRFM.
[Full Text][Citation analysis]		article0
2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective In: JRFM.
[Full Text][Citation analysis]		article2
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper1
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2021Non-Standard Errors.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2005Spatial effects in multivariate ARCH In: Economics and Quantitative Methods.
[Full Text][Citation analysis]		paper0
2005Multivariate ARCH with spatial effects for stock sector and size In: Economics and Quantitative Methods.
[Full Text][Citation analysis]		paper0
2008Scalar BEKK and indirect DCC In: Journal of Forecasting.
[Full Text][Citation analysis]		article48
2008Dating EU15 monthly business cycle jointly using GDP and IPI In: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]		article1
2007Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2013Volatility Threshold Dynamic Conditional Correlations: An International Analysis In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article31
2008Volatility Threshold Dynamic Conditional Correlations: An International Analysis.(2008) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2006Dynamic Asymmetric GARCH In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article15
2008Forecasting temperature indices with timevarying long-memory models In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper1
2009Structured Multivariate Volatility Models In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper3
2009Comparing and selecting performance measures for ranking assets In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper7
2011Modeling and forecasting realized range volatility In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper0
2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper3
2014Multi-jumps In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper1
2014Multi-jumps.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015Dynamic Principal Components: a New Class of Multivariate GARCH Models In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper1
2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper0
2020Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper1
2021The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper2
2012I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti In: Economics Department Working Papers.
[Full Text][Citation analysis]		paper0
2014The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2014Time-Varying Persistence in US Inflation In: Working Papers.
[Citation analysis]		paper7
2017Time-varying persistence in US inflation.(2017) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
[Full Text][Citation analysis]		paper17
2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2021Is the Korean housing market following Gangnam style? In: Empirical Economics.
[Full Text][Citation analysis]		article1
2003Identification of long memory in GARCH models In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article8
2005Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article57
2010Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article2
2012On the evaluation of marginal expected shortfall In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2006Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation In: Applied Financial Economics Letters.
[Full Text][Citation analysis]		article64
2019Asymmetry and leverage in GARCH models: a News Impact Curve perspective In: Applied Economics.
[Full Text][Citation analysis]		article4
2007Variance (Non) Causality in Multivariate GARCH In: Econometric Reviews.
[Full Text][Citation analysis]		article7
2009Periodic Long-Memory GARCH Models In: Econometric Reviews.
[Full Text][Citation analysis]		article9
2015Proximity-Structured Multivariate Volatility Models In: Econometric Reviews.
[Full Text][Citation analysis]		article8
2017Correction of Caporin and Paruolo (2015) In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
[Full Text][Citation analysis]		article5
2021Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2012On the role of risk in the Morningstar rating for mutual funds In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article13
2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2006Methodological aspects of time series back-calculation In: Working Papers.
[Full Text][Citation analysis]		paper8
2012Market volatility, optimal portfolios and naive asset allocations In: Working Papers.
[Full Text][Citation analysis]		paper0
2012CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Rational learning for risk-averse investors by conditioning on behavioral choices In: Working Papers.
[Full Text][Citation analysis]		paper0
2016RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES.(2016) In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2016Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers.
[Full Text][Citation analysis]		paper10
2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2013Forecasting Temperature Indices Density with Time?Varying Long?Memory Models In: Journal of Forecasting.
[Citation analysis]		article5
2011Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers.
[Full Text][Citation analysis]		paper6
2011Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2017Estimation and model-based combination of causality networks In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper3
2017Systemic risk for financial institutions of major petroleum-based economies: The role of oil In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Does monetary policy impact international market co-movements? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team