Massimiliano Caporin : Citation Profile

23

H index

42

i10 index

1816

Citations

RESEARCH PRODUCTION:

109

Articles

139

Papers

RESEARCH ACTIVITY:

   23 years (2002 - 2025). See details.
   Cites by year: 78
   Journals where Massimiliano Caporin has often published
   Relations with other researchers
   Recent citing documents: 141.    Total self citations: 111 (5.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca441
   Updated: 2025-04-12    RAS profile: 2025-04-06    
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Relations with other researchers

Works with:

Füllbrunn, Sascha (8)

Chernov, Mikhail (8)

Deev, Oleg (8)

Ferrara, Gerardo (8)

Frömmel, Michael (8)

Alexeev, Vitali (8)

Holzmeister, Felix (8)

Gerritsen, Dirk (8)

Gehrig, Thomas (8)

Bos, Charles (8)

Dreber, Anna (8)

Johannesson, Magnus (8)

FERROUHI, EL MEHDI (8)

Brownlees, Christian (8)

CAPELLE-BLANCARD, Gunther (7)

Dimpfl, Thomas (7)

Deku, Solomon (7)

Davies, Ryan (7)

Frijns, Bart (7)

Eugster, Nicolas (7)

Menkveld, Albert (7)

Bohorquez Correa, Santiago (7)

Pasquariello, Paolo (6)

Korajczyk, Robert (6)

Talavera, Oleksandr (6)

Lof, Matthijs (6)

Rinne, Kalle (6)

Aloosh, Arash (6)

Sojli, Elvira (6)

Renault, Thomas (6)

Smales, Lee (6)

Jurkatis, Simon (6)

Schwarz, Marco (6)

Park, Andreas (6)

Liew, Chee (6)

Schuerhoff, Norman (6)

Ait-Sahalia, Yacine (6)

Palan, Stefan (6)

Stefanova, Denitsa (6)

Shachar, Or (6)

Reitz, Stefan (6)

Pastor, Lubos (6)

Wilhelmsson, Anders (6)

Harris, Jeffrey (6)

Wolff, Christian (6)

Xia, Shuo (6)

Colliard, Jean-Edouard (6)

Zhang, S. Sarah (6)

Ranaldo, Angelo (6)

Hurlin, Christophe (6)

Scaillet, Olivier (6)

Ødegaard, Bernt (6)

LINTON, OLIVER (6)

Sarno, Lucio (6)

Foucault, Thierry (6)

Nielsson, Ulf (6)

Xiu, Dacheng (6)

Koetter, Michael (5)

Chow, Nikolai Sheung-Chi (5)

Jalkh, Naji (5)

Verousis, Thanos (5)

Degryse, Hans (5)

Schenk-Hoppé, Klaus (5)

Neszveda, Gabor (5)

Vilkov, Grigory (5)

Horenstein, Alex (5)

Gil-Bazo, Javier (5)

Abudy, Menachem (5)

Huang, Wenqian (5)

Walther, Thomas (5)

Hautsch, Nikolaus (5)

Shahzad, Syed Jawad Hussain (4)

Dumitrescu, Ariadna (4)

Adrian, Tobias (4)

Fontini, Fulvio (4)

Bjønnes, Geir (4)

Güçbilmez, Ufuk (4)

van Kervel, Vincent (4)

Pelizzon, Loriana (4)

Jimenez-Martin, Juan (4)

Mihet, Roxana (3)

Taylor, Nick (3)

GUPTA, RANGAN (3)

Voigt, Stefan (3)

Roy, Saurabh (3)

He, Xuezhong (Tony) (3)

Billio, Monica (3)

Lopez-Lira, Alejandro (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Putnins, Talis (2)

Patel, Vinay (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

Hasse, Jean-Baptiste (2)

Regis, Luca (2)

Vogel, Sebastian (2)

Heath, Davidson (2)

Hjalmarsson, Erik (2)

Zhou, Chen (2)

Cepni, Oguzhan (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Wong, Wing-Keung (2)

Rakowski, David (2)

Kassner, Bernhard (2)

PASCUAL, ROBERTO (2)

Moinas, Sophie (2)

Tonks, Ian (2)

Patton, Andrew (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 (79)

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 (18)

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

Production by document typepaperarticle2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250102030Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 23Most cited documents123456789101112131415161718192021222324250100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Massimiliano Caporin has published?

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

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 Econ�micas y Empresariales, Instituto Complutense de An�lisis Econ�mico10
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
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo5
Working Papers on Finance / University of St. Gallen, School of Finance5
Tinbergen Institute Discussion Papers / Tinbergen Institute4
MPRA Paper / University Library of Munich, Germany4
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
Working Papers / Swiss National Bank3
Papers / arXiv.org3
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)

Year  ↓Title of citing document  ↓
2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2024Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875.

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2024Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2310.07692.

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

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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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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). Borjigin, Sumuya ; Hu, Zinan. 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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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). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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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 ; Gul, Raazia ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. 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 ; Realfonzo, Riccardo ; Canelli, Rosa ; 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). Shan, Shan ; Kchouri, Bilal ; Li, Aixi ; Xiao, Xunyong. 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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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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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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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). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. 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). Luo, Jiawen ; Zhang, Zhendong. 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 ; Naeem, Muhammad Abubakr ; Karim, Sitara. 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). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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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). Guo, Qiang ; Zhang, Xiaoyun. 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). Yang, Bing ; Liu, Jianxu ; Wang, Mengjiao. 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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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 ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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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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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). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. 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). Vandenbroucke, Jurgen ; van Dolder, Dennie. 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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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 ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid. 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). Vigne, Samuel A ; Lucey, Brian M ; Karim, Sitara ; 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). Demirer, Riza ; Nielsen, Joshua ; Gupta, Rangan ; Gabauer, David. 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 ; Al-Kharusi, Sami ; Mensi, Walid ; Kang, Sang Hoon ; 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). Xie, Qinghua ; Wu, Yanhong ; Zhou, Zhiyong. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002927.

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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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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 ; al Rababa, Abdel Razzaq ; Ziadat, Salem Adel ; Mensi, Walid ; Kang, Sang Hoon. 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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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). Lien, Donald ; Xu, Yingying. 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). Tiwari, Aviral ; Doan, Buhari ; Aikins, Emmanuel Joel ; Wohar, Mark ; Adekoya, Oluwasegun B. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:470-502.

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2024Navigating median and extreme volatility in stock markets: Implications for portfolio strategies. (2024). Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004994.

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2024Selling 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.

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2024How responsive are retail electricity prices to crude oil fluctuations in the US? Time-varying and asymmetric perspectives. (2024). Ye, Yong ; Luo, Keyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000266.

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2024Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach. (2024). Demir, Ender ; Assaf, Ata ; Yousaf, Imran. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000308.

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2024Sequential management of energy and low-carbon portfolios. (2024). Salvador, Manuel ; Miguel, Jesus A ; Lample, Luis ; Gargallo, Pilar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000564.

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2024Interconnectedness and systemic risk: Evidence from global stock markets. (2024). Dibooglu, Sel ; Bugan, Mehmet Fatih ; Kilic, Yunus ; Terzioglu, Hande Caliskan ; Cevik, Emrah Ismail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000758.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2024Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence. (2024). Zhou, Yuqin ; Song, Ziyu ; Liu, Yilong ; Wu, Shan ; Guo, Wenjing. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s027553192400285x.

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2024How electricity and natural gas prices affect banking systemic risk. (2024). Giorgio, Saverio ; Marzioni, Stefano ; Paccione, Cosimo ; Mure, Pina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924003039.

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2025Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis. (2025). Pandey, Dharen ; Kakran, Shubham ; Bajaj, Parminder Kaur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003659.

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

Works by Massimiliano Caporin:

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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.
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2019The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance.
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2018A multilevel factor approach for the analysis of CDS commonality and risk contribution In: CREATES Research Papers.
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2019A multilevel factor approach for the analysis of CDS commonality and risk contribution.(2019) In: Journal of International Financial Markets, Institutions and Money.
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2021Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil In: The Energy Journal.
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2017Systemic risk for financial institutions of major petroleum-based economies: The role of oil.(2017) In: SAFE Working Paper Series.
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2013Ensemble properties of high frequency data and intraday trading rules In: Papers.
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2015Ensemble properties of high-frequency data and intraday trading rules.(2015) In: Quantitative Finance.
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2014Option pricing with non-Gaussian scaling and infinite-state switching volatility In: Papers.
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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.
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2015Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers.
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2018Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science.
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2010A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS In: Journal of Economic Surveys.
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2010THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS In: Journal of Economic Surveys.
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2012DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article138
2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Working Papers in Economics.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: Econometric Institute Research Papers.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: KIER Working Papers.
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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models.(2010) In: CIRJE F-Series.
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2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		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.
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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: 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.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: Working Papers in Economics.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CARF F-Series.
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2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH.(2010) In: Econometric Institute Research Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: KIER Working Papers.
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2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2008) In: Marco Fanno Working Papers.
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2010Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH.(2010) In: CIRJE F-Series.
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2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper213
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 213		paper
2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 213		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]		paper14
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: 14		article
2019Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach.(2019) In: Working Papers.
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This paper has nother version. Agregated cites: 14		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.
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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Ranking Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CARF F-Series.
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2010Ranking multivariate GARCH models by problem dimension.(2010) In: Econometric Institute Research Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: Marco Fanno Working Papers.
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2010Ranking Multivariate GARCH Models by Problem Dimension.(2010) In: CIRJE F-Series.
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2010Model Selection and Testing of Conditional and Stochastic Volatility Models In: Working Papers in Economics.
[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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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension In: Working Papers in Economics.
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2014Robust ranking of multivariate GARCH models by problem dimension.(2014) In: Computational Statistics & Data Analysis.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: Econometric Institute Research Papers.
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2012Robust Ranking of Multivariate GARCH Models by Problem Dimension.(2012) In: KIER Working Papers.
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2013Ten Things You Should Know About DCC In: Working Papers in Economics.
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2013Ten Things You Should Know About DCC.(2013) In: Econometric Institute Research Papers.
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2013Ten Things You Should Know About DCC.(2013) In: KIER Working Papers.
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2013Ten Things you should know about DCC.(2013) In: Tinbergen Institute Discussion Papers.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation In: Working Papers in Economics.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: Econometric Institute Research Papers.
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2013Ten Things You Should Know about the Dynamic Conditional Correlation Representation.(2013) In: Econometrics.
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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation.(2013) In: KIER Working Papers.
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2013Ten Things you should know about the Dynamic Conditional Correlation Representation.(2013) In: Tinbergen Institute Discussion Papers.
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2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models In: CARF F-Series.
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2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
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2024Environmental Kuznets Curve for Extended Brics Economies: Do Women Governance and Water Stress Matter? In: International Journal of Energy Economics and Policy.
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2020On the volatilities of tourism stocks and oil In: Annals of Tourism Research.
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2007Generalised long-memory GARCH models for intra-daily volatility In: Computational Statistics & Data Analysis.
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2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
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2007Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers.
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2012Modelling and forecasting wind speed intensity for weather risk management In: Computational Statistics & Data Analysis.
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2010Modelling and forecasting wind speed intensity for weather risk management.(2010) In: Marco Fanno Working Papers.
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2014Variance clustering improved dynamic conditional correlation MGARCH estimators In: Computational Statistics & Data Analysis.
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2011Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators.(2011) In: Marco Fanno Working Papers.
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2013Equity and CDS sector indices: Dynamic models and risk hedging In: The North American Journal of Economics and Finance.
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2013A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management In: The North American Journal of Economics and Finance.
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2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
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2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
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2021TrAffic LIght system for systemic Stress: TALIS3 In: The North American Journal of Economics and Finance.
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2022News and intraday jumps: Evidence from regularization and class imbalance In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2018A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms Economic Performance In: Ecological Economics.
[Full Text][Citation analysis]		article37
2017Chasing volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2023Networks in risk spillovers: A multivariate GARCH perspective In: Econometrics and Statistics.
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2016Networks in risk spillovers: a multivariate GARCH perspective.(2016) In: Working Papers.
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2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
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2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
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2022Dynamic large financial networks via conditional expected shortfalls In: European Journal of Operational Research.
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2022Dynamic Large Financial Networks via Conditional Expected Shortfalls.(2022) In: Post-Print.
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2013Risk spillovers in international equity portfolios In: Journal of Empirical Finance.
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2012Risk spillovers in international equity portfolios.(2012) In: Working Papers.
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2012Risk Spillovers in International Equity Portfolios.(2012) In: Working Papers on Finance.
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2018“On the (Ab)use of Omega?” In: Journal of Empirical Finance.
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2018“On the (Ab)use of Omega?”.(2018) In: Post-Print.
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2018“On the (Ab)use of Omega ?”.(2018) In: Post-Print.
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2016On the (Ab)Use of Omega?.(2016) In: Working Papers.
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2015On the (Ab)Use of Omega?.(2015) In: Working Papers.
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2019Estimation and model-based combination of causality networks among large US banks and insurance companies In: Journal of Empirical Finance.
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2020Do structural breaks in volatility cause spurious volatility transmission? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article9
2022The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland In: Energy Economics.
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2021The 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.
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2022Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test In: Energy Economics.
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2023The systemic risk of US oil and natural gas companies In: Energy Economics.
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2022The systemic risk of US oil and natural gas companies.(2022) In: JRC Working Papers in Economics and Finance.
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2024Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment In: Energy Economics.
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2012Model based Monte Carlo pricing of energy and temperature Quanto options In: Energy Economics.
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2010Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options.(2010) In: Marco Fanno Working Papers.
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2010Model based Monte Carlo pricing of energy and temperature quanto options.(2010) In: MPRA Paper.
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2017The relationship between oil prices and rig counts: The importance of lags In: Energy Economics.
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2017The long-run oil–natural gas price relationship and the shale gas revolution In: Energy Economics.
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2015The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution.(2015) In: Marco Fanno Working Papers.
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2019Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock In: Energy Economics.
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2019Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements In: Energy Policy.
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2015Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle In: Energy Policy.
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2021Dynamic network analysis of North American financial institutions In: Finance Research Letters.
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2022Measuring systemic risk during the COVID-19 period: A TALIS3 approach In: Finance Research Letters.
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2023Asymmetric and time-frequency based networks of currency markets In: Finance Research Letters.
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2014Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises In: Journal of International Financial Markets, Institutions and Money.
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2013Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.(2013) In: MPRA Paper.
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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market In: Journal of International Financial Markets, Institutions and Money.
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2019Decomposing and backtesting a flexible specification for CoVaR In: Journal of Banking & Finance.
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2022Systemic risk and severe economic downturns: A targeted and sparse analysis In: Journal of Banking & Finance.
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2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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2011On the Predictability of Stock Prices: a Case for High and Low Prices.(2011) In: Working Papers.
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2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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2017Systemic co-jumps In: Journal of Financial Economics.
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2016Systemic co-jumps.(2016) In: SAFE Working Paper Series.
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2023Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic In: Resources Policy.
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2024Time series clustering based on latent volatility mixture modeling with applications in finance In: Mathematics and Computers in Simulation (MATCOM).
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2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
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2013Fast clustering of GARCH processes via Gaussian mixture models In: Mathematics and Computers in Simulation (MATCOM).
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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk In: Physica A: Statistical Mechanics and its Applications.
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2015The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk.(2015) In: Working Papers.
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2015Realized range volatility forecasting: Dynamic features and predictive variables In: International Review of Economics & Finance.
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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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2016Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?.(2016) In: Tinbergen Institute Discussion Papers.
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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification.(2017) In: SAFE Working Paper Series.
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2024The Contribution of Green, Blue, and Energy Sources to Economic Development in Central Asia In: Economies.
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2005Multivariate ARCH with spatial effects for stock sector and size In: Economics and Quantitative Methods.
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2008Scalar BEKK and indirect DCC In: Journal of Forecasting.
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2008Dating EU15 monthly business cycle jointly using GDP and IPI In: Journal of Business Cycle Measurement and Analysis.
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2007Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI.(2007) In: Working Papers.
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2008Volatility Threshold Dynamic Conditional Correlations: An International Analysis.(2008) In: Marco Fanno Working Papers.
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2006Dynamic Asymmetric GARCH In: Journal of Financial Econometrics.
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2024Measuring Climate Transition Risk Spillovers In: Review of Finance.
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2011Modeling and forecasting realized range volatility In: Marco Fanno Working Papers.
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2014Multi-jumps In: Marco Fanno Working Papers.
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2014Multi-jumps.(2014) In: MPRA Paper.
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2015Dynamic Principal Components: a New Class of Multivariate GARCH Models In: Marco Fanno Working Papers.
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2012I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti In: Economics Department Working Papers.
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2014The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises In: MPRA Paper.
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2014Time-Varying Persistence in US Inflation In: Working Papers.
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2017Time-varying persistence in US inflation.(2017) In: Empirical Economics.
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2009Forecasting realized (co)variances with a block structure Wishart autoregressive model In: Working Papers.
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2012Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model.(2012) In: Working Papers on Finance.
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2003Identification of long memory in GARCH models In: Statistical Methods & Applications.
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2005Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications.
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2010Misspecification tests for periodic long memory GARCH models In: Statistical Methods & Applications.
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2012On the evaluation of marginal expected shortfall In: Applied Economics Letters.
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2019Asymmetry and leverage in GARCH models: a News Impact Curve perspective In: Applied Economics.
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2007Variance (Non) Causality in Multivariate GARCH In: Econometric Reviews.
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2009Periodic Long-Memory GARCH Models In: Econometric Reviews.
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2015Proximity-Structured Multivariate Volatility Models In: Econometric Reviews.
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2017Correction of Caporin and Paruolo (2015) In: Econometric Reviews.
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2012A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices In: The European Journal of Finance.
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2012On the role of risk in the Morningstar rating for mutual funds In: Quantitative Finance.
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2014Precious Metals Under the Microscope: A High-Frequency Analysis.(2014) In: Working Papers on Finance.
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2006Methodological aspects of time series back-calculation In: Working Papers.
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2012Market volatility, optimal portfolios and naive asset allocations In: Working Papers.
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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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2013Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models In: Journal of Forecasting.
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2011Comparing and selecting performance measures using rank correlations In: Economics Discussion Papers.
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2011Comparing and selecting performance measures using rank correlations.(2011) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
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