Massimiliano Caporin : Citation Profile

Are you Massimiliano Caporin?

23

H index

37

i10 index

1638

Citations

RESEARCH PRODUCTION:

89

Articles

123

Papers

RESEARCH ACTIVITY:

   21 years (2002 - 2023). See details.
   Cites by year: 78
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 215.    Total self citations: 101 (5.81 %)

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   Permalink: http://citec.repec.org/pca441
   Updated: 2023-11-04    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Fontini, Fulvio (6)

Pelizzon, Loriana (6)

Ravazzolo, Francesco (5)

Dreber, Anna (4)

Adrian, Tobias (4)

Ait-Sahalia, Yacine (4)

Menkveld, Albert (4)

Gerritsen, Dirk (4)

Abudy, Menachem (4)

GUPTA, RANGAN (4)

Bohorquez Correa, Santiago (4)

Frömmel, Michael (4)

Chow, Nikolai Sheung-Chi (4)

Johannesson, Magnus (4)

Gehrig, Thomas (4)

Deku, Solomon (4)

CAPELLE-BLANCARD, Gunther (4)

Alexeev, Vitali (4)

Brownlees, Christian (4)

FERROUHI, EL MEHDI (4)

Colliard, Jean-Edouard (4)

Holzmeister, Felix (4)

Dimpfl, Thomas (4)

Deev, Oleg (4)

Ferrara, Gerardo (4)

Chernov, Mikhail (4)

Dumitrescu, Ariadna (4)

Paterlini, Sandra (3)

Füllbrunn, Sascha (3)

Billio, Monica (3)

Patel, Vinay (2)

Walther, Thomas (2)

Regis, Luca (2)

Schuerhoff, Norman (2)

Scaillet, Olivier (2)

Hjalmarsson, Erik (2)

Bouri, Elie (2)

Lopez-Lira, Alejandro (2)

Gorbenko, Arseny (2)

Jimenez-Martin, Juan (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Ødegaard, Bernt (2)

Patton, Andrew (2)

Smales, Lee (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Stefanova, Denitsa (2)

Schwarz, Marco (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

Wilhelmsson, Anders (2)

Rodriguez Caballero, Carlos (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Jalkh, Naji (2)

Shahzad, Syed Jawad Hussain (2)

Hurlin, Christophe (2)

Gil-Bazo, Javier (2)

PASCUAL, ROBERTO (2)

Bos, Charles (2)

Foucault, Thierry (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

Hautsch, Nikolaus (2)

He, Xuezhong (Tony) (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Lof, Matthijs (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Sarno, Lucio (2)

Pastor, Lubos (2)

van Kervel, Vincent (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Rinne, Kalle (2)

Taylor, Nick (2)

Park, Andreas (2)

Mihet, Roxana (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Frijns, Bart (2)

LINTON, OLIVER (2)

Palan, Stefan (2)

Xia, Shuo (2)

Rakowski, David (2)

Zhou, Chen (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 (72)

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 (132)

Engle, Robert (111)

Diebold, Francis (63)

Andersen, Torben (54)

Billio, Monica (39)

Corsi, Fulvio (38)

Laurent, Sébastien (38)

Bauwens, Luc (36)

Shephard, Neil (34)

Sheppard, Kevin (32)

Tauchen, George (31)

Main data

Where Massimiliano Caporin has published?

Journals with more than one article published# docs
The North American Journal of Economics and Finance6
Energy Economics6
Computational Statistics & Data Analysis5
Journal of Empirical Finance5
International Review of Economics & Finance4
Journal of Economic Surveys4
Econometric Reviews4
The Journal of Financial Econometrics3
Quantitative Finance3
Journal of Banking & Finance3
Statistical Methods & Applications3
JRFM3
Energy Policy2
Resources Policy2
Journal of Econometrics2
Mathematics and Computers in Simulation (MATCOM)2
Journal of International Financial Markets, Institutions and Money2
Finance Research Letters2
Applied Economics2
The European Journal of Finance2
Econometrics2
Empirical Economics2

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
Working Papers on Finance / University of St. Gallen, School of Finance5
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo5
Tinbergen Institute Discussion Papers / Tinbergen Institute4
MPRA Paper / University Library of Munich, Germany4
Working Papers / Swiss National Bank3
Working Papers / University of Pretoria, Department of Economics3
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Papers / arXiv.org3

Recent works citing Massimiliano Caporin (2023 and 2022)

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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2022Normative 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.

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2022The Energy Transition and the Value of Capacity Remuneration Mechanisms. (2022). Moretto, Michele ; Fontini, Fulvio ; Bonaldo, Cinzia. In: FEEM Working Papers. RePEc:ags:feemwp:321985.

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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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2022Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Evaluating 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.

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2022A 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.

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2022Predictive 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.

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2022Time-Varying Multivariate Causal Processes. (2022). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Papers. RePEc:arx:papers:2206.00409.

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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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2022Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2022Methods in Econophysics: Estimating the Probability Density and Volatility. (2022). Alghalith, Moawia. In: Papers. RePEc:arx:papers:2301.10178.

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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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2022Credit 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.

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2022Euro 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.

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2022Oil 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.

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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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2022Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

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2022Investigating 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.

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2022Europe 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.

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2022Did 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.

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2022Pricing 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.

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2022Evidence 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.

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2022Modeling 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.

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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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2022Financial 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.

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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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2022Two 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.

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2022Partial 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.

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2022Modelling 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.

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2022Bond 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.

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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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2022Efficient 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.

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2022Identification 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.

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2022Functional 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.

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2022Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146.

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2022Insurance 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.

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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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2022How 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.

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2022Multiple 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.

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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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2022Shale 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.

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2022Multivariate 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.

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2022Tail 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.

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2022Dynamic 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.

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2022Market 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.

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2022Nexus 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.

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2022Forecasting 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.

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2022Does 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.

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2022Natural 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.

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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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2023The 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.

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2022Time 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.

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2022Tectonic 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.

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2022Price 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.

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2022Understanding 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.

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2022Hybrid 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.

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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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2022A 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.

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2022Volatility 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.

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2022Small 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.

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2022Measuring 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.

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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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2022Euro 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.

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2022Structural 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.

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2022Asymmetric 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.

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2022COVID-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.

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2022Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330.

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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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2022Cross 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.

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2022Sovereign 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.

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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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2022Assessing 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.

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2022Quantifying 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.

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2022Bearish 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.

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2022Sovereign 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.

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2022High-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.

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2022Credit 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.

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2022Does 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.

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2022Good 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.

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2022Forecasting 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.

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2022Dynamic 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.

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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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2022Dissecting 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.

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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.
[Full Text][Citation analysis]		paper31
2016Volatility Jumps and Their Economic Determinants.(2016) In: The Journal of Financial Econometrics.
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2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
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.
[Full Text][Citation analysis]		paper3
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.
[Full Text][Citation analysis]		article2
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.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		paper5
2015Option pricing with non-Gaussian scaling and infinite-state switching volatility.(2015) In: Journal of Econometrics.
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2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article3
2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article23
2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article121
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series.
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2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article29
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.
[Full Text][Citation analysis]		article0
2002A note on calculating autocovariances of long?memory processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
2011Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica.
[Full Text][Citation analysis]		article11
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.
[Full Text][Citation analysis]
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper201
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 201		paper
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		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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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper26
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.
[Full Text][Citation analysis]		paper16
2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series.
[Full Text][Citation analysis]
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2010Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper29
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics.
[Full Text][Citation analysis]		paper5
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2011Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper11
2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
[Full Text][Citation analysis]		paper26
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.
[Full Text][Citation analysis]		paper70
2013Ten Things You Should Know About DCC.(2013) In: Econometric Institute Research Papers.
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2013Ten Things You Should Know About DCC.(2013) In: KIER Working Papers.
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2013Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
[Full Text][Citation analysis]		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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2013Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 61		paper
2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2020On the volatilities of tourism stocks and oil In: Annals of Tourism Research.
[Full Text][Citation analysis]		article1
2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article23
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
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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.
[Full Text][Citation analysis]		article23
2010Modelling and forecasting wind speed intensity for weather risk management.(2010) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 23		paper
2014Variance clustering improved dynamic conditional correlation MGARCH estimators In: Computational Statistics & Data Analysis.
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2011Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators.(2011) In: Marco Fanno Working Papers.
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2013Equity and CDS sector indices: Dynamic models and risk hedging In: The North American Journal of Economics and Finance.
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2013A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance.
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2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
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2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
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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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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.
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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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