Massimiliano Caporin

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Michael McAleerProfessor of Quantitative Finance, Erasmus University RotterdamVerifisert e-postadresse på ese.eur.nl
Monica BILLIOCa' Foscari University of VeniceVerifisert e-postadresse på unive.it
Loriana PelizzonSAFE Goethe University Frankfurt and Ca' Foscari University of VeniceVerifisert e-postadresse på unive.it
Paolo Santucci de MagistrisLUISS UniversityVerifisert e-postadresse på luiss.it
Angelo RanaldoProfessor of Finance and SFI Senior ChairVerifisert e-postadresse på unisg.ch
Francesco RavazzoloBI Norwegian Business School and Free University of Bozen-BolzanoVerifisert e-postadresse på unibz.it
JUAN-ANGEL JIMENEZ-MARTINICAE & Dpt. Economic Analysis, Universidad Complutense de MadridVerifisert e-postadresse på ccee.ucm.es
Roberto Calogero PanzicaBank of PortugalVerifisert e-postadresse på bportugal.pt
Rossi EduardoUniversity of PaviaVerifisert e-postadresse på unipv.it
Paolo ParuoloEuropean Commission Joint Research CentreVerifisert e-postadresse på ec.europa.eu
Syed Jawad Hussain ShahzadMontpellier Business SchoolVerifisert e-postadresse på montpellier-bs.com
Shawkat HammoudehLeBow College of Business Drexel UniversityVerifisert e-postadresse på drexel.edu
Sandra PaterliniDepartment of Economics & Management, University of TrentoVerifisert e-postadresse på unitn.it
Rangan GuptaUniversity of PretoriaVerifisert e-postadresse på up.ac.za
Aleksey KolokolovManchester Business SchoolVerifisert e-postadresse på manchester.ac.uk
Roberto RigobonProfessor Applied Economics, Sloan School, MITVerifisert e-postadresse på mit.edu
Mudassar Hasan, PhDAssociate Professor in Finance at Lahore Business School, The University of Lahore, PakistanVerifisert e-postadresse på lbs.uol.edu.pk
Lorenzo FrattaroloUniversità degli studi di VeronaVerifisert e-postadresse på univr.it
Gian Piero AielliResearch fellowVerifisert e-postadresse på univr.it
Silvia BlasiResearch Assistant, Department of Management, University of VeronaVerifisert e-postadresse på univr.it

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Massimiliano Caporin

University of Padova - Department of Statistical Sciences

Verifisert e-postadresse på unipd.it

Financial Econometrics Empirical Finance Systemic Risk Asset Allocation Risk Management


Tittel Sorter etter sitater Sorter etter år Sorter etter tittel	Sitert av Sitert av	År
Measuring sovereign contagion in Europe M Caporin, L Pelizzon, F Ravazzolo, R Rigobon Journal of Financial Stability 34, 150-181, 2018	341	2018
Flexible dynamic conditional correlation multivariate garch models for asset allocation M Billio, M Caporin, M Gobbo Applied Financial Economics Letters 2 (02), 123-130, 2006	244	2006
Do we really need both BEKK and DCC? A tale of two multivariate GARCH models M Caporin, M McAleer Journal of Economic Surveys 26 (4), 736-751, 2012	221	2012
A multidimensional analysis of the relationship between corporate social responsibility and firms' economic performance S Blasi, M Caporin, F Fontini Ecological Economics 147, 218-229, 2018	199	2018
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion M Billio, M Caporin Computational statistics & data analysis 54 (11), 2443-2458, 2010	167	2010
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis M Billio, M Caporin Statistical methods and applications 14 (2), 145-161, 2005	162	2005
Ten things you should know about the dynamic conditional correlation representation M Caporin, M McAleer Econometrics 1 (1), 115-126, 2013	155	2013
The long-run oil–natural gas price relationship and the shale gas revolution M Caporin, F Fontini Energy Economics 64, 511-519, 2017	117	2017
A generalized dynamic conditional correlation model for portfolio risk evaluation M Billio, M Caporin Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009	116	2009
A survey on the four families of performance measures M Caporin, GM Jannin, F Lisi, BB Maillet Journal of Economic Surveys 28 (5), 917-942, 2014	110	2014
Scalar BEKK and indirect DCC M Caporin, M McAleer Journal of Forecasting 27 (6), 537-549, 2008	91	2008
Systemic co-jumps M Caporin, A Kolokolov, R Renò Journal of Financial Economics 126 (3), 563-591, 2017	84	2017
On the predictability of stock prices: A case for high and low prices M Caporin, A Ranaldo, PS De Magistris Journal of Banking & Finance 37 (12), 5132-5146, 2013	81	2013
Evaluating value-at-risk measures in the presence of long memory conditional volatility M Caporin The Journal of Risk 10 (3), 79, 2008	79	2008
Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024	66	2024
Asymmetric and time-frequency spillovers among commodities using high-frequency data M Caporin, MA Naeem, M Arif, M Hasan, XV Vo, SJH Shahzad Resources Policy 70, 101958, 2021	65	2021
Comparing and selecting performance measures using rank correlations M Caporin, F Lisi Economics 5 (1), 20110010, 2011	60	2011
Do we really need both BEKK and DCC M Caporin, M McAleer A tale of two covariance models, 2009	56	2009
Modelling and forecasting wind speed intensity for weather risk management M Caporin, J Preś Computational Statistics & Data Analysis 56 (11), 3459-3476, 2012	55	2012
Generalised long-memory GARCH models for intra-daily volatility S Bordignon, M Caporin, F Lisi Computational Statistics & Data Analysis 51 (12), 5900-5912, 2007	55	2007

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