Massimiliano Caporin : Citation Profile


Are you Massimiliano Caporin?

23

H index

37

i10 index

1666

Citations

RESEARCH PRODUCTION:

95

Articles

123

Papers

RESEARCH ACTIVITY:

   21 years (2002 - 2023). See details.
   Cites by year: 79
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 101.    Total self citations: 104 (5.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca441
   Updated: 2024-01-16    RAS profile: 2023-12-24    
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Relations with other researchers


Works with:

Fontini, Fulvio (5)

Dimpfl, Thomas (4)

Alexeev, Vitali (4)

Johannesson, Magnus (4)

Adrian, Tobias (4)

CAPELLE-BLANCARD, Gunther (4)

Chow, Nikolai Sheung-Chi (4)

Colliard, Jean-Edouard (4)

Dreber, Anna (4)

Deku, Solomon (4)

Füllbrunn, Sascha (4)

Gehrig, Thomas (4)

Deev, Oleg (4)

Ait-Sahalia, Yacine (4)

Chernov, Mikhail (4)

Ravazzolo, Francesco (4)

Bohorquez Correa, Santiago (4)

Brownlees, Christian (4)

Gerritsen, Dirk (4)

Ferrara, Gerardo (4)

Menkveld, Albert (4)

Abudy, Menachem (4)

Dumitrescu, Ariadna (4)

FERROUHI, EL MEHDI (4)

Pelizzon, Loriana (4)

Frömmel, Michael (4)

Holzmeister, Felix (4)

GUPTA, RANGAN (3)

Pasquariello, Paolo (2)

Reitz, Stefan (2)

Rinne, Kalle (2)

Sarno, Lucio (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Ranaldo, Angelo (2)

Lof, Matthijs (2)

Moinas, Sophie (2)

Pastor, Lubos (2)

Smales, Lee (2)

Roy, Saurabh (2)

Lajaunie, Quentin (2)

Patton, Andrew (2)

LINTON, OLIVER (2)

Horenstein, Alex (2)

Bos, Charles (2)

Taylor, Nick (2)

Schwarz, Marco (2)

Kearney, Fearghal (2)

Xiu, Dacheng (2)

Bouri, Elie (2)

Renault, Thomas (2)

Gorbenko, Arseny (2)

Schenk-Hoppé, Klaus (2)

Ødegaard, Bernt (2)

Billio, Monica (2)

Davies, Ryan (2)

PASCUAL, ROBERTO (2)

Jimenez-Martin, Juan (2)

Wong, Wing-Keung (2)

Schuerhoff, Norman (2)

Patel, Vinay (2)

Prokopczuk, Marcel (2)

van Kervel, Vincent (2)

Park, Andreas (2)

Wilhelmsson, Anders (2)

Kassner, Bernhard (2)

Gil-Bazo, Javier (2)

Paterlini, Sandra (2)

Sojli, Elvira (2)

Korajczyk, Robert (2)

Liew, Chee (2)

Palan, Stefan (2)

Mihet, Roxana (2)

Lopez-Lira, Alejandro (2)

Heath, Davidson (2)

Söderlind, Paul (2)

Hjalmarsson, Erik (2)

Walther, Thomas (2)

Theissen, Erik (2)

Shahzad, Syed Jawad Hussain (2)

Wolff, Christian (2)

Zhou, Chen (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Xia, Shuo (2)

Vogel, Sebastian (2)

Talavera, Oleksandr (2)

Frijns, Bart (2)

Harris, Jeffrey (2)

Hautsch, Nikolaus (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Foucault, Thierry (2)

Hurlin, Christophe (2)

Rakowski, David (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Putnins, Talis (2)

Regis, Luca (2)

Jurkatis, Simon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Caporin.

Is cited by:

Chang, Chia-Lin (123)

GUPTA, RANGAN (73)

Jimenez-Martin, Juan (53)

Pérez-Amaral, Teodosio (43)

Tansuchat, Roengchai (29)

Hammoudeh, Shawkat (27)

Balcilar, Mehmet (26)

Ruiz, Esther (26)

Asai, Manabu (19)

Hotta, Luiz (18)

Wohar, Mark (18)

Cites to:

Bollerslev, Tim (137)

Engle, Robert (118)

Diebold, Francis (69)

Andersen, Torben (60)

Billio, Monica (43)

Laurent, Sébastien (42)

Bauwens, Luc (38)

Corsi, Fulvio (38)

Hansen, Peter (34)

Shephard, Neil (34)

Sheppard, Kevin (33)

Main data


Where Massimiliano Caporin has published?


Journals with more than one article published# docs
Energy Economics7
The North American Journal of Economics and Finance6
Computational Statistics & Data Analysis5
Journal of Empirical Finance5
Journal of Economic Surveys4
International Review of Economics & Finance4
Econometric Reviews4
The Journal of Financial Econometrics3
Finance Research Letters3
Statistical Methods & Applications3
JRFM3
Journal of Banking & Finance3
Quantitative Finance3
Applied Economics2
Journal of Econometrics2
Econometrics2
The European Journal of Finance2
Journal of International Financial Markets, Institutions and Money2
Energy Policy2
Mathematics and Computers in Simulation (MATCOM)2
Empirical Economics2
Resources Policy2

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

Recent works citing Massimiliano Caporin (2024 and 2023)


YearTitle of citing document
2023Long Monthly European Temperature Series and the North Atlantic Oscillation. (2023). Teräsvirta, Timo ; Tersvirta, Timo ; Silvennoinen, Annastiina ; Kang, Jian ; He, Changli. In: Economics Working Papers. RePEc:aah:aarhec:2023-03.

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2023Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk. (2023). Sprincean, Nicu ; Georgescu, George ; Capraru, Bogdan. In: Working Papers of Romania Fiscal Council. RePEc:ane:wpcfro:230201.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762.

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2023Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692.

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2023Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473.

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2023.

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2023Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023Understanding E10 markets in the U.S.: Evidence from spatial data. (2023). Tokgoz, Simla ; Traore, Fousseini. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1267-1281.

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2023Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Zeng, Hongjun ; Xu, Wen ; Lu, Ran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481.

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2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

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2023How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach. (2023). Chang, Tsangyao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000025.

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2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

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2023Searching hedging instruments against diverse global risks and uncertainties. (2023). Rafia, Humaira Tahsin ; Gider, Zeynullah ; Hassan, Kabir M ; Hasan, Md Bokhtiar ; Rashid, Mamunur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000165.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023The impacts of investor network and herd behavior on market stability: Social learning, network structure, and heterogeneity. (2023). Diao, Xundi ; Gong, Qingbin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:3:p:1388-1398.

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2023Does the default pecking order impact systemic risk? Evidence from Brazilian data. (2023). Silva, Thiago ; Rodrigues, Francisco Aparecido ; Michalak, Krzysztof ; Alexandre, Michel. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1379-1391.

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2023Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965.

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2023Joint optimization of sales-mix and generation plan for a large electricity producer. (2023). Ruiz, Carlos ; Falbo, Paolo. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000336.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023Risk network of global energy markets. (2023). Uddin, Gazi ; Okhrin, Yarema ; Rahman, Md Lutfur ; Jayasekera, Ranadeva ; Yahya, Muhammad ; Luo, Tianqi. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003808.

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2023Connectedness in implied higher-order moments of precious metals and energy markets. (2023). Zhang, Hongwei ; Xu, Yahua ; Lei, Xiaojie ; Bouri, Elie. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pb:s0360544222024744.

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2023Insights of energy and its trade networking impacts on sustainable economic development. (2023). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:265:y:2023:i:c:s0360544222032054.

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2023A conditional higher-moment CAPM. (2023). Tucker, Jon ; Guermat, Cherif ; Vendrame, Vasco. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000406.

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2023The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation. (2023). Pacelli, Vincenzo ; Foglia, Matteo ; di Tommaso, Caterina. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000947.

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2023Macrofinancial determinants of volatility transmission in a network of European sovereign debt markets. (2023). Rambaud, Salvador Cruz ; Garcia, Javier Sanchez. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000090.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Breakup and default risks in the great lockdown. (2023). Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621002600.

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2023Real estate security token offerings and the secondary market: Driven by crypto hype or fundamentals?. (2023). Dorfleitner, Gregor ; Steininger, Bertram I ; Laschinger, Ralf ; Kreppmeier, Julia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001450.

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2023Assessing linkages between alternative energy markets and cryptocurrencies. (2023). lucey, brian ; Karim, Sitara ; Farid, Saqib ; Gul, Raazia ; Naeem, Muhammad Abubakr. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:211:y:2023:i:c:p:513-529.

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2023Monetary policy and Bitcoin. (2023). Karau, Soren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000815.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Worst-case analysis of Omega-VaR ratio optimization model. (2023). Mansini, Renata ; Sharma, Amita ; Sehgal, Ruchika. In: Omega. RePEc:eee:jomega:v:114:y:2023:i:c:s0305048322001372.

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2023On the connection between international REITs and oil markets: The role of economic policy uncertainty. (2023). Oyewole, Oluwatomisin ; Fasanya, Ismail O. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000430.

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2023Dependence and risk management of portfolios of metals and agricultural commodity futures. (2023). Mensi, Walid ; Hanif, Waqas ; Kang, Sang Hoon ; Hernandez, Jose Arreola ; Bensaida, Ahmed ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002787.

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2023Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach. (2023). GUPTA, RANGAN ; Gabauer, David ; Chatziantoniou, Ioannis. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004403.

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2023Institutional and country level determinants of vertical integration: New evidence from the oil and gas industry. (2023). Thanakijsombat, Thanarerk ; Nosheen, Safia ; Saeed, Asif ; Zahoor, Muhammad Khurram ; Ali, Muhammad Kashif. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004889.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market. (2023). Zhang, Yugui ; Li, Jinlong ; Ling, Aifan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001683.

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2023Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective. (2023). Zhu, Xiaoqian ; Huang, Chuangxia ; Li, Jianping ; Wen, Shigang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:190-202.

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2023Are Islamic stocks immune from financial crises? Evidence from contagion tests. (2023). Hoque, Ariful ; Hassan, Kamrul ; Wong, Wing-Keung ; Gasbarro, Dominic. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:919-948.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Tunaru, Radu ; Bevilacqua, Mattia ; Vioto, Davide. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119289.

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2023Firm-level attitudes and actions to the “Twin Transition” challenges of digitalisation and climate change. (2023). Lawless, Martina ; Kren, Janez. In: Papers. RePEc:esr:wpaper:wp742.

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2023.

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2023Asymmetric Effects of Prices and Storage on Rig Counts: Evidence from the US Natural Gas and Crude Oil Markets. (2023). Chen, Wei-Hung ; Chiou-Wei, Song-Zan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:15:p:5752-:d:1208620.

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2023Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966.

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2023Construction of Mixed Derivatives Strategy for Wind Power Producers. (2023). Matsumoto, Takuji ; Yamada, Yuji. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:9:p:3809-:d:1136007.

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2023.

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2023.

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2023.

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2023.

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2023Empirical Testing of Models of Autoregressive Conditional Heteroscedasticity Used for Prediction of the Volatility of Bulgarian Investment Funds. (2023). Todorov, Teodor ; Petrova, Mariana. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:197-:d:1279438.

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2023Evolution and Impacting Factors of Global Renewable Energy Products Trade Network: An Empirical Investigation Based on ERGM Model. (2023). Qu, YI ; Yang, Zixin ; Liu, Keyin. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:11:p:8701-:d:1157649.

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2023A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks. (2023). Wu, Desheng ; Qin, Kun ; Li, Lei. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:6123-:d:1114244.

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2023Partially Linear Component Support Vector Machine for Primary Energy Consumption Forecasting of the Electric Power Sector in the United States. (2023). Deng, Yanqiao ; Yuan, Hong ; Cai, Yubin ; Ma, Xin. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7086-:d:1131027.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277.

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2023Real Estate Security Token Offerings and the Secondary Market: Driven by Crypto Hype or Fundamentals?. (2023). Dorfleitner, Gregor ; Steininger, Bertram ; Laschinger, Ralf ; Kreppmeier, Julia. In: Working Paper Series. RePEc:hhs:kthrec:2023_006.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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2023Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains. (2023). Cao, Yan ; Jiang, Qisheng ; Liu, Wei ; Cheng, Sheng. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10254-6.

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2023Vanishing Boycott Impetus: Why and How Consumer Participation in a Boycott Decreases Over Time. (2023). Orth, Ulrich ; Hoffmann, Stefan ; Lasarov, Wassili. In: Journal of Business Ethics. RePEc:kap:jbuset:v:182:y:2023:i:4:d:10.1007_s10551-021-04997-9.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Explicit minimal representation of variance matrices, and its implication for dynamic volatility models. (2023). Abadir, Karim M. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:1:p:88-104..

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Impact of the global fear index (covid-19 panic) on the S&P global indices associated with natural resources, agribusiness, energy, metals and mining: Granger Causality and Shannon and Rényi Transfer . (2023). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Coronado, Semei ; Gualajara, Victor ; Celso-Arellano, Pedro. In: MPRA Paper. RePEc:pra:mprapa:117138.

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2023A TGARCH Quantification of the Average Effect of COVID-19 Cases on Share Prices by Sector: Comparing the US and the UK. (2023). Mihailov, Alexander ; Markovski, Minko ; Hassan, Hussein. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-15.

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2023Macroeconomic Forecasting with the Use of News Data. (2023). Mikhaylov, Dmitry. In: Working Papers. RePEc:rnp:wpaper:w20220250.

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2023How does real estate market react to the iron ore boom in Australian capital cities?. (2023). Su, Chi-Wei ; Li, Zheng Zheng. In: The Annals of Regional Science. RePEc:spr:anresc:v:71:y:2023:i:2:d:10.1007_s00168-022-01179-x.

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2023Multi-period power utility optimization under stock return predictability. (2023). Parolya, Nestor ; Schmid, Wolfgang ; Ivasiuk, Dmytro ; Bodnar, Taras. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00434-6.

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2023Impact of public news sentiment on stock market index return and volatility. (2023). Corazza, Marco ; Costola, Michele ; Anese, Gianluca ; Pelizzon, Loriana. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00454-2.

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2023Changing vulnerability in Asia: contagion and spillovers. (2023). Volkov, Vladimir ; Dungey, Mardi ; Kangogo, Moses. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02322-5.

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2023Forecasting energy demand, structure, and CO2 emission: a case study of Beijing, China. (2023). Liu, Tingting ; Ma, Zhong ; Song, Yuqi ; Weng, Zhixiong. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:9:d:10.1007_s10668-022-02494-1.

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2023Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach. (2023). GUPTA, RANGAN ; Pierdzioch, Christian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00435-5.

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2023Sovereign default network and currency risk premia. (2023). Yang, Lu ; Cui, Xue. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00485-3.

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2023Intelligent design: stablecoins (in)stability and collateral during market turbulence. (2023). Galati, Luca ; Webb, Alexander ; Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00492-4.

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2023The level of African forex markets integration and Eurobond issue. (2023). Kuttu, Saint ; Boachie-Yiadom, Eric ; Andoh, Charles ; Mensah, Lord. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09596-6.

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2023Corporate social (ir)responsibility towards employees and financial performance: using time to solve the chicken-egg problem. (2023). Abid, Raja. In: Review of Managerial Science. RePEc:spr:rvmgts:v:17:y:2023:i:2:d:10.1007_s11846-022-00541-9.

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2023A general framework for spatial GARCH models. (2023). Schmid, Wolfgang ; Otto, Philipp. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01357-1.

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2023The systemic risk approach based on implied and realized volatility. (2023). Lepaczuk, Robert ; Sieradzki, Rafa ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2023-07.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023Do lower environmental, social, and governance (ESG) rated companies have higher systemic impact? Empirical evidence from Europe and the United States. (2023). Paterlini, Sandra ; Bonaccolto, Giovanni ; Bax, Karoline. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:30:y:2023:i:3:p:1406-1420.

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2023Dynamic spillover analysis of international and Turkish food prices. (2023). Seven, Ünal ; Ertugrul, Hasan ; Erturul, Hasan Murat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1918-1928.

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2023Between financial and algorithmic dynamics of cryptocurrencies: An exploratory study. (2023). Nguyen, Canh ; Ling, Felicia Hui ; Schinckus, Christophe. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3055-3070.

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2023Carbon performance and corporate financial performance: The moderating role of consumer awareness of corporate social responsibility. (2023). Li, Dongdong ; Sun, Zhaoyong. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:44:y:2023:i:1:p:663-670.

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2023Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Wichers, Casper ; Iacopini, Matteo ; Costola, Michele. In: SAFE Working Paper Series. RePEc:zbw:safewp:279783.

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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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paper31
2016Volatility Jumps and Their Economic Determinants.(2016) In: The 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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2021Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil In: The Energy Journal.
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2017Systemic risk for financial institutions of major petroleum-based economies: The role of oil.(2017) In: SAFE Working Paper Series.
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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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paper5
2015Option pricing with non-Gaussian scaling and infinite-state switching volatility.(2015) In: Journal of Econometrics.
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article
2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
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paper6
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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2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
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article3
2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
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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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2022Statistical Analysis of Financial Data: with Examples In R In: Journal of the Royal Statistical Society Series A.
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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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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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This paper has nother version. Agregated cites: 11
paper
2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
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This paper has nother version. Agregated cites: 11
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
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2012Measuring sovereign contagion in Europe In: Working Paper.
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paper203
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
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paper9
2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach.(2021) In: The North American Journal of Economics and Finance.
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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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2023Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves In: Finance.
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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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paper28
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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paper29
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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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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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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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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paper27
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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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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paper
2013Ten Things You Should Know About DCC.(2013) In: KIER Working Papers.
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paper
2013Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers.
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paper
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
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paper74
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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paper
2013Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers.
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paper
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
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paper61
2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
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paper
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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article1
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
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article23
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
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article59
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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article23
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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article8
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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article7
2013A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance.
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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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2021TrAffic LIght system for systemic Stress: TALIS3 In: The North American Journal of Economics and Finance.
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2022News and intraday jumps: Evidence from regularization and class imbalance In: The North American Journal of Economics and Finance.
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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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article2
2023Networks in risk spillovers: A multivariate GARCH perspective In: Econometrics and Statistics.
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2016Networks in risk spillovers: a multivariate GARCH perspective.(2016) In: Working Papers.
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2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
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2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
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2022Dynamic large financial networks via conditional expected shortfalls In: European Journal of Operational Research.
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2021Dynamic Large Financial Networks via Conditional Expected Shortfalls.(2021) In: Post-Print.
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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?” In: Journal of Empirical Finance.
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2018“On the (Ab)use of Omega?”.(2018) In: Post-Print.
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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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2020Do structural breaks in volatility cause spurious volatility transmission? In: Journal of Empirical Finance.
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