Sfoglia per Autore
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
2013 M., Kasch; Caporin, Massimiliano
Model selection and testing of conditional and stochastic volatility models
2012 Caporin, Massimiliano; M., Mcaleer
Estimating jumps in volatility using realized-range measures
2012 Caporin, Massimiliano; E., Rossi; P., Santucci de Magistris
On the role of risk in the Morningstar rating for mutual funds
2012 Lisi, Francesco; Caporin, Massimiliano
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
2012 M., Bonato; Caporin, Massimiliano; A., Ranaldo
Modeling and forecasting wind speed intensity for weather risk management
2012 Caporin, Massimiliano; Pres, J.
Model based Monte Carlo pricing of energy and temperature Quanto options
2012 Caporin, Massimiliano; Juliusz, Preś; Hipolit, Torro
On the evaluation of marginal expected shortfall
2012 Caporin, Massimiliano; Paolo Santucci de, Magistris
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
2012 Caporin, Massimiliano; Michael, Mcaleer
Market volatility, optimal portfolios and naive asset allocations
2012 Caporin, Massimiliano; L., Pelizzon
Comparing and Selecting Performance Measures Using Rank Correlations
2011 Caporin, Massimiliano; Lisi, Francesco
Contagion dating through market interdependence analysis and correlation stability
2011 M., Billio; Caporin, Massimiliano
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
2011 Caporin, Massimiliano; Mcaleer, M.
Modeling and Forecasting Realized Range Volatility
2010 Caporin, Massimiliano; Velo, GABRIEL GONZALO
Comparing Multivariate GARCH Models by Problem Dimension
2010 Caporin, Massimiliano; M., Mcaleer
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
2010 Caporin, Massimiliano; Mcaleer, M.
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS RID A-2407-2008
2010 Caporin, Massimiliano; Mcaleer, M.
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
2010 Billio, M; Caporin, Massimiliano
Misspecification tests for periodic long memory GARCH models
2010 Caporin, Massimiliano; Lisi, Francesco
On the role of risk in the Morningstar rating for mutual funds.
2009 Caporin, Massimiliano; Lisi, Francesco
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