Massimiliano Caporin : Citation Profile

Are you Massimiliano Caporin?

14

H index

20

i10 index

698

Citations

RESEARCH PRODUCTION:

47

Articles

111

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 58
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 107.    Total self citations: 84 (10.74 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca441
   Updated: 2017-09-23    RAS profile: 2017-09-22    
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Relations with other researchers

Works with:

McAleer, Michael (26)

Ranaldo, Angelo (10)

Asai, Manabu (6)

Santucci de Magistris, Paolo (5)

Ravazzolo, Francesco (5)

Rossi, Eduardo (5)

Pelizzon, Loriana (5)

Rigobon, Roberto (4)

Chang, Chia-Lin (3)

Jimenez-Martin, Juan (3)

GUPTA, RANGAN (2)

Paruolo, Paolo (2)

Billio, Monica (2)

Renò, Roberto (2)

Fontini, Fulvio (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 (251)

Chang, Chia-Lin (126)

Jimenez-Martin, Juan (81)

perez-amaral, teodosio (65)

Hammoudeh, Shawkat (32)

Tansuchat, Roengchai (28)

Ruiz, Esther (17)

Casarin, Roberto (17)

Asai, Manabu (13)

Allen, David (12)

Ravazzolo, Francesco (12)

Cites to:

Bollerslev, Tim (87)

McAleer, Michael (81)

Engle, Robert (75)

Diebold, Francis (35)

Andersen, Torben (34)

Tauchen, George (27)

Billio, Monica (25)

Corsi, Fulvio (24)

Sheppard, Kevin (23)

Hansen, Peter (21)

Shephard, Neil (20)

Main data

Where Massimiliano Caporin has published?

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

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"17
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico10
KIER Working Papers / Kyoto University, Institute of Economic Research8
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo5
Working Papers on Finance / University of St. Gallen, School of Finance5
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt5
Tinbergen Institute Discussion Papers / Tinbergen Institute4
MPRA Paper / University Library of Munich, Germany4
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 (2017 and 2016)

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

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

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

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

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1705.00535.

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2016The place of gold in the cross-market dependencies. (2016). Tiwari, Aviral ; Chevallier, Julien ; Aboura, Sofiane ; Sofiane, Aboura ; Kumar, Tiwari Aviral ; Rania, Jammazi ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:5:p:567-586:n:3.

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

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

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

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

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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

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

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

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

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

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

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

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

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

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

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

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

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). García Enríquez, Javier ; Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andres ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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

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

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

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

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

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

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

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2017Risk aversion vs. the Omega ratio: Consistency results. (2017). Balder, Sven ; Schweizer, Nikolaus . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:78-84.

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

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

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

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

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

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

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

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

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

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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

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

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

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

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2017Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis. (2017). Kumar, Dilip . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:149-167.

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

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

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

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

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

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

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2016How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79913.

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

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

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

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

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2016Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:98657.

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

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

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

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

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2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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

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2017Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks. (2017). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-599.

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

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

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2017Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?. (2017). Bird, Graham ; Willett, Thomas ; Du, Wenti . In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-017-9436-1.

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

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2016Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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

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

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2016How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?. (2016). Babaei Balderlou, Saharnaz ; Torki, Mahyar Ebrahimi ; Heidari, Hassan . In: MPRA Paper. RePEc:pra:mprapa:80273.

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2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2017). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: MPRA Paper. RePEc:pra:mprapa:80435.

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2016Shluková analýza skoků na kapitálových trzích. (2016). Kočenda, Evžen ; Hanousek, Jan ; Koenda, Even ; Novotn, Jan . In: Politická ekonomie. RePEc:prg:jnlpol:v:2016:y:2016:i:2:id:1059:p:127-144.

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

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

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

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

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

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

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

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2017Faraway, so Close: Coupled Climate and Economic Dynamics in an Agent-Based Integrated Assessment Model. (2017). Roventini, Andrea ; Dosi, Giovanni ; Lamperti, Francesco ; Sapio, Alessandro ; Napoletano, Mauro . In: LEM Papers Series. RePEc:ssa:lemwps:2017/12.

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

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

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

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

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

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

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051.

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2017Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170082.

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

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

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

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

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

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

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

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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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2015Volatility Jumps and Their Economic Determinants.(2015) In: Journal of Financial Econometrics.
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2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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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]		paper1
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
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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2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article3
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]		article80
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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2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article11
2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
[Full Text][Citation analysis]		article10
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series.
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
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2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 10		paper
2009Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2009) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
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2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper76
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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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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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper18
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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This paper has another version. Agregated cites: 18		paper
2010Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
[Full Text][Citation analysis]		paper11
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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This paper has another version. Agregated cites: 11		paper
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper40
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research 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.
[Full Text][Citation analysis]		paper5
2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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This paper has another version. Agregated cites: 5		article
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5		paper
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.
[Full Text][Citation analysis]		paper10
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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This paper has another version. Agregated cites: 10		paper
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.
[Full Text][Citation analysis]
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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.
[Full Text][Citation analysis]		paper64
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
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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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This paper has another version. Agregated cites: 64		paper
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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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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.() In: .
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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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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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2015Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy.
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2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
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2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
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2013Fast clustering of GARCH processes via Gaussian mixture models In: Mathematics and Computers in Simulation (MATCOM).
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2015Realized range volatility forecasting: Dynamic features and predictive variables In: International Review of Economics & Finance.
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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? In: Econometric Institute Research Papers.
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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?.(2016) In: Tinbergen Institute Discussion Papers.
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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?.(2016) In: Documentos de Trabajo del ICAE.
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2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective In: Journal of Risk and Financial Management.
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2005Spatial effects in multivariate ARCH In: Economics and Quantitative Methods.
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2005Multivariate ARCH with spatial effects for stock sector and size In: Economics and Quantitative Methods.
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2008Scalar BEKK and indirect DCC In: Journal of Forecasting.
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2008Dating EU15 monthly business cycle jointly using GDP and IPI In: Journal of Business Cycle Measurement and Analysis.
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2013Volatility Threshold Dynamic Conditional Correlations: An International Analysis In: Journal of Financial Econometrics.
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2008Volatility Threshold Dynamic Conditional Correlations: An International Analysis.(2008) In: Marco Fanno Working Papers.
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2006Dynamic Asymmetric GARCH In: Journal of Financial Econometrics.
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2008Forecasting temperature indices with timevarying long-memory models In: Marco Fanno Working Papers.
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2009Structured Multivariate Volatility Models In: Marco Fanno Working Papers.
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2009Comparing and selecting performance measures for ranking assets In: Marco Fanno Working Papers.
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2011Modeling and forecasting realized range volatility In: Marco Fanno Working Papers.
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2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
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2014Multi-jumps In: Marco Fanno Working Papers.
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2014Multi-jumps.(2014) In: MPRA Paper.
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2015Dynamic Principal Components: a New Class of Multivariate GARCH Models In: Marco Fanno Working Papers.
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2012I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti In: Economics Department Working Papers.
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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises 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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2014The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises In: MPRA Paper.
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2014Time-Varying Persistence in US Inflation In: Working Papers.
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2017Time-varying persistence in US inflation.(2017) In: Empirical Economics.
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2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
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2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
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2010Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications.
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2012On the evaluation of marginal expected shortfall In: Applied Economics Letters.
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2006Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation In: Applied Financial Economics Letters.
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2007Variance (Non) Causality in Multivariate GARCH In: Econometric Reviews.
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2009Periodic Long-Memory GARCH Models In: Econometric Reviews.
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2015Proximity-Structured Multivariate Volatility Models In: Econometric Reviews.
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2017Correction of Caporin and Paruolo (2015) In: Econometric Reviews.
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2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
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2012On the role of risk in the Morningstar rating for mutual funds In: Quantitative Finance.
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2015Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance.
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2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
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2013Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance.
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2013Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models In: Journal of Forecasting.
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2011Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers.
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2011Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal.
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