23
H index
39
i10 index
1692
Citations
Massimiliano Caporin : Citation Profile
| RESEARCH PRODUCTION: 100 Articles 137 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
22 years (2002 - 2024). Relations with other researchers
Main data
Where Massimiliano Caporin has published?
Recent works citing Massimiliano Caporin (2024 and 2023)
| Year | Title of citing document | |
|---|---|---|
| 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 | |
| 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 | |
| 2024 | 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 | |
| 2024 | 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 | |
| 2024 | Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692. Full description at Econpapers || Download paper | |
| 2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473. Full description at Econpapers || Download paper | |
| 2023 | Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets. (2023). Yoon, Seongmin ; Vo, Xuan Vinh ; Jiang, Zhuhua ; Mensi, Walid. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:4:p:597-615. Full description at Econpapers || Download paper | |
| 2023 | . 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 | |
| 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 | |
| 2023 | Understanding 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. Full description at Econpapers || Download paper | |
| 2023 | Volatility 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. 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 | |
| 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 | |
| 2024 | Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603. Full description at Econpapers || Download paper | |
| 2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
| 2023 | A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153. Full description at Econpapers || Download paper | |
| 2024 | Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987. Full description at Econpapers || Download paper | |
| 2023 | Forecasting 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. 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 | |
| 2023 | Loss 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. 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 | |
| 2023 | Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919. 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 | Modeling 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. Full description at Econpapers || Download paper | |
| 2023 | Risk 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. Full description at Econpapers || Download paper | |
| 2023 | Pricing and hedging wind power prediction risk with binary option contracts. (2023). Date, Paresh ; Hesamzadeh, Mohammad Reza ; Thakur, Jagruti ; Bunn, Derek. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004589. Full description at Econpapers || Download paper | |
| 2023 | Long monthly European temperature series and the North Atlantic Oscillation. (2023). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo ; Kang, Jian. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005017. Full description at Econpapers || Download paper | |
| 2023 | Combination forecasts of Chinas oil futures returns based on multiple uncertainties and their connectedness with oil. (2023). Li, Xiafei ; Wei, YU ; Shi, Chunpei ; Liu, Yuntong. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005352. Full description at Econpapers || Download paper | |
| 2023 | Dynamic volatility transfer in the European oil and gas industry. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005509. Full description at Econpapers || Download paper | |
| 2023 | Energy price shocks, exchange rates and inflation nexus. (2023). Bigerna, Simona. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006540. Full description at Econpapers || Download paper | |
| 2024 | Tail risk spillovers between Shanghai oil and other markets. (2024). Shafiullah, Muhammad ; Gul, Raazia ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323006801. 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 | |
| 2023 | Asymmetric price transmission and impulse responses from U.S. crude oil to jet fuel and diesel markets. (2023). Qiu, Feng ; Luckert, Martin ; Zhang, Wenbei. In: Energy. RePEc:eee:energy:v:283:y:2023:i:c:s0360544223018194. Full description at Econpapers || Download paper | |
| 2023 | Extreme risk contagion between international crude oil and Chinas energy-intensive sectors: New evidence from quantile Granger causality and spillover methods. (2023). Sun, Yan-Lin ; Chen, Bin-Xia. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028621. 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 | |
| 2023 | Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics. (2023). Tsafack, Georges ; Starkey, Christopher Michael. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003794. Full description at Econpapers || Download paper | |
| 2024 | Silicon Valley Bank bankruptcy and Stablecoins stability. (2024). Galati, Luca ; Capalbo, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005173. Full description at Econpapers || Download paper | |
| 2024 | Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218. Full description at Econpapers || Download paper | |
| 2024 | Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383. 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 | |
| 2023 | Economic volatility, banks’ risk accumulation and systemic risk. (2023). He, Wenjing ; Yue, Pengpeng ; Xu, Dandan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323004877. Full description at Econpapers || Download paper | |
| 2023 | The US banking crisis in 2023: Intraday attention and price variation of banks at risk. (2023). Halouskova, Martina ; Lyocsa, Tefan ; Haugom, Erik. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005810. Full description at Econpapers || Download paper | |
| 2024 | How useful are energy-related uncertainty for oil price volatility forecasting?. (2024). Guo, Qiang ; Zhang, Xiaoyun. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013259. Full description at Econpapers || Download paper | |
| 2023 | Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320. 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 | |
| 2024 | The impact of COVID-19 on sovereign contagion. (2024). Moratis, Georgios ; Drakos, Anastasios. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300089x. Full description at Econpapers || Download paper | |
| 2024 | Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543. 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 | |
| 2024 | Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43. Full description at Econpapers || Download paper | |
| 2023 | Breakup 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. Full description at Econpapers || Download paper | |
| 2023 | Real 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. Full description at Econpapers || Download paper | |
| 2023 | Assessing 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. Full description at Econpapers || Download paper | |
| 2023 | Monetary policy and Bitcoin. (2023). Karau, Soren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000815. Full description at Econpapers || Download paper | |
| 2023 | Sovereign 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. Full description at Econpapers || Download paper | |
| 2023 | Sparse and stable international portfolio optimization and currency risk management. (2023). Ulrych, Urban ; Burkhardt, Raphael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s026156062300150x. Full description at Econpapers || Download paper | |
| 2023 | The 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. Full description at Econpapers || Download paper | |
| 2023 | The 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. Full description at Econpapers || Download paper | |
| 2023 | Worst-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. Full description at Econpapers || Download paper | |
| 2024 | Comparative risk aversion vs. threshold choice in the Omega ratio. (2024). Schweizer, Nikolaus ; Chau, Ki Wai ; Balter, Anne G. In: Omega. RePEc:eee:jomega:v:123:y:2024:i:c:s0305048323001561. Full description at Econpapers || Download paper | |
| 2023 | On 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. Full description at Econpapers || Download paper | |
| 2023 | Dependence 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. Full description at Econpapers || Download paper | |
| 2023 | Integration 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. Full description at Econpapers || Download paper | |
| 2023 | Institutional 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. Full description at Econpapers || Download paper | |
| 2023 | Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach. (2023). ben Arfi, Wissal ; Rezgui, Hichem ; ben Jabeur, Sami ; Aloui, Riadh. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005846. Full description at Econpapers || Download paper | |
| 2023 | How does US tariff policy affect the relationship among crude oil, the US dollar and metal markets?. (2023). Zolfaghari, Mehdi. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005871. Full description at Econpapers || Download paper | |
| 2023 | Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods. (2023). Ebrahimi, Seyed Babak ; Ghazani, Majid Mirzaee ; Karimi, Parinaz. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005986. Full description at Econpapers || Download paper | |
| 2023 | Asymmetric efficiency in petroleum markets before and during COVID-19. (2023). Yousaf, Imran ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Kang, Sang Hoon. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009054. Full description at Econpapers || Download paper | |
| 2023 | How economic policy uncertainty affects asymmetric spillovers in food and oil prices: Evidence from wavelet analysis. (2023). Li, Xinran ; Cheng, Sheng ; Cao, Yan. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pb:s0301420723007973. Full description at Econpapers || Download paper | |
| 2023 | The time-varying impact of geopolitical risk on natural resource prices: The post-COVID era evidence. (2023). Cui, Tianxiang ; Wang, Kaihao ; Ding, Shusheng ; Du, Min. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pb:s0301420723008723. Full description at Econpapers || Download paper | |
| 2024 | Impact of Russia-Ukraine conflict on the time-frequency and quantile connectedness between energy, metal and agricultural markets. (2024). Chen, Yunfei ; Jiang, Wei. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723010875. Full description at Econpapers || Download paper | |
| 2024 | Empirical analysis of investment in Pakistan’s upstream sector. (2024). Jamil, Faisal. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723012011. Full description at Econpapers || Download paper | |
| 2024 | Higher-order moment connectedness between stock and commodity markets and portfolio management. (2024). Sensoy, Ahmet ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s030142072400014x. Full description at Econpapers || Download paper | |
| 2023 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2023 | Can 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. Full description at Econpapers || Download paper | |
| 2023 | Extreme 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. Full description at Econpapers || Download paper | |
| 2023 | Are 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. Full description at Econpapers || Download paper | |
| 2024 | Together in bad times? The effect of COVID-19 on inflation spillovers in China. (2024). Lien, Donald ; Xu, Yingying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:316-331. Full description at Econpapers || Download paper | |
| 2024 | Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453. Full description at Econpapers || Download paper | |
| 2024 | On the prediction of systemic risk tolerance of cryptocurrencies. (2024). Boubaker, Sabri ; Karim, Sitara ; Rahman, Molla Ramizur ; Naeem, Muhammad Abubakr. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006480. Full description at Econpapers || Download paper | |
| 2024 | Multi-scale impacts of oil shocks on travel and leisure stocks: A MODWT-Bayesian TVP model with shrinkage approach. (2024). Cao, Yan ; Cheng, Sheng ; Liang, Ruibin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008764. Full description at Econpapers || Download paper | |
| 2023 | Options-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. Full description at Econpapers || Download paper | |
| 2023 | Firm-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. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Massimiliano Caporin:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Volatility jumps and their economic determinants In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 32 |
| 2016 | Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
| 2014 | Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2014 | Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | A multilevel factor approach for the analysis of CDS commonality and risk contribution In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | A multilevel factor approach for the analysis of CDS commonality and risk contribution.(2019) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2021 | Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil In: The Energy Journal. [Full Text][Citation analysis] | article | 1 |
| 2017 | Systemic risk for financial institutions of major petroleum-based economies: The role of oil.(2017) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2013 | Ensemble properties of high frequency data and intraday trading rules In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Ensemble properties of high-frequency data and intraday trading rules.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Option pricing with non-Gaussian scaling and infinite-state switching volatility In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Option pricing with non-Gaussian scaling and infinite-state switching volatility.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2015 | Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2018 | Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2010 | A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 3 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
| 2010 | THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 25 |
| 2012 | DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 136 |
| 2010 | Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
| 2010 | Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
| 2010 | Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
| 2010 | Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
| 2014 | A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 29 |
| 2014 | A Survey on the Four Families of Performance Measures.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2014 | A Survey on the Four Families of Performance Measures.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2022 | Statistical Analysis of Financial Data: with Examples In R In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 0 |
| 2002 | A note on calculating autocovariances of long?memory processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 2011 | Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 12 |
| 2010 | Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2008 | Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | ||
| 2012 | Measuring sovereign contagion in Europe In: Working Paper. [Full Text][Citation analysis] | paper | 207 |
| 2012 | Measuring Sovereign Contagion in Europe.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 207 | paper | |
| 2018 | Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 207 | article | |
| 2013 | Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 207 | paper | |
| 2015 | Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 207 | paper | |
| 2024 | Nowcasting Inflation at Quantiles: Causality from Commodities In: BEMPS - Bozen Economics & Management Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2021 | Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach.(2021) In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2019 | Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2023 | Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves In: Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 28 |
| 2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2010 | Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
| 2010 | Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2010 | Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2010 | Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2010 | Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2010 | Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 29 |
| 2010 | Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2010 | Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2011 | Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 5 |
| 2011 | Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2011 | Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | ||
| 2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 11 |
| 2015 | Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2013 | Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | ||
| 2012 | Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 27 |
| 2014 | Robust ranking of multivariate GARCH models by problem dimension.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2012 | Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2012 | Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | ||
| 2013 | Ten Things You Should Know About DCC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 70 |
| 2013 | Ten Things You Should Know About DCC.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
| 2013 | Ten Things You Should Know About DCC.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
| 2013 | Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | ||
| 2013 | Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 83 |
| 2013 | Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| 2013 | Ten Things You Should Know about the Dynamic Conditional Correlation Representation.(2013) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
| 2013 | Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| 2013 | Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | ||
| 2009 | Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series. [Full Text][Citation analysis] | paper | 63 |
| 2009 | Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 63 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 63 | paper | ||
| 2017 | Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | On the volatilities of tourism stocks and oil In: Annals of Tourism Research. [Full Text][Citation analysis] | article | 2 |
| 2007 | Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 26 |
| 2010 | Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 59 |
| 2007 | Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
| 2012 | Modelling and forecasting wind speed intensity for weather risk management In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 23 |
| 2010 | Modelling and forecasting wind speed intensity for weather risk management.(2010) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2014 | Variance clustering improved dynamic conditional correlation MGARCH estimators In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
| 2011 | Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators.(2011) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2013 | Equity and CDS sector indices: Dynamic models and risk hedging In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
| 2013 | A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
| 2015 | Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 5 |
| 2012 | Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2021 | TrAffic LIght system for systemic Stress: TALIS3 In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2022 | News and intraday jumps: Evidence from regularization and class imbalance In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms Economic Performance In: Ecological Economics. [Full Text][Citation analysis] | article | 34 |
| 2017 | Chasing volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2023 | Networks in risk spillovers: A multivariate GARCH perspective In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 2016 | Networks in risk spillovers: a multivariate GARCH perspective.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2020 | Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother 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 nother version. Agregated cites: 10 | paper | |
| 2022 | Dynamic large financial networks via conditional expected shortfalls In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 6 |
| 2022 | Dynamic Large Financial Networks via Conditional Expected Shortfalls.(2022) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2013 | Risk spillovers in international equity portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2012 | Risk spillovers in international equity portfolios.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2012 | Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | “On the (Ab)use of Omega?” In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
| 2018 | “On the (Ab)use of Omega?”.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2018 | “On the (Ab)use of Omega ?”.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2016 | On the (Ab)Use of Omega?.(2016) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2015 | On the (Ab)Use of Omega?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2019 | Estimation and model-based combination of causality networks among large US banks and insurance companies In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 11 |
| 2020 | Do structural breaks in volatility cause spurious volatility transmission? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
| 2022 | The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland In: Energy Economics. [Full Text][Citation analysis] | article | 3 |
| 2021 | The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland.(2021) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
| 2023 | The systemic risk of US oil and natural gas companies In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
| 2022 | The systemic risk of US oil and natural gas companies.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2024 | Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Model based Monte Carlo pricing of energy and temperature Quanto options In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
| 2010 | Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options.(2010) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2010 | Model based Monte Carlo pricing of energy and temperature quanto options.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2017 | The relationship between oil prices and rig counts: The importance of lags In: Energy Economics. [Full Text][Citation analysis] | article | 16 |
| 2017 | The long-run oil–natural gas price relationship and the shale gas revolution In: Energy Economics. [Full Text][Citation analysis] | article | 43 |
| 2015 | The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution.(2015) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | paper | |
| 2019 | Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
| 2019 | Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements In: Energy Policy. [Full Text][Citation analysis] | article | 7 |
| 2015 | Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy. [Full Text][Citation analysis] | article | 8 |
| 2021 | Dynamic network analysis of North American financial institutions In: Finance Research Letters. [Full Text][Citation analysis] | article | 5 |
| 2022 | Measuring systemic risk during the COVID-19 period: A TALIS3 approach In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2023 | Asymmetric and time-frequency based networks of currency markets In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 4 |
| 2013 | Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | ||
| 2024 | Not all words are equal: Sentiment and jumps in the cryptocurrency market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 0 |
| 2019 | Decomposing and backtesting a flexible specification for CoVaR In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2022 | Systemic risk and severe economic downturns: A targeted and sparse analysis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2013 | On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 26 |
| 2011 | On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2011 | On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2012 | On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2017 | Systemic co-jumps In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 2 |
| 2016 | Systemic co-jumps.(2016) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Asymmetric and time-frequency spillovers among commodities using high-frequency data In: Resources Policy. [Full Text][Citation analysis] | article | 23 |
| 2023 | Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic In: Resources Policy. [Full Text][Citation analysis] | article | 5 |
| 2009 | A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 37 |
| 2006 | A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2013 | Fast clustering of GARCH processes via Gaussian mixture models In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 6 |
| 2018 | The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 39 |
| 2015 | The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk.(2015) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2015 | Realized range volatility forecasting: Dynamic features and predictive variables In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 8 |
| 2019 | Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data? In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 9 |
| 2016 | Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?.(2016) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2016 | Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | ||
| 2023 | The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 5 |
| 2017 | The impact of network connectivity on factor exposures, asset pricing and portfolio diversification.(2017) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2024 | Nonstandard errors In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 14 |
| 2021 | Non-Standard Errors.(2021) In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2017 | Building News Measures from Textual Data and an Application to Volatility Forecasting In: Econometrics. [Full Text][Citation analysis] | article | 18 |
| 2021 | Has the EU-ETS Financed the Energy Transition of the Italian Power System? In: IJFS. [Full Text][Citation analysis] | article | 2 |
| 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 |
| 2023 | Quantile regression-based seasonal adjustment In: International Journal of Computational Economics and Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 56 |
| 2023 | Omega Compatibility: A Meta-analysis In: Computational Economics. [Full Text][Citation analysis] | article | 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 nother version. Agregated cites: 1 | paper | |
| 2013 | Volatility Threshold Dynamic Conditional Correlations: An International Analysis In: 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 nother version. Agregated cites: 32 | paper | |
| 2023 | The Role of Jumps in Realized Volatility Modeling and Forecasting In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2006 | Dynamic Asymmetric GARCH In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2024 | Measuring Climate Transition Risk Spillovers In: Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 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 nother 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 | 8 |
| 2017 | Time-varying persistence in US inflation.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2024 | Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 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 nother version. Agregated cites: 17 | paper | |
| 2021 | Is the Korean housing market following Gangnam style? In: Empirical Economics. [Full Text][Citation analysis] | article | 3 |
| 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 | 65 |
| 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 |
| 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 | 13 |
| 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 | 2 |
| 2015 | Precious metals under the microscope: a high-frequency analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 16 |
| 2014 | Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | 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 nother version. Agregated cites: 0 | article | |
| 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 nother 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 | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team