Sfoglia per Autore  

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Mostrati risultati da 101 a 120 di 133
Titolo Data di pubblicazione Autori Rivista Serie Titolo libro
On the evaluation of marginal expected shortfall 2012 CAPORIN, MASSIMILIANO + APPLIED ECONOMICS LETTERS - -
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS 2012 CAPORIN, MASSIMILIANO + JOURNAL OF ECONOMIC SURVEYS - -
Comparing and Selecting Performance Measures Using Rank Correlations 2011 CAPORIN, MASSIMILIANOLISI, FRANCESCO ECONOMICS - -
Contagion dating through market interdependence analysis and correlation stability 2011 CAPORIN, MASSIMILIANO + - - Financial contagion: the viral threat to the wealth of nations
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH 2011 CAPORIN, MASSIMILIANO + STATISTICA NEERLANDICA - -
Modeling and Forecasting Realized Range Volatility 2010 CAPORIN, MASSIMILIANOVELO, GABRIEL GONZALO - - -
Comparing Multivariate GARCH Models by Problem Dimension 2010 CAPORIN, MASSIMILIANO + - - -
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 2010 CAPORIN, MASSIMILIANO + COMPUTATIONAL STATISTICS & DATA ANALYSIS - -
Misspecification tests for periodic long memory GARCH models 2010 CAPORIN, MASSIMILIANOLISI, FRANCESCO STATISTICAL METHODS & APPLICATIONS - -
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS 2010 CAPORIN, MASSIMILIANO + JOURNAL OF ECONOMIC SURVEYS - -
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS RID A-2407-2008 2010 CAPORIN, MASSIMILIANO + JOURNAL OF ECONOMIC SURVEYS - -
On the role of risk in the Morningstar rating for mutual funds. 2009 Caporin, MassimilianoLisi, Francesco - WORKING PAPER SERIES DSS -
Periodic Long-Memory GARCH models 2009 BORDIGNON, SILVANOCAPORIN, MASSIMILIANOLISI, FRANCESCO ECONOMETRIC REVIEWS - -
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 2009 CAPORIN, MASSIMILIANO + MATHEMATICS AND COMPUTERS IN SIMULATION - -
Evaluating value-at-risk measures in the presence of long memory conditional volatility 2008 CAPORIN, MASSIMILIANO THE JOURNAL OF RISK - -
Scalar BEKK and indirect DCC 2008 CAPORIN, MASSIMILIANO + JOURNAL OF FORECASTING - -
Misspecification tests for Periodic Long Memory GARCH models. 2007 Lisi, FrancescoCaporin, Massimiliano - WORKING PAPER SERIES DSS -
Dating EU15 monthly business cycle jointly using GDP and IPI 2007 CAPORIN, MASSIMILIANO + JOURNAL OF BUSINESS CYCLE ANALYSIS AND MEASUREMENT - -
Generalised long-memory GARCH models for intra-daily volatility 2007 BORDIGNON, SILVANOCAPORIN, MASSIMILIANOLISI, FRANCESCO COMPUTATIONAL STATISTICS & DATA ANALYSIS - -
Variance (non) causality in multivariate GARCH 2007 CAPORIN, MASSIMILIANO ECONOMETRIC REVIEWS - -
Mostrati risultati da 101 a 120 di 133
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