Massimiliano Caporin : Citation Profile

Are you Massimiliano Caporin?

17

H index

26

i10 index

1004

Citations

RESEARCH PRODUCTION:

68

Articles

122

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 55
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 152.    Total self citations: 97 (8.81 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca441
   Updated: 2020-05-23    RAS profile: 2020-03-21    
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Relations with other researchers

Works with:

Santucci de Magistris, Paolo (8)

McAleer, Michael (6)

Pelizzon, Loriana (6)

Ravazzolo, Francesco (6)

GUPTA, RANGAN (5)

Fontini, Fulvio (5)

Rossi, Eduardo (5)

Chang, Chia-Lin (4)

Billio, Monica (4)

Khalifa, Ahmed (3)

Maillet, Bertrand (3)

Jannin, Gregory (3)

Rodríguez Caballero, Carlos (3)

Paruolo, Paolo (2)

Costola, Michele (2)

Natvik, Gisle (2)

Lisi, Francesco (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 (275)

Chang, Chia-Lin (141)

Jimenez-Martin, Juan (81)

perez-amaral, teodosio (65)

GUPTA, RANGAN (34)

Hammoudeh, Shawkat (32)

Tansuchat, Roengchai (28)

Ruiz, Esther (26)

Asai, Manabu (20)

Hotta, Luiz (19)

Casarin, Roberto (17)

Cites to:

Bollerslev, Tim (114)

Engle, Robert (88)

McAleer, Michael (79)

Diebold, Francis (42)

Andersen, Torben (42)

Billio, Monica (31)

Tauchen, George (30)

Corsi, Fulvio (30)

Sheppard, Kevin (25)

Shephard, Neil (24)

Lisi, Francesco (24)

Main data

Where Massimiliano Caporin has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis5
Journal of Empirical Finance5
Energy Economics4
Journal of Economic Surveys4
Econometric Reviews4
Journal of Financial Econometrics3
Statistical Methods & Applications3
The North American Journal of Economics and Finance3
International Review of Economics & Finance3
Quantitative Finance3
Econometrics2
Energy Policy2
Mathematics and Computers in Simulation (MATCOM)2
Journal of Econometrics2
Journal of Risk and Financial Management2
Journal of International Financial Markets, Institutions and Money2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"18
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico10
Working Papers / Department of Economics, University of Venice "Ca' Foscari"10
KIER Working Papers / Kyoto University, Institute of Economic Research8
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE6
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
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
Working Papers / Swiss National Bank3
Post-Print / HAL3

Recent works citing Massimiliano Caporin (2020 and 2019)

YearTitle of citing document
2019PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES. (2019). GUPTA, RANGAN ; Wohar, Mark E. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:151-163.

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2019OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2019). Yoon, Seong-Min ; Lau, Chi Keung ; Gupta, Rangan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:1-23.

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

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

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2019Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152.

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

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020Cryptocurrency 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.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Cipollini, Fabrizio ; Palandri, Alessandro ; Gallo, Giampiero M. In: Papers. RePEc:arx:papers:2004.12400.

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2020Populism, Political Risk and the Economy: Lessons from Italy. (2019). Schiantarelli, Fabio ; Brianti, Marco ; Brancati, Emanuele ; Balduzzi, Pierluigi. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:989.

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

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

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2020Process-integrated design of a sub-ambient membrane process for CO2 removal from natural gas power plants. (2020). Lee, Sunghoon ; Kim, Jin-Kuk. In: Applied Energy. RePEc:eee:appene:v:260:y:2020:i:c:s0306261919319427.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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

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

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

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

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2019Spillovers and the determinants in Islamic equity markets. (2019). Balli, Faruk ; Hasan, Md Iftekhar ; de Bruin, Anne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305023.

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

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2019The role of corporate social responsibility in predicting CO2 emission: An institutional approach. (2019). Kudak, Robert. In: Ecological Economics. RePEc:eee:ecolec:v:163:y:2019:i:c:p:169-176.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2019Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

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

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

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

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2019What drives volatility in natural gas prices?. (2019). Smyth, Russell ; Hailemariam, Abebe. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:731-742.

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2019Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. (2019). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:950-969.

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2019How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study. (2019). cipollini, andrea ; Muzzioli, Silvia ; Caloia, Francesco Giuseppe. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303317.

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

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2019Analysis of corporate CO2 and energy cost efficiency: The role of performance indicators and effective environmental reporting. (2019). Lim, Seong-Rin ; Lee, Dae Sung ; Bang, You-Young. In: Energy Policy. RePEc:eee:enepol:v:133:y:2019:i:c:s0301421519304756.

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

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2019Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. (2019). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:188:y:2019:i:c:s0360544219316962.

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

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

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

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

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2019Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model. (2019). Canh, Nguyen ; Choti, Udomsak Wong ; Thong, Nguyen Trung ; Thanh, Su Dinh ; Dinhthanh, SU ; Wongchoti, Udomsak . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:90-100.

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2019Volatility co-movement between Bitcoin and Ether. (2019). Katsiampa, Paraskevi. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:221-227.

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2020The impact of Baidu Index sentiment on the volatility of Chinas stock markets. (2020). Gözgör, Giray ; Lu, Zhou ; Lau, Chi-Keung Marco ; Fang, Jianchun. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305609.

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

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

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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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

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

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2019Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202.

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

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio . In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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

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

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

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2019What drives European Union stock market co-movements?. (2019). Pochea, Maria Miruna ; NIOI, Mihai . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:97:y:2019:i:c:p:57-69.

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

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2019Uncertainty and oil volatility: New evidence. (2019). Cao, Xiang ; Zeng, Qing ; Mei, Dexiang ; Diao, Xiaohua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:155-163.

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2019Forecasting the oil prices: What is the role of skewness risk?. (2019). Wang, Yang ; Yin, Libo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711930175x.

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2019A novel approach to detect volatility clusters in financial time series. (2019). Sanchez-Granero, M A ; Fernandez-Martinez, M ; Trinidad, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314098.

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2019Is temperature-index derivative suitable for China?. (2019). Lu, Xunfa ; Tang, Yinshan ; Dzandu, Michael D ; Zhou, Ying ; Cui, Hairong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305576.

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

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

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

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

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2019A sectoral analysis of asymmetric nexus between oil price and stock returns. (2019). Salisu, Afees ; Raheem, Ibrahim ; Ndako, Umar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:61:y:2019:i:c:p:241-259.

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2019The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:102-121.

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2019The information content of realized volatility of sector indices in China’s stock market. (2019). Lung, Peter ; Zhang, Lili ; Liu, Dehong ; Lin, Tiantian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:625-640.

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

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2019An empirical investigation of volatility dynamics in the cryptocurrency market. (2019). Katsiampa, Paraskevi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:322-335.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2020Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. (2020). Gkillas, Konstantinos ; Floros, Christos ; Alghalith, Moawia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:35-:d:344228.

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

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

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

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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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2019Brexit and CDS spillovers across UK and Europe. (2018). Selmi, Refk ; bouoiyour, jamal. In: Post-Print. RePEc:hal:journl:hal-01736525.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2018Brexit and CDS spillovers across UK and Europe. (2018). . In: Working Papers. RePEc:hal:wpaper:hal-01736525.

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2018Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries. (2018). Ndiritu, Simon ; Chevallier, Julien ; Nganga, William. In: Working Papers. RePEc:hal:wpaper:halshs-01941226.

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2018Unequal Returns: Using the Atkinson Index to Measure Financial Risk. (2018). Fischer, Thomas ; Lundtofte, Frederik . In: Working Papers. RePEc:hhs:lunewp:2018_025.

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2019Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina. (2019). Hernandez, Ignacio Perrotini ; Benavides, Domingo Rodriguez. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:2:p:151-168.

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2020Populism, Political Risk and the Economy: Lessons from Italy. (2020). Schiantarelli, Fabio ; Brianti, Marco ; Brancati, Emanuele ; Balduzzi, Pierluigi. In: IZA Discussion Papers. RePEc:iza:izadps:dp12929.

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2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models. (2019). Dong, Manh Cuong ; Sriboonchitta, Songsak ; Lee, Sangyoel. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9743-z.

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2018Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA. (2018). Daelemans, Bram ; Nourzad, Farrokh ; Daniels, Joseph P. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:1:d:10.1007_s11079-017-9472-x.

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

Works by Massimiliano Caporin:

YearTitleTypeCited
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance.
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2018A multilevel factor approach for the analysis of CDS commonality and risk contribution In: CREATES Research Papers.
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2019A multilevel factor approach for the analysis of CDS commonality and risk contribution.(2019) In: Journal of International Financial Markets, Institutions and Money.
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2013Ensemble properties of high frequency data and intraday trading rules In: Papers.
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2015Ensemble properties of high-frequency data and intraday trading rules.(2015) In: Quantitative Finance.
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2014Option pricing with non-Gaussian scaling and infinite-state switching volatility In: Papers.
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2015Option pricing with non-Gaussian scaling and infinite-state switching volatility.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5		article
2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
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2018Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science.
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2015Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers.
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2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article4
2009A Scientific Classification of Volatility Models..(2009) In: Documentos de Trabajo del ICAE.
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2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article35
2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article108
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 108		paper
2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article17
2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 17		paper
2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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2002A note on calculating autocovariances of longâ€memory processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
[Full Text][Citation analysis]		article12
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series.
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
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2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
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2009Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2009) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper108
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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This paper has another version. Agregated cites: 108		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]		paper0
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach.(2019) In: Working Papers.
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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper20
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
[Full Text][Citation analysis]		paper13
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series.
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2010Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper41
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics.
[Full Text][Citation analysis]		paper4
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Documentos de Trabajo del ICAE.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper10
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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2014Robust ranking of multivariate GARCH models by problem dimension.(2014) In: Computational Statistics & Data Analysis.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Econometric Institute Research Papers.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: KIER Working Papers.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Documentos de Trabajo del ICAE.
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2013Ten Things You Should Know About DCC In: Working Papers in Economics.
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2013Ten Things You Should Know About DCC.(2013) In: Econometric Institute Research Papers.
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2013Ten Things You Should Know About DCC.(2013) In: KIER Working Papers.
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2013Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About DCC.(2013) In: Documentos de Trabajo del ICAE.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
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2013Ten Things You Should Know about the Dynamic Conditional Correlation Representation.(2013) In: Econometrics.
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2013Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Documentos de Trabajo del ICAE.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: KIER Working Papers.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Econometric Institute Research Papers.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
[Full Text][Citation analysis]		paper65
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: Documentos de Trabajo del ICAE.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 65		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
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
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2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
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2007Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers.
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2012Modelling and forecasting wind speed intensity for weather risk management In: Computational Statistics & Data Analysis.
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2010Modelling and forecasting wind speed intensity for weather risk management.(2010) In: Marco Fanno Working Papers.
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2014Variance clustering improved dynamic conditional correlation MGARCH estimators In: Computational Statistics & Data Analysis.
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2011Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators.(2011) In: Marco Fanno Working Papers.
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2013Equity and CDS sector indices: Dynamic models and risk hedging In: The North American Journal of Economics and Finance.
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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]		article5
2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
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2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
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2018A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms Economic Performance In: Ecological Economics.
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2017Chasing volatility In: Journal of Econometrics.
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2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
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2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
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2018“On the (Ab)use of Omega?†In: Journal of Empirical Finance.
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2018“On the (Ab)use of Omega?â€.(2018) In: Post-Print.
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2016On the (Ab)Use of Omega?.(2016) In: Working Papers.
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2015On the (Ab)Use of Omega?.(2015) In: Working Papers.
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2019Estimation and model-based combination of causality networks among large US banks and insurance companies In: Journal of Empirical Finance.
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2020Do structural breaks in volatility cause spurious volatility transmission? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2012Model based Monte Carlo pricing of energy and temperature Quanto options In: Energy Economics.
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2010Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options.(2010) In: Marco Fanno Working Papers.
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2010Model based Monte Carlo pricing of energy and temperature quanto options.(2010) In: MPRA Paper.
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2017The relationship between oil prices and rig counts: The importance of lags In: Energy Economics.
[Full Text][Citation analysis]		article2
2017The long-run oil–natural gas price relationship and the shale gas revolution In: Energy Economics.
[Full Text][Citation analysis]		article20
2015The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution.(2015) In: Marco Fanno Working Papers.
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2019Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock In: Energy Economics.
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2019Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements In: Energy Policy.
[Full Text][Citation analysis]		article1
2015Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy.
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2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: MPRA Paper.
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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: Documentos de Trabajo del ICAE.
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2019Decomposing and backtesting a flexible specification for CoVaR In: Journal of Banking & Finance.
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2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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2017Systemic co-jumps In: Journal of Financial Economics.
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2016Systemic co-jumps.(2016) In: SAFE Working Paper Series.
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2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
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2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
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2013Fast clustering of GARCH processes via Gaussian mixture models In: Mathematics and Computers in Simulation (MATCOM).
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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk In: Physica A: Statistical Mechanics and its Applications.
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