Massimiliano Caporin : Citation Profile

23

H index

44

i10 index

1855

Citations

RESEARCH PRODUCTION:

109

Articles

139

Papers

RESEARCH ACTIVITY:

   23 years (2002 - 2025). See details.
   Cites by year: 80
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 175.    Total self citations: 111 (5.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca441
   Updated: 2025-06-14    RAS profile: 2025-04-06    
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Relations with other researchers

Works with:

Johannesson, Magnus (8)

Deev, Oleg (8)

Gehrig, Thomas (8)

Füllbrunn, Sascha (8)

Bos, Charles (8)

Ferrara, Gerardo (8)

FERROUHI, EL MEHDI (8)

Degryse, Hans (8)

Frömmel, Michael (8)

Chernov, Mikhail (8)

Holzmeister, Felix (8)

Dreber, Anna (8)

Brownlees, Christian (8)

Alexeev, Vitali (8)

Gerritsen, Dirk (8)

Eugster, Nicolas (7)

Bohorquez Correa, Santiago (7)

Deku, Solomon (7)

Davies, Ryan (7)

Frijns, Bart (7)

Menkveld, Albert (7)

CAPELLE-BLANCARD, Gunther (7)

Dimpfl, Thomas (7)

Foucault, Thierry (6)

Talavera, Oleksandr (6)

Ait-Sahalia, Yacine (6)

Xiu, Dacheng (6)

Colliard, Jean-Edouard (6)

Reitz, Stefan (6)

Ødegaard, Bernt (6)

Tonks, Ian (6)

Scaillet, Olivier (6)

Korajczyk, Robert (6)

Pastor, Lubos (6)

Zhang, S. Sarah (6)

Xia, Shuo (6)

Pasquariello, Paolo (6)

Jurkatis, Simon (6)

Lof, Matthijs (6)

Liew, Chee (6)

Wolff, Christian (6)

Schuerhoff, Norman (6)

Ranaldo, Angelo (6)

Palan, Stefan (6)

Vilkov, Grigory (6)

Stefanova, Denitsa (6)

Renault, Thomas (6)

Nielsson, Ulf (6)

Sarno, Lucio (6)

Aloosh, Arash (6)

Smales, Lee (6)

Harris, Jeffrey (6)

Hurlin, Christophe (6)

Wilhelmsson, Anders (6)

Shachar, Or (6)

Sojli, Elvira (6)

Rinne, Kalle (6)

Schwarz, Marco (6)

Park, Andreas (6)

LINTON, OLIVER (6)

Roy, Saurabh (6)

Jalkh, Naji (5)

Verousis, Thanos (5)

Neszveda, Gabor (5)

Chow, Nikolai Sheung-Chi (5)

Koetter, Michael (5)

Horenstein, Alex (5)

Schenk-Hoppé, Klaus (5)

Huang, Wenqian (5)

Walther, Thomas (5)

Hautsch, Nikolaus (5)

Abudy, Menachem (5)

Gil-Bazo, Javier (5)

Shahzad, Syed Jawad Hussain (4)

Jimenez-Martin, Juan (4)

Pelizzon, Loriana (4)

Bjønnes, Geir (4)

Güçbilmez, Ufuk (4)

Dumitrescu, Ariadna (4)

van Kervel, Vincent (4)

Adrian, Tobias (4)

Fontini, Fulvio (4)

Voigt, Stefan (3)

Billio, Monica (3)

Cepni, Oguzhan (3)

Mihet, Roxana (3)

GUPTA, RANGAN (3)

Taylor, Nick (3)

He, Xuezhong (Tony) (3)

Roy, Saurabh (2)

Kassner, Bernhard (2)

Theissen, Erik (2)

Regis, Luca (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

Gorbenko, Arseny (2)

Hjalmarsson, Erik (2)

Lajaunie, Quentin (2)

Patel, Vinay (2)

Prokopczuk, Marcel (2)

Patton, Andrew (2)

Vogel, Sebastian (2)

Lopez-Lira, Alejandro (2)

Hasse, Jean-Baptiste (2)

PASCUAL, ROBERTO (2)

Wong, Wing-Keung (2)

Söderlind, Paul (2)

Putnins, Talis (2)

Zhou, Chen (2)

Moinas, Sophie (2)

Rakowski, David (2)

Heath, Davidson (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 (147)

GUPTA, RANGAN (80)

Jimenez-Martin, Juan (57)

Pérez-Amaral, Teodosio (45)

Tansuchat, Roengchai (31)

Ruiz, Esther (28)

Hammoudeh, Shawkat (27)

Balcilar, Mehmet (26)

Asai, Manabu (23)

Billio, Monica (19)

Wohar, Mark (19)

Cites to:

Bollerslev, Tim (133)

Engle, Robert (113)

Diebold, Francis (73)

Andersen, Torben (58)

Laurent, Sébastien (40)

Corsi, Fulvio (38)

GUPTA, RANGAN (37)

Bauwens, Luc (36)

Shephard, Neil (35)

Tauchen, George (32)

Sheppard, Kevin (30)

Main data

Where Massimiliano Caporin has published?

Journals with more than one article published# docs
Energy Economics8
The North American Journal of Economics and Finance6
Journal of Empirical Finance5
Journal of Financial Econometrics5
Computational Statistics & Data Analysis5
Empirical Economics4
Econometric Reviews4
Journal of Economic Surveys4
Quantitative Finance4
International Review of Economics & Finance4
Journal of International Financial Markets, Institutions and Money3
Mathematics and Computers in Simulation (MATCOM)3
Finance Research Letters3
Journal of Banking & Finance3
Statistical Methods & Applications3
JRFM3
Journal of Econometrics2
The European Journal of Finance2
Resources Policy2
Energy Policy2
Applied Economics2
Econometrics2

Working Papers Series with more than one paper published# docs
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"20
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
Working Papers / Department of Economics, University of Venice "Ca' Foscari"11
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico10
KIER Working Papers / Kyoto University, Institute of Economic Research8
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE7
Post-Print / HAL7
Working Papers / University of Pretoria, Department of Economics5
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
Papers / arXiv.org3
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Working Papers / Swiss National Bank3
BEMPS - Bozen Economics & Management Paper Series / Faculty of Economics and Management at the Free University of Bozen2

Recent works citing Massimiliano Caporin (2025 and 2024)

YearTitle of citing document
2024Rockets and Feathers in the Oil and Gasoline Markets: In-Depth Analysis of Three Asymmetries. (2024). Qiu, Feng ; Zhang, Wenbei. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:344062.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

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2024Uniform Pessimistic Risk and its Optimal Portfolio. (2024). Hong, Sungchul ; Jeon, Jong-June. In: Papers. RePEc:arx:papers:2303.07158.

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2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2024). Fanelli, Viviana ; Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2309.00875.

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2024Risk valuation of quanto derivatives on temperature and electricity. (2024). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692.

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2024Quantile Granger Causality in the Presence of Instability. (2024). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2402.09744.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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2025Systemic Risk in the European Insurance Sector. (2025). di Giorgio, Giorgio ; Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025Predicting Financial Market Crises using Multilayer Network Analysis and LSTM-based Forecasting of Spillover Effects. (2025). Sefidi, Mahdi Kohan. In: Papers. RePEc:arx:papers:2505.11019.

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2024The Dynamics of the Chinese and Global Crude Oil Market Integration - Evidence From a DCC-MIDAS Model. (2024). Ren, Xiaohang ; Duan, Kun ; Cao, Jingxuan. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:98.

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2024Employee financial participation and corporate social and environmental performance: Evidence from European panel data. (2024). Schouteten, Roel ; Braam, Geert ; Poutsma, Erik ; van der Heijden, Beatrice. In: British Journal of Industrial Relations. RePEc:bla:brjirl:v:62:y:2024:i:2:p:381-409.

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2024International vulnerability of inflation. (2024). Ortega, Esther Ruiz ; Rodrguez, Carlos Vladimir ; Vedia, Ignacio Garrn. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:44814.

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2024Icing on the cake: Can the Top-Floor Units serve as a status good and an investment simultaneously?. (2024). Leung, Charles ; Ho, Edward Chi ; Ka, Charles. In: ISER Discussion Paper. RePEc:dpr:wpaper:1252.

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2025A wavelet coherence approach to analyze contagion between equity markets during three major crises. (2025). Belhassine, Olfa ; Nivoix, Sophie ; Riahi, Montassar. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00469.

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2024Hedging Effectiveness on the MISO Exchange. (2024). Jones, Kevin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-01-31.

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2024Time Frequency and Co-movements between Global Economic Policy Uncertainty, Precious Metals and Agricultural Prices: A Wavelet Coherence Analysis and Bootstrap Rolling Window Granger Causality. (2024). el Abed, Riadh ; ben Hamouda, Abderrazek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-55.

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2024The Volatility Spillover of Global Oil Price Uncertainty. (2024). Chuponov, Sanat ; Tich, Lucie ; Pcha, Kamil ; Ataev, Jasur ; Hudayberganov, Dilshod ; Kuziboev, Bekhzod. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-03-63.

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2025Change point detection in temporal networks based on graph snapshot similarity measures. (2025). Chen, Liming ; Huang, Xianbin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:489:y:2025:i:c:s009630032400626x.

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2024How do uncertain renewable energy induced risks evolve in a two-stage deregulated wholesale power market. (2024). Zhang, Yining ; Wang, Qunwei ; Ding, Hao ; Zhou, Dequn. In: Applied Energy. RePEc:eee:appene:v:353:y:2024:i:pb:s0306261923015040.

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2024Revealing the energy pyramid: Global energy dependence network and national status based on industry chain. (2024). Xia, Qifan ; Zhang, Qiang ; Ding, Junfeng ; Du, Debin. In: Applied Energy. RePEc:eee:appene:v:367:y:2024:i:c:s030626192400713x.

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2024Skewed multifractal cross-correlation between price and volume during the COVID-19 pandemic: Evidence from China and European carbon markets. (2024). Li, Zhihui ; Tian, Yun. In: Applied Energy. RePEc:eee:appene:v:371:y:2024:i:c:s0306261924010997.

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2024Is geopolitical oil price uncertainty forcing the world to use energy more efficiently? Evidence from advanced statistical methods. (2024). Lee, Chien-Chiang ; Ozkan, Oktay ; Olasehinde-Williams, Godwin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:908-919.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

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2024The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles. (2024). Hu, Zinan ; Borjigin, Sumuya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000391.

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2024Inflation 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.

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2024Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies. (2024). Zhu, Jing ; Zhao, Jingsong ; Sun, Jiaojiao ; Zhang, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001402.

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2025Frequency domain cross-quantile coherency and connectedness network of exchange rates: Evidence from ASEAN+3 countries. (2025). Zeng, Tian ; Zhu, Huiming ; Xia, Xiling ; Wang, Xinghui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001840.

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2024Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946.

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2024Airline industry equities under external uncertainty shocks. (2024). Mahadeo, Scott ; Blampied, Nicols ; Romeo, Scott Mark. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004786.

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2024Modelling 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.

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2024Time-varying multivariate causal processes. (2024). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Contagion among European financial indices, evidence from a quantile VAR approach. (2024). Tedeschi, Marco ; Palomba, Giulio. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024Tail risk spillovers between Shanghai oil and other markets. (2024). Shafiullah, Muhammad ; lucey, brian ; Karim, Sitara ; Gul, Raazia ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323006801.

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2024Energy crisis, economic growth and public finance in Italy. (2024). Fontana, Giuseppe ; Canelli, Rosa ; Realfonzo, Riccardo ; Passarella, Marco Veronese. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001385.

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2024Tracing the dynamic impact of energy transitions on equity market volatility in an era of financial turbulence. (2024). Xiao, Xunyong ; Shan, Shan ; Kchouri, Bilal ; Li, Aixi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001518.

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2024Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models. (2024). Hasanli, Mubariz. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002184.

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2024Is the carbon emission trading scheme conducive to promoting energy transition? Some empirical evidence from China. (2024). Ren, Yi-Shuai ; Duc, Toan Luu ; Narayan, Seema ; Liu, Pei-Zhi. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003372.

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2024Do climate risks affect dirty–clean energy stock price dynamic correlations?. (2024). Wu, Zhige ; Tang, Yixuan ; Li, DI. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004213.

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2024Monetary policies on green financial markets: Evidence from a multi-moment connectedness network. (2024). Zheng, Tingguo ; Ye, Shiqi ; Zhang, Hongyin. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400447x.

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2024Commodity systemic risk and macroeconomic predictions. (2024). Fang, YI ; Zhao, Yang ; Pei, Tiancheng ; Ouyang, Ruolan. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005152.

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2024The energy transition and the value of Capacity Remuneration Mechanisms. (2024). moretto, michele ; Fontini, Fulvio ; Bonaldo, Cinzia. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324005905.

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2024Price discovery redux—Analyzing energy spot and futures prices using a dynamic programming approach. (2024). Vatsa, Puneet ; Miljkovic, Dragan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400673x.

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2024Extreme downside risk connectedness between green energy and stock markets. (2024). Alomari, Mohammed ; el Khoury, Rim ; Mensi, Walid ; Vo, Xuan Vinh ; Kang, Sang Hoon. In: Energy. RePEc:eee:energy:v:312:y:2024:i:c:s0360544224032535.

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2024Asymmetric relationship between carbon market and energy markets. (2024). Tiwari, Aviral ; Lee, Chien-Chiang ; Shao, David Xuefeng ; Aikins, Emmanuel Joel. In: Energy. RePEc:eee:energy:v:313:y:2024:i:c:s0360544224034340.

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2024Silicon 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.

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2024Does 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.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Zhang, Zhendong ; Luo, Jiawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Cincinelli, Peter ; Urga, Giovanni ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2024Evolving energies: Analyzing stability amidst recent challenges in the natural gas market. (2024). Bouazizi, Tarek ; Makrychoriti, Panagiota ; Guesmi, Khaled ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002783.

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2024State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

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2024How useful are energy-related uncertainty for oil price volatility forecasting?. (2024). Zhang, Xiaoyun ; Guo, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013259.

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2024Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?. (2024). Wang, Mengjiao ; Liu, Jianxu ; Yang, Bing. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001405.

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2024The nexus between local government debt risk, real estate sector, and financial stability. (2024). Li, Yulong. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s154461232401105x.

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2025Risk spillover changes among commodity futures, stock and ESG markets: A study based on multidimensional higher order moment perspective. (2025). Zhou, Luohui ; Yu, Peining ; Li, Chujin ; Chen, Zejun. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324013138.

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2024The 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.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2024Spillovers in Europe: The role of ESG. (2024). Paterlini, Sandra ; Bax, Karoline ; Bonaccolto, Giovanni. In: Journal of Financial Stability. RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000068.

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2024Stock, foreign exchange and commodity markets linkages: Implications for risk diversification and portfolio management. (2024). Veloso, Carmen L ; Cornejo, Edinson E ; Seplveda, Sandra M ; Muoz, Jorge A ; Delgado, Carlos L. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s104402832400125x.

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2024Extreme downside risk connectedness and portfolio hedging among the G10 currencies. (2024). Tiwari, Aviral ; Abakah, Emmanuel ; Mensi, Walid ; Brahim, Mariem ; Carlotti, Jean-Etienne ; Aikins, Emmanuel Joel. In: International Economics. RePEc:eee:inteco:v:178:y:2024:i:c:s211070172400026x.

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2024Financial 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.

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2024Fintech and financial stability: Evidence from spatial analysis for 25 countries. (2024). You, Kefei ; Koranteng, Barbara. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:93:y:2024:i:c:s1042443124000684.

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2024Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306.

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2024Forecasting 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.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2024International macroeconomic vulnerability. (2024). Garcia, Marcio ; Velloso, Joo ; Guillen, Diogo ; Ribeiro, Bernardo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624000925.

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2024China’s GDP-at-Risk: Real-Time Monitoring, Risk Tracing, and Macroeconomic Policy Effects. (2024). Gao, Xiang ; Lv, Wenqiang ; Koedijk, Kees G ; Sui, Jianli. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001372.

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2024Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress. (2024). Maghyereh, Aktham ; Cui, Jinxin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000703.

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2024Coal price shock propagation through sectoral financial interconnectedness in Chinas stock market: Quantile coherency network modelling and shock decomposition analysis. (2024). Xu, Yushi ; Zhang, Yan ; Zhu, Xintong ; Huang, Jionghao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000114.

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2024Commodity market downturn: Systemic risk and spillovers during left tail events. (2024). Çevik, Emrah ; Kirimhan, Destan ; Gunay, Samet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000643.

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2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

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2024Comparative 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.

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2024Impact 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.

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2024Empirical analysis of investment in Pakistan’s upstream sector. (2024). Jamil, Faisal. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723012011.

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2024Higher-order moment connectedness between stock and commodity markets and portfolio management. (2024). Sensoy, Ahmet ; Mensi, Walid ; Kang, Sang Hoon ; Ko, Hee-Un. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s030142072400014x.

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2024Shining in or fading out: Do precious metals sparkle for cryptocurrencies?. (2024). lucey, brian ; Karim, Sitara ; Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Abrar, Afsheen. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724000898.

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2024Gold, platinum and the predictability of bubbles in global stock markets. (2024). GUPTA, RANGAN ; Gabauer, David ; Demirer, Riza ; Nielsen, Joshua. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001752.

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2024A wavelet analysis of the relationship between carbon emissions rights and crude oil prices in China. (2024). Cao, Yafei ; Long, Huidian. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724000795.

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2024Connectedness between green bonds, conventional bonds, oil, heating oil, natural gas, and petrol: new evidence during bear and bull market scenarios. (2024). Selmi, Refk ; Mensi, Walid ; Kang, Sang Hoon ; Al-Kharusi, Sami ; Belghouthi, Houssem Eddine. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002551.

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2024Social responsibility, information technology, and high-quality development of mining enterprise using structural equation modeling (SEM). (2024). Zhou, Zhiyong ; Wu, Yanhong ; Xie, Qinghua. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002927.

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2024Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets. (2024). Mohnot, Rajesh ; Arfaoui, Nadia ; Hamouda, Foued ; Zargar, Faisal Nazir. In: Resources Policy. RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003994.

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2024Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline. (2024). Tiwari, Aviral ; Mensi, Walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Brahim, Mariem. In: Resources Policy. RePEc:eee:jrpoli:v:93:y:2024:i:c:s0301420724004446.

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2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises. (2024). Yao, Wenying ; Liu, Junli ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x2400249x.

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2024Social media sentiment contagion and stock price jumps and crashes. (2024). Xiong, Yan ; Yang, Jing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002725.

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2024Cryptocurrency: A new player or a new crisis in financial markets? —— Evolutionary analysis of association and risk spillover based on network science. (2024). Zhou, Fan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:648:y:2024:i:c:s0378437124004643.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Ziadat, Salem Adel ; al Rababa, Abdel Razzaq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17.

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2024Do ESG disclosures mitigate investors’ reaction on mining disasters? Evidence from Brazil. (2024). Feria-Dominguez, Jose Manuel ; Fdez-Galiano, Ines Merino. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:256-267.

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2024Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM. (2024). Wang, Xing ; Liang, Chao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001339.

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2024Quantile connectedness and network among Green bonds, Renewable Energy, and G7 sustainability markets. (2024). Mensi, Walid ; Kang, Sang Hoon ; Adekoya, Oluwasegun B ; Gubareva, Mariya. In: Renewable Energy. RePEc:eee:renene:v:231:y:2024:i:c:s0960148124010115.

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2024Together in bad times? The effect of COVID-19 on inflation spillovers in China. (2024). Xu, Yingying ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:316-331.

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2024Volatility transmission between upstream and midstream energy sectors. (2024). Payne, James ; Malik, Farooq ; Ewing, Bradley T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1191-1199.

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2024Asymmetric spillover effects in energy markets. (2024). Wohar, Mark ; Tiwari, Aviral ; doğan, buhari ; Adekoya, Oluwasegun B ; Aikins, Emmanuel Joel ; Doan, Buhari. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:470-502.

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More than 100 citations found, this list is not complete...

Works by Massimiliano Caporin:

YearTitleTypeCited
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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2016Volatility Jumps and Their Economic Determinants.(2016) In: 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.
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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]		paper7
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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This paper has nother version. Agregated cites: 7		article
2021Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil In: The Energy Journal.
[Full Text][Citation analysis]		article2
2021Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil.(2021) In: The Energy Journal.
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This paper has nother version. Agregated cites: 2		article
2017Systemic risk for financial institutions of major petroleum-based economies: The role of oil.(2017) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 2		paper
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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This paper has nother version. Agregated cites: 4		article
2014Option pricing with non-Gaussian scaling and infinite-state switching volatility In: Papers.
[Full Text][Citation analysis]		paper6
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]		paper8
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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This paper has nother version. Agregated cites: 8		article
2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article4
2009A Scientific Classification of Volatility Models..(2009) In: Documentos de Trabajo del ICAE.
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This paper has nother version. Agregated cites: 4		paper
2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article25
2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article139
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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This paper has nother version. Agregated cites: 139		paper
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.
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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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This paper has nother version. Agregated cites: 139		paper
2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article30
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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2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2024Nonstandard Errors.(2024) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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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]		article12
2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
[Full Text][Citation analysis]
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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]
This paper has nother version. Agregated cites: 12		paper
2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
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2008Thresholds, 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
2010Thresholds, 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
2009Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2009) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper215
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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This paper has nother version. Agregated cites: 215		paper
2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 215		paper
2024Nowcasting Inflation at Quantiles: Causality from Commodities In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper0
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper16
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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This paper has nother version. Agregated cites: 16		article
2019Contagion 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: 16		paper
2023Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves In: Finance.
[Full Text][Citation analysis]		article0
2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper29
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2010Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
[Full Text][Citation analysis]		paper18
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.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]		paper29
2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation In: Working Papers in Economics.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Econometric Institute Research Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation.(2011) In: KIER Working Papers.
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2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.(2011) In: Documentos de Trabajo del ICAE.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
[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.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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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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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Documentos de Trabajo del ICAE.
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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 DCC.(2013) In: Documentos de Trabajo del ICAE.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
[Full Text][Citation analysis]		paper85
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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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?.(2016) In: Econometric Institute Research Papers.
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2007Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI.(2007) In: Working Papers.
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2005Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications.
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2016RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES.(2016) In: Annals of Financial Economics (AFE).
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