Massimiliano Caporin : Citation Profile


Are you Massimiliano Caporin?

17

H index

26

i10 index

1086

Citations

RESEARCH PRODUCTION:

68

Articles

125

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 60
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 98 (8.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca441
   Updated: 2021-03-07    RAS profile: 2020-10-21    
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Relations with other researchers


Works with:

Pelizzon, Loriana (7)

Rodríguez Caballero, Carlos (6)

Ravazzolo, Francesco (5)

Santucci de Magistris, Paolo (5)

Chang, Chia-Lin (4)

Fontini, Fulvio (4)

GUPTA, RANGAN (4)

McAleer, Michael (4)

Billio, Monica (4)

Plazzi, Alberto (2)

Khalifa, Ahmed (2)

Rossi, Eduardo (2)

Natvik, Gisle (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 (135)

Jimenez-Martin, Juan (48)

GUPTA, RANGAN (43)

perez-amaral, teodosio (37)

Hammoudeh, Shawkat (32)

Tansuchat, Roengchai (28)

Ruiz, Esther (26)

Asai, Manabu (22)

Hotta, Luiz (19)

Balcilar, Mehmet (17)

Cites to:

Bollerslev, Tim (116)

Engle, Robert (91)

McAleer, Michael (84)

Andersen, Torben (42)

Diebold, Francis (42)

Billio, Monica (31)

Corsi, Fulvio (31)

Tauchen, George (30)

Sheppard, Kevin (26)

Shephard, Neil (24)

Lisi, Francesco (24)

Main data


Where Massimiliano Caporin has published?


Journals with more than one article published# docs
Journal of Empirical Finance5
Computational Statistics & Data Analysis5
Econometric Reviews4
Energy Economics4
Statistical Methods & Applications3
International Review of Economics & Finance3
Quantitative Finance3
Journal of Risk and Financial Management3
Journal of Financial Econometrics3
The North American Journal of Economics and Finance3
Journal of International Financial Markets, Institutions and Money2
Energy Policy2
Journal of Banking & Finance2
Journal of Econometrics2
Journal of Economic Surveys2
Mathematics and Computers in Simulation (MATCOM)2
Econometrics2

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"19
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
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico10
KIER Working Papers / Kyoto University, Institute of Economic Research8
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE7
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
Post-Print / HAL3
Working Papers / University of Pretoria, Department of Economics3
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Working Papers / Swiss National Bank3
Papers / arXiv.org3

Recent works citing Massimiliano Caporin (2021 and 2020)


YearTitle of citing document
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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2021Cryptocurrency 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). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020On Evaluation of Risky Investment Projects. Investment Certainty Equivalence. (2020). Serebryannikova, Ekaterina ; Tipunin, Ilya ; Leonidov, Andrey. In: Papers. RePEc:arx:papers:2005.12173.

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2020A Sentiment Analysis Approach to the Prediction of Market Volatility. (2020). Geman, Helyette ; Deveikyte, Justina ; Provetti, Alessandro ; Piccari, Carlo. In: Papers. RePEc:arx:papers:2012.05906.

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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.

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2020Past managerial guidance and returns to variance trading around earnings announcements. (2020). Neururer, Thaddeus. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2995-3031.

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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.

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2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS. (2020). Boudt, Kris ; Algaba, Andres ; Borms, Samuel ; Bluteau, Keven ; Ardia, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547.

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2020Performance estimation of a wind farm with a dependence structure between electricity price and wind speed. (2020). D'Amico, Guglielmo ; Casula, Laura ; Petroni, Filippo ; Masala, Giovanni. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:10:p:2803-2822.

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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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2020Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts. (2020). Gooijer, Jan G. ; Dawit, Zerom ; Jan, De Gooijer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:4.

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2020A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020Perceptions and Determinants of SMEs Consumers’ Behaviors for Electricity Saving: Evidence from Indonesia. (2020). Amar, Kifayah ; Mangngenre, Saiful ; Miyauchi, Hajime ; Akil, Yusri Syam. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-03-20.

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2020Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis. (2020). Hung, Ngo Thai. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-37.

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

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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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2020Macro-uncertainty and financial stress spillovers in the Eurozone. (2020). Mikaliunaite, Ieva ; Cipollini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:546-558.

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2020Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301330.

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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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2020Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864.

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2020“Environment-selected directors”: An interactive simulation experiment of environmental representation on corporate boards. (2020). Mandalik, Ameya N ; Atwal, Paramdeep S ; Squire, Kurt ; Black, Rebecca W ; Nikols, Nick ; Torrance, Andrew W ; Silberman, Six M ; Tomlinson, Bill ; Workman, Mary Kate ; Railkar, Sahil. In: Ecological Economics. RePEc:eee:ecolec:v:178:y:2020:i:c:s0921800920305103.

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2020Distinguishing between breaks in the mean and breaks in persistence under long memory. (2020). Sibbertsen, Philipp ; Mboya, Mwasi Paza ; Wingert, Simon. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302196.

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2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2020The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis. (2020). Rubaszek, Michał ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300529.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020An investigation of long range reliance on shale oil and shale gas production in the U.S. market. (2020). solarin, sakiru ; Gil-Alana, Luis ; Lafuente, Carmen. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220300402.

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2020Market reforms and determinants of import natural gas prices in China. (2020). Zhang, Dayong ; Shi, Xunpeng ; Ji, Qiang ; Wang, Tiantian. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220302127.

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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.

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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.

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2020Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach. (2020). Wiethe, Christian ; Trankler, Timm ; Toppel, Jannick ; Baltuttis, Dennik. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305131.

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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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2020Time and frequency relationship between household investors’ sentiment index and US industry stock returns. (2020). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Hernandez, Jose Arreola ; Khan, Muhammad Asif. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319304465.

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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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2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

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2020Unequal returns: Using the Atkinson index to measure financial risk. (2020). Fischer, Thomas ; Lundtofte, Frederik. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300868.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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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.

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2020Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Putnam, Kyle J ; Adhikari, Ramesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

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2020Liquid fuel price adjustment in Greece: A two-stage, threshold cointegration approach. (2020). Fountas, Stilianos ; Malkidis, Stavros. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300189.

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2020Testing for multiple bubbles in the copper price: Periodically collapsing behavior. (2020). Wang, Xiao-Qing ; Su, Chi-Wei ; Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Zhu, Haotian. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719301825.

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2020Iran in the emerging global natural gas market: A scenario-based competitive analysis and policy assessment. (2020). Pakseresht, Saeed ; Akhavan, Amir Naser ; Wood, David A ; Hafezi, Reza. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720300349.

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2020Dynamics and correlation of platinum-group metals spot prices. (2020). Bao, Dun. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301975.

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2020The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis. (2020). Basnet, Hem C ; Vatsa, Puneet. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302920.

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2020The predictive power of oil price shocks on realized volatility of oil: A note. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874.

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2020Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*. (2020). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:134:y:2020:i:c:s1364032120306377.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2020Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China. (2020). Lv, Xin ; Xin Lv, ; Yu, Chang ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:85-100.

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2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

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2020The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains. (2020). Yan, Xing-Xing ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:750-768.

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2020125 ?Years of time-varying effects of fiscal policy on financial markets. (2020). GUPTA, RANGAN ; Marfatia, Hardik A ; Miller, Stephen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:303-320.

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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.

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2021Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio. (2021). Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:779-810.

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2020Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?. (2020). Ma, Xin-Yu ; Wang, Gang-Jin ; Wu, Hao-Yu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311146.

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2020Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470.

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2020Infectious Diseases, Market Uncertainty and Oil Market Volatility. (2020). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Bouri, Elie. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:16:p:4090-:d:395806.

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2020Does the Hashrate Affect the Bitcoin Price?. (2020). Fantazzini, Dean ; Kolodin, Nikita. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:263-:d:437598.

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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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2020Corporate Social Responsibility and Firms’ Financial Performance: A New Insight. (2020). Aman, Jaffar ; Saleem, Maria ; Ariza-Montes, Antonio ; Sattar, Usman ; Qadeer, Faisal ; Mahmood, Faisal. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4211-:d:361074.

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2020Informal versus Formal Corporate Social Responsibility: a Tale of Hidden Green Attitude. (2020). Chiroleu-Assouline, Mireille ; Beaumais, Olivier. In: PSE Working Papers. RePEc:hal:psewpa:halshs-03073242.

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2020Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481.

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2020Informal versus Formal Corporate Social Responsibility: a Tale of Hidden Green Attitude. (2020). Chiroleu-Assouline, Mireille ; Beaumais, Olivier. In: Working Papers. RePEc:hal:wpaper:halshs-03073242.

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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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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2020Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market. (2020). Alagidede, Imhotep Paul ; Omane-Adjepong, Maurice. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09306-4.

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2020Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC. (2020). Qarni, Muhammad Owais ; Gulzar, Saqib. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:3:d:10.1007_s10663-019-09437-6.

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2020Volatility and asymmetric dependence in Central and East European stock markets. (2020). Vo, Thi Thuy Anh ; Mollah, Sabur ; Mobarek, Asma ; Joseph, Nathan Lael. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00874-0.

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2020Systemic Risk and the COVID Challenge in the European Banking Sector. (2020). di Giorgio, Giorgio ; Borri, Nicola. In: Working Papers CASMEF. RePEc:lui:casmef:2005.

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2020Liquid fuel price adjustment in Greece:a two-stage, threshold cointegration approach. (2020). Fountas, Stilianos ; Malkidis, Stavros. In: Discussion Paper Series. RePEc:mcd:mcddps:2020_04.

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2020Contingent Linear Financial Networks. (2020). Rigobon, Roberto ; Dahleh, Munther A ; Jiang, Bomin. In: NBER Working Papers. RePEc:nbr:nberwo:26814.

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2020A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models. (2002). Asai, Manabu ; Asaiz, Manabu ; Poignard, Benjamin. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:2002.

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2020Selling the circularity: Investigating the impact of circularity promotion on the performance of Italian manufacturing companies. (2020). Crisafulli, Benedetta ; Blasi, Silvia ; Sedita, Silvia Rita. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0259.

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2020The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model. (2020). Li, Yali ; Hao, Aimin ; Chen, Xiurong. In: PLOS ONE. RePEc:plo:pone00:0229913.

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2020Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR. (2020). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu O ; Vo, Xuan Vinh. In: MPRA Paper. RePEc:pra:mprapa:102190.

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2020Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:102846.

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2020Does the hashrate affect the bitcoin price?. (2020). Fantazzini, Dean ; Kolodin, Nikita. In: MPRA Paper. RePEc:pra:mprapa:103812.

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2020Broker Network Connectivity and the Cross-Section of Expected Stock Returns. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Demir, Muge ; Tinic, Murat. In: MPRA Paper. RePEc:pra:mprapa:104719.

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2020The effect of the PSI in the relationship between sovereign and bank credit risk: Evidence from the Euro Area. (2020). PSILLAKI, Maria ; Margaritis, Dimitris ; Papafilis, Michalis-Panayiotis. In: MPRA Paper. RePEc:pra:mprapa:98182.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2020Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vander Vennet, Rudi ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997.

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2020Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium. (2020). Tsiaras, Konstantinos. In: SPOUDAI Journal of Economics and Business. RePEc:spd:journl:v:70:y:2020:i:3-4:p:42-55.

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2020Economic volatility and sovereign yields’ determinants: a time-varying approach. (2020). Jalles, Joao ; Afonso, Antonio. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1540-6.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2020A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8.

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2020Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. (2020). Ali, Shoaib ; Yousaf, Imran. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00213-1.

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2020Dynamic structural impacts of oil shocks on exchange rates: lessons to learn. (2020). Bouri, Elie ; Suleman, Muhammad Tahir ; Hussain, Syed Jawad ; Ji, Qiang. In: Journal of Economic Structures. RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00194-5.

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2020Performance estimation of photovoltaic energy production. (2020). Petroni, Filippo ; Masala, Giovanni ; Damico, Guglielmo ; Casula, Laura. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:13:y:2020:i:3:d:10.1007_s12076-020-00258-x.

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2020Robust fuzzy clustering based on quantile autocovariances. (2020). Vilar, J A ; Durso, P ; Lafuente-Rego, B. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1053-6.

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2020Forecasting natural gas prices using highly flexible time-varying parameter models. (2020). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen. In: Working Papers. RePEc:tas:wpaper:32412.

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2020125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2020). Miller, Stephen ; Marfatia, Hardik ; GUPTA, RANGAN. In: Working papers. RePEc:uct:uconnp:2020-12.

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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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paper24
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 In: CREATES Research Papers.
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2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
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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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2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
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2015Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers.
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2018Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science.
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2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
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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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2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
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2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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2002A note on calculating autocovariances of long‐memory processes In: Journal of Time Series Analysis.
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2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
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2009Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2009) In: Documentos de Trabajo del ICAE.
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2012Measuring sovereign contagion in Europe In: Working Paper.
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2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach.(2019) In: Working Papers.
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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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paper22
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.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series.
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2010Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
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paper41
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics.
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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.
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paper11
2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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paper19
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: Econometric Institute Research Papers.
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2013Ten Things You Should Know about the Dynamic Conditional Correlation Representation.(2013) In: Econometrics.
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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: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Documentos de Trabajo del ICAE.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
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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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2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
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paper0
2020On the volatilities of tourism stocks and oil In: Annals of Tourism Research.
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article0
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
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article18
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
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article44
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.
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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 on Finance.
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2018“On the (Ab)use of Omega?”.(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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2012Model based Monte Carlo pricing of energy and temperature Quanto options In: Energy Economics.
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2010Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options.(2010) In: Marco Fanno Working Papers.
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2010Model based Monte Carlo pricing of energy and temperature quanto options.(2010) In: MPRA Paper.
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2017The relationship between oil prices and rig counts: The importance of lags In: Energy Economics.
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2017The long-run oil–natural gas price relationship and the shale gas revolution In: Energy Economics.
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2015The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution.(2015) In: Marco Fanno Working Papers.
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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.
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2015Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy.
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2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
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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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