23
H index
37
i10 index
1638
Citations
| 23 H index 37 i10 index 1638 Citations RESEARCH PRODUCTION: 89 Articles 123 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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2023 | Long 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. Full description at Econpapers || Download paper | |
2022 | Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model. (2022). Suchitra, S ; Rangappa, K B ; Chetan, G K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:151-164. Full description at Econpapers || Download paper | |
2022 | The Energy Transition and the Value of Capacity Remuneration Mechanisms. (2022). Moretto, Michele ; Fontini, Fulvio ; Bonaldo, Cinzia. In: FEEM Working Papers. RePEc:ags:feemwp:321985. Full description at Econpapers || Download paper | |
2023 | Fiscal 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. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. Full description at Econpapers || Download paper | |
2022 | A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289. Full description at Econpapers || Download paper | |
2022 | Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.09568. Full description at Econpapers || Download paper | |
2022 | Time-Varying Multivariate Causal Processes. (2022). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Papers. RePEc:arx:papers:2206.00409. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2022 | Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121. Full description at Econpapers || Download paper | |
2022 | Methods in Econophysics: Estimating the Probability Density and Volatility. (2022). Alghalith, Moawia. In: Papers. RePEc:arx:papers:2301.10178. Full description at Econpapers || Download paper | |
2023 | Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158. Full description at Econpapers || Download paper | |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2023 | A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762. Full description at Econpapers || Download paper | |
2023 | Value-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. Full description at Econpapers || Download paper | |
2023 | Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719. Full description at Econpapers || Download paper | |
2023 | Spatial 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. Full description at Econpapers || Download paper | |
2022 | Credit rating agencies, information asymmetry and US bond liquidity. (2022). Salvade, Federica ; Raimbourg, Philippe ; Lovo, Stefano. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:9-10:p:1863-1896. Full description at Econpapers || Download paper | |
2022 | Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046. Full description at Econpapers || Download paper | |
2022 | Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high?frequency data†. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:169-185. Full description at Econpapers || Download paper | |
2023 | Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269. Full description at Econpapers || Download paper | |
2023 | Modelling 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. Full description at Econpapers || Download paper | |
2022 | Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667. Full description at Econpapers || Download paper | |
2022 | Investigating the Impact of Oil Prices Changes on Financial Market Efficiency in Saudi Arabia for the Period (1980-2018): ARDL Approach. (2022). Sharaf-Addin, Hussein Hamood ; Alhakimi, Saif Sallam. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-53. Full description at Econpapers || Download paper | |
2022 | Europe in World Natural Gas Market: International Transmission of European Price Shocks. (2022). Zhukov, Stanislav Vyacheslavovich ; Maslennikov, Alexander Oskarovich ; Kopytin, Ivan Aleksandrovich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-2. Full description at Econpapers || Download paper | |
2022 | Did COVID-19 tourism sector supports alleviate investor fear?. (2022). Oxley, Les ; Hu, Yang ; Hou, Yang ; Corbet, Shaen. In: Annals of Tourism Research. RePEc:eee:anture:v:95:y:2022:i:c:s0160738322000858. Full description at Econpapers || Download paper | |
2022 | Pricing the risk due to weather conditions in small variable renewable energy projects. (2022). Uribe, Jorge M ; Mosquera-Lopez, Stephania. In: Applied Energy. RePEc:eee:appene:v:322:y:2022:i:c:s0306261922008029. Full description at Econpapers || Download paper | |
2022 | Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis. (2022). Bezzina, Frank ; Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:165:y:2022:i:p1:s0960077922009924. Full description at Econpapers || Download paper | |
2022 | Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042. Full description at Econpapers || Download paper | |
2023 | Interconnectedness 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. Full description at Econpapers || Download paper | |
2022 | Two new mean–variance enhanced index tracking models based on uncertainty theory. (2022). Huang, Xiaoxia ; Yang, Tingting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002175. Full description at Econpapers || Download paper | |
2022 | Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions. (2022). Xie, Chi ; Feng, Yusen ; Wang, Gang-Jin ; Qian, Biyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055. Full description at Econpapers || Download paper | |
2022 | Modelling international sovereign risk information spillovers: A multilayer network approach. (2022). Huang, Wei-Qiang ; Liu, Peipei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001322. Full description at Econpapers || Download paper | |
2022 | Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001620. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2023 | Searching 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. Full description at Econpapers || Download paper | |
2022 | Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167. Full description at Econpapers || Download paper | |
2022 | Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227. Full description at Econpapers || Download paper | |
2022 | Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151. Full description at Econpapers || Download paper | |
2022 | Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). RodrÃÂguez Caballero, Carlos ; RodrÃÂÂguez Caballero, Carlos ; RodrÃguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146. Full description at Econpapers || Download paper | |
2022 | Insurance risk analysis of financial networks vulnerable to a shock. (2022). Xun, LI ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:756-771. Full description at Econpapers || Download paper | |
2023 | Corporate 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2022 | How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs?. (2022). Polato, Maurizio ; Floreani, Josanco ; Velliscig, Giulio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:173-189. Full description at Econpapers || Download paper | |
2022 | Multiple testing of the forward rate unbiasedness hypothesis across currencies. (2022). Luger, Richard ; Fu, Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:232-245. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2022 | Shale revolution, oil and gas prices, and drilling activities in the United States. (2022). Etienne, Xiaoli ; Li, Bingxin ; Shakya, Shishir. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000597. Full description at Econpapers || Download paper | |
2022 | Multivariate stochastic volatility for herding detection: Evidence from the energy sector. (2022). Philippas, Nikolaos ; Tsionas, Mike G. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001402. Full description at Econpapers || Download paper | |
2022 | Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic. (2022). Gabauer, David ; de Gracia, Fernando Perez ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002195. Full description at Econpapers || Download paper | |
2022 | Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730. Full description at Econpapers || Download paper | |
2022 | Market integration in the Australian National Electricity Market: Fresh evidence from asymmetric time-frequency connectedness. (2022). Uddin, Gazi Salah ; Nepal, Rabindra ; Rabbani, Mustafa Raza ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003000. Full description at Econpapers || Download paper | |
2022 | Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain. (2022). Kang, Sanghoon ; Lucey, Brian M ; Hasan, Mudassar ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003036. Full description at Econpapers || Download paper | |
2022 | Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?. (2022). GUPTA, RANGAN ; Pierdzioch, Christian ; Pienaar, Daniel ; Epni, Ouzhan. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003723. Full description at Econpapers || Download paper | |
2022 | Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective. (2022). Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005138. Full description at Econpapers || Download paper | |
2022 | Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667. Full description at Econpapers || Download paper | |
2023 | An 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. Full description at Econpapers || Download paper | |
2023 | Joint 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. Full description at Econpapers || Download paper | |
2023 | The systemic risk of US oil and natural gas companies. (2023). Panzica, Roberto ; Fontini, Fulvio ; Caporin, Massimiliano. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001482. Full description at Econpapers || Download paper | |
2022 | Time series analysis of environmental quality in the state of Qatar. (2022). Abulibdeh, Ammar. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003147. Full description at Econpapers || Download paper | |
2022 | Tectonic evolution revealed by thermo-kinematic and its effect on shale gas preservation. (2022). Shen, Baojian ; Zhang, Jiatang ; Wu, Hang ; Borjigin, Tenger ; Qiu, Nansheng ; Feng, Qianqian ; Wang, Jiangshan. In: Energy. RePEc:eee:energy:v:240:y:2022:i:c:s0360544221030309. Full description at Econpapers || Download paper | |
2022 | Price responsiveness of commercial demand for natural gas in the US. (2022). Zarnikau, Jay ; Tishler, Asher ; Woo, Chi-Keung ; Li, Raymond. In: Energy. RePEc:eee:energy:v:256:y:2022:i:c:s0360544222015134. Full description at Econpapers || Download paper | |
2022 | Understanding the linkage-dependence structure between oil and gas markets: A new perspective. (2022). Lu, Quanying ; Dong, Jichang ; Chai, Jian ; Wei, Zhaohao. In: Energy. RePEc:eee:energy:v:257:y:2022:i:c:s0360544222016589. Full description at Econpapers || Download paper | |
2022 | Hybrid model based on VMD decomposition, clustering analysis, long short memory network, ensemble learning and error complementation for short-term wind speed forecasting assisted by Flink platform. (2022). Zhao, Guohong ; Sun, Zexian. In: Energy. RePEc:eee:energy:v:261:y:2022:i:pb:s036054422202134x. Full description at Econpapers || Download paper | |
2023 | Connectedness 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. Full description at Econpapers || Download paper | |
2023 | Insights 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. Full description at Econpapers || Download paper | |
2022 | A tale of two tails among carbon prices, green and non-green cryptocurrencies. (2022). Pham, Linh ; Karim, Sitara ; Naeem, Muhammad Abubakr ; Long, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001065. Full description at Econpapers || Download paper | |
2022 | Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach. (2022). Hamori, Shigeyuki ; He, Xie ; Zhang, Wenting. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001843. Full description at Econpapers || Download paper | |
2022 | Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002393. Full description at Econpapers || Download paper | |
2022 | Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach. (2022). Di, Zengru ; Tang, Renwu ; Chen, Zhihua ; Sun, Qingru ; Huang, Shupei ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003118. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128. Full description at Econpapers || Download paper | |
2022 | Structural breaks, macroeconomic fundamentals and cross hedge ratio. (2022). Liu, LI ; Dong, Qingma ; Xiao, Dongli ; Pan, Zhiyuan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005699. Full description at Econpapers || Download paper | |
2022 | Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis. (2022). Karim, Sitara ; Hassan, Kabir M ; Naeem, Muhammad Abubakr ; Anwer, Zaheer. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000952. Full description at Econpapers || Download paper | |
2022 | COVID-19 and the Economy: Summary of research and future directions. (2022). Simkins, Betty J ; Iyer, Subramanian Rama. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001131. Full description at Econpapers || Download paper | |
2022 | Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330. Full description at Econpapers || Download paper | |
2023 | Macrofinancial 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. Full description at Econpapers || Download paper | |
2022 | Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps. (2022). Helwege, Jean ; Zhang, Gaiyan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308920301418. Full description at Econpapers || Download paper | |
2022 | Sovereign risk spillovers: A network approach. (2022). Le, Anh ; Dickinson, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000341. Full description at Econpapers || Download paper | |
2023 | What 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. Full description at Econpapers || Download paper | |
2022 | Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?. (2022). Urban, Jorg ; Schienle, Melanie ; Buse, Rebekka. In: Journal of International Economics. RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001052. Full description at Econpapers || Download paper | |
2022 | Quantifying the asymmetric spillovers in sustainable investments. (2022). Suleman, Muhammed Tahir ; Naeem, Muhammad Abubakr ; Iqbal, Najaf. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121001864. Full description at Econpapers || Download paper | |
2022 | Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142. Full description at Econpapers || Download paper | |
2022 | Sovereign bond market spillovers from crisis-time developments in Greece. (2022). Zigraiova, Diana ; Clancy, Daragh ; Gabriele, Carmine. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464. Full description at Econpapers || Download paper | |
2022 | High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (2022). Ziba, Damian ; Yarovaya, Larisa ; Katsiampa, Paraskevi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000610. Full description at Econpapers || Download paper | |
2022 | Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093. Full description at Econpapers || Download paper | |
2022 | Does the regional proximity lead to exchange rate spillover?. (2022). Rashid, Mamunur ; Hassan, Kabir M ; Khan, Ashraf ; Anwer, Zaheer. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001482. Full description at Econpapers || Download paper | |
2022 | Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data. (2022). Karim, Sitara ; Lucey, Brian M ; Iqbal, Najaf ; Naeem, Muhammad Abubakr. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001676. Full description at Econpapers || Download paper | |
2022 | Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73. Full description at Econpapers || Download paper | |
2022 | Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2022). Shang, Han Lin ; Kearney, Fearghal. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:1025-1049. Full description at Econpapers || Download paper | |
2023 | Non-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. Full description at Econpapers || Download paper | |
2023 | Estimation 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. Full description at Econpapers || Download paper | |
2022 | Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429. Full description at Econpapers || Download paper | |
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2020 | Analytical Gradients of Dynamic Conditional Correlation Models In: JRFM. [Full Text][Citation analysis] | article | 0 |
2020 | Financial Time Series: Methods and Models In: JRFM. [Full Text][Citation analysis] | article | 0 |
2016 | The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective In: JRFM. [Full Text][Citation analysis] | article | 2 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2005 | Spatial effects in multivariate ARCH In: Economics and Quantitative Methods. [Full Text][Citation analysis] | paper | 0 |
2005 | Multivariate ARCH with spatial effects for stock sector and size In: Economics and Quantitative Methods. [Full Text][Citation analysis] | paper | 0 |
2008 | Scalar BEKK and indirect DCC In: Journal of Forecasting. [Full Text][Citation analysis] | article | 51 |
2022 | The systemic risk of US oil and natural gas companies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Dating EU15 monthly business cycle jointly using GDP and IPI In: Journal of Business Cycle Measurement and Analysis. [Full Text][Citation analysis] | article | 1 |
2007 | Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Volatility Threshold Dynamic Conditional Correlations: An International Analysis In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 32 |
2008 | Volatility Threshold Dynamic Conditional Correlations: An International Analysis.(2008) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2006 | Dynamic Asymmetric GARCH In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 15 |
2008 | Forecasting temperature indices with timevarying long-memory models In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Structured Multivariate Volatility Models In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | Comparing and selecting performance measures for ranking assets In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 7 |
2011 | Modeling and forecasting realized range volatility In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 0 |
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 | 1 |
2014 | Multi-jumps.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | Dynamic Principal Components: a New Class of Multivariate GARCH Models In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 1 |
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 | 1 |
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 | 7 |
2017 | Time-varying persistence in US inflation.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2009 | Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
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: 17 | paper | |
2021 | Is the Korean housing market following Gangnam style? In: Empirical Economics. [Full Text][Citation analysis] | article | 2 |
2022 | Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects In: Journal of Spatial Econometrics. [Full Text][Citation analysis] | article | 0 |
2003 | Identification of long memory in GARCH models In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 8 |
2005 | Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 64 |
2010 | Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 2 |
2012 | On the evaluation of marginal expected shortfall In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
2006 | Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation In: Applied Financial Economics Letters. [Full Text][Citation analysis] | article | 66 |
2019 | Asymmetry and leverage in GARCH models: a News Impact Curve perspective In: Applied Economics. [Full Text][Citation analysis] | article | 6 |
2022 | What drives the expansion of research on banking crises? Cross-country evidence In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
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 | 9 |
2015 | Proximity-Structured Multivariate Volatility Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 11 |
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 | 5 |
2021 | Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
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 | 15 |
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: 15 | paper | |
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 | 8 |
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 | 10 |
2020 | Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | 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: 10 | paper | |
2013 | Forecasting Temperature Indices Density with Time?Varying Long?Memory Models In: Journal of Forecasting. [Citation analysis] | article | 5 |
2011 | Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2011 | Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020). [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2017 | Estimation and model-based combination of causality networks 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 | 2 |
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