17
H index
26
i10 index
1086
Citations
| 17 H index 26 i10 index 1086 Citations RESEARCH PRODUCTION: 68 Articles 125 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Caporin. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | On Evaluation of Risky Investment Projects. Investment Certainty Equivalence. (2020). Serebryannikova, Ekaterina ; Tipunin, Ilya ; Leonidov, Andrey. In: Papers. RePEc:arx:papers:2005.12173. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper | |
2020 | Past 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. Full description at Econpapers || Download paper | |
2021 | The management of sustainable development: A longitudinal analysis of the effects of environmental performance on economic performance. (2021). Sedita, Silvia Rita ; Blasi, Silvia ; Bassetti, Thomas. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:1:p:21-37. Full description at Econpapers || Download paper | |
2020 | Modelling 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. Full description at Econpapers || Download paper | |
2020 | Jump 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. Full description at Econpapers || Download paper | |
2020 | ECONOMETRICS 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. Full description at Econpapers || Download paper | |
2020 | Performance 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. Full description at Econpapers || Download paper | |
2020 | Populism, 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. Full description at Econpapers || Download paper | |
2020 | Penalized 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Forecasting 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. Full description at Econpapers || Download paper | |
2020 | Perceptions 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. Full description at Econpapers || Download paper | |
2020 | Identifying 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. Full description at Econpapers || Download paper | |
2020 | Process-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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Macro-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. Full description at Econpapers || Download paper | |
2020 | Oil 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. Full description at Econpapers || Download paper | |
2020 | Time-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. Full description at Econpapers || Download paper | |
2020 | Contagion 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. Full description at Econpapers || Download paper | |
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. Full description at Econpapers || Download paper | |
2020 | Distinguishing 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. Full description at Econpapers || Download paper | |
2020 | Dynamic 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. Full description at Econpapers || Download paper | |
2020 | Incorporating 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. Full description at Econpapers || Download paper | |
2020 | Nonlinearities 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. Full description at Econpapers || Download paper | |
2020 | Multiple-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. Full description at Econpapers || Download paper | |
2020 | Realized 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Volatility 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. Full description at Econpapers || Download paper | |
2020 | Oil 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Moments-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. Full description at Econpapers || Download paper | |
2020 | An 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. Full description at Econpapers || Download paper | |
2020 | Market 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. Full description at Econpapers || Download paper | |
2021 | Is there a bubble in the shale gas market?. (2021). Wang, LI ; Han, Xin ; Yang, Haijun. In: Energy. RePEc:eee:energy:v:215:y:2021:i:pa:s0360544220322088. Full description at Econpapers || Download paper | |
2021 | Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives. (2021). Zou, Huiwen ; Li, Binlin ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:216:y:2021:i:c:s0360544220324099. Full description at Econpapers || Download paper | |
2020 | Managing 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Time 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Are 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. Full description at Econpapers || Download paper | |
2020 | Unequal 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. Full description at Econpapers || Download paper | |
2020 | Modeling 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. Full description at Econpapers || Download paper | |
2021 | Corporate social responsibility and firm performance in the hotel industry. The mediating role of green human resource management and environmental outcomes. (2021). Zaragoza-Saez, Patrocinio ; Marco-Lajara, Bartolome ; Claver-Cortes, Enrique ; Ubeda-Garcia, Mercedes. In: Journal of Business Research. RePEc:eee:jbrese:v:123:y:2021:i:c:p:57-69. Full description at Econpapers || Download paper | |
2020 | Comovement 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. Full description at Econpapers || Download paper | |
2020 | Liquid 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. Full description at Econpapers || Download paper | |
2020 | Testing 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. Full description at Econpapers || Download paper | |
2020 | Iran 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. Full description at Econpapers || Download paper | |
2020 | Dynamics and correlation of platinum-group metals spot prices. (2020). Bao, Dun. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301975. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Herding 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. Full description at Econpapers || Download paper | |
2020 | Volatility 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. Full description at Econpapers || Download paper | |
2020 | Who 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | 125 ?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. Full description at Econpapers || Download paper | |
2021 | Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:32-54. Full description at Econpapers || Download paper | |
2021 | Linking 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. Full description at Econpapers || Download paper | |
2020 | Are 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. Full description at Econpapers || Download paper | |
2020 | Modeling 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. Full description at Econpapers || Download paper | |
2020 | Infectious 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. Full description at Econpapers || Download paper | |
2020 | Does 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. Full description at Econpapers || Download paper | |
2020 | Estimating 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. Full description at Econpapers || Download paper | |
2020 | Corporate 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. Full description at Econpapers || Download paper | |
2020 | Informal 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. Full description at Econpapers || Download paper | |
2020 | Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481. Full description at Econpapers || Download paper | |
2020 | Informal 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. Full description at Econpapers || Download paper | |
2020 | Populism, 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. Full description at Econpapers || Download paper | |
2020 | Realized 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. Full description at Econpapers || Download paper | |
2020 | Dynamic 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. Full description at Econpapers || Download paper | |
2020 | Intra-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. Full description at Econpapers || Download paper | |
2020 | Volatility 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. Full description at Econpapers || Download paper | |
2020 | Systemic Risk and the COVID Challenge in the European Banking Sector. (2020). di Giorgio, Giorgio ; Borri, Nicola. In: Working Papers CASMEF. RePEc:lui:casmef:2005. Full description at Econpapers || Download paper | |
2020 | Liquid 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. Full description at Econpapers || Download paper | |
2020 | Contingent Linear Financial Networks. (2020). Rigobon, Roberto ; Dahleh, Munther A ; Jiang, Bomin. In: NBER Working Papers. RePEc:nbr:nberwo:26814. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Selling 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Modelling 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. Full description at Econpapers || Download paper | |
2020 | Sovereign 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. Full description at Econpapers || Download paper | |
2020 | Does the hashrate affect the bitcoin price?. (2020). Fantazzini, Dean ; Kolodin, Nikita. In: MPRA Paper. RePEc:pra:mprapa:103812. Full description at Econpapers || Download paper | |
2020 | Broker 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053. Full description at Econpapers || Download paper | |
2020 | Drivers 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. Full description at Econpapers || Download paper | |
2020 | Contagion 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. Full description at Econpapers || Download paper | |
2020 | Economic 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. Full description at Econpapers || Download paper | |
2020 | Technical 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Discovering 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. Full description at Econpapers || Download paper | |
2020 | Dynamic 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. Full description at Econpapers || Download paper | |
2020 | Performance 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. Full description at Econpapers || Download paper | |
2020 | Robust 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. Full description at Econpapers || Download paper | |
2020 | Forecasting 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. Full description at Econpapers || Download paper | |
2020 | 125 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. Full description at Econpapers || Download paper | |
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2011 | Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | Multi-jumps In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | Multi-jumps.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2015 | Dynamic Principal Components: a New Class of Multivariate GARCH Models In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Price convergence within and between the Italian electricity day-ahead and dispatching services markets In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti In: Economics Department Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2014 | Time-Varying Persistence in US Inflation In: Working Papers. [Citation analysis] | paper | 4 |
2017 | Time-varying persistence in US inflation.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2009 | Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2012 | Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2003 | Identification of long memory in GARCH models In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
2005 | Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 12 |
2010 | Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
2012 | On the evaluation of marginal expected shortfall In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
2006 | Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation In: Applied Financial Economics Letters. [Full Text][Citation analysis] | article | 58 |
2019 | Asymmetry and leverage in GARCH models: a News Impact Curve perspective In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
2007 | Variance (Non) Causality in Multivariate GARCH In: Econometric Reviews. [Full Text][Citation analysis] | article | 7 |
2009 | Periodic Long-Memory GARCH Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 7 |
2015 | Proximity-Structured Multivariate Volatility Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 7 |
2017 | Correction of Caporin and Paruolo (2015) In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2012 | A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance. [Full Text][Citation analysis] | article | 4 |
2012 | On the role of risk in the Morningstar rating for mutual funds In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2015 | Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
2014 | Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2009 | A Scientific Classification of Volatility Models. In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] | paper | 4 |
2013 | Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 0 |
2006 | Methodological aspects of time series back-calculation In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2012 | Market volatility, optimal portfolios and naive asset allocations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Rational learning for risk-averse investors by conditioning on behavioral choices In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES.(2016) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2016 | Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2020 | Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2018 | Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2013 | Forecasting Temperature Indices Density with Timeâ€Varying Longâ€Memory Models In: Journal of Forecasting. [Citation analysis] | article | 4 |
2011 | Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2011 | Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2017 | Estimation and model-based combination of causality networks In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2017 | The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2017 | Systemic risk for financial institutions of major petroleum-based economies: The role of oil In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Does monetary policy impact international market co-movements? In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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