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Massimiliano Caporin
Massimiliano Caporin
University of Padova - Department of Statistical Sciences
Verified email at unipd.it
Title
Cited by
Cited by
Year
Measuring sovereign contagion in Europe
M Caporin, L Pelizzon, F Ravazzolo, R Rigobon
Journal of Financial Stability 34, 150-181, 2018
2922018
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
2192006
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
2002012
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
M Billio, M Caporin
Statistical methods and applications 14 (2), 145-161, 2005
1542005
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
1412010
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
1402018
Ten things you should know about the dynamic conditional correlation representation
M Caporin, M McAleer
Econometrics 1 (1), 115-126, 2013
1362013
A generalized dynamic conditional correlation model for portfolio risk evaluation
M Billio, M Caporin
Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009
1102009
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
982014
The long-run oil–natural gas price relationship and the shale gas revolution
M Caporin, F Fontini
Energy Economics 64, 511-519, 2017
922017
Scalar BEKK and indirect DCC
M Caporin, M McAleer
Journal of Forecasting 27 (6), 537-549, 2008
872008
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
702013
Evaluating value-at-risk measures in the presence of long memory conditional volatility
M Caporin
The Journal of Risk 10 (3), 79, 2008
642008
Systemic co-jumps
M Caporin, A Kolokolov, R RenÚ
Journal of Financial Economics 126 (3), 563-591, 2017
552017
Comparing and selecting performance measures using rank correlations
M Caporin, F Lisi
Economics 5 (1), 2011
552011
Volatility threshold dynamic conditional correlations: An international analysis
M Kasch, M Caporin
Journal of Financial Econometrics 11 (4), 706-742, 2013
522013
Do we really need both BEKK and DCC
M Caporin, M McAleer
A tale of two covariance models, 2009
522009
Generalised long-memory GARCH models for intra-daily volatility
S Bordignon, M Caporin, F Lisi
Computational Statistics & Data Analysis 51 (12), 5900-5912, 2007
512007
A note on calculating autocovariances of long‐memory processes
S Bertelli, M Caporin
Journal of Time Series Analysis 23 (5), 503-508, 2002
512002
Modelling and forecasting wind speed intensity for weather risk management
M Caporin, J Preś
Computational Statistics & Data Analysis 56 (11), 3459-3476, 2012
492012
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