Sfoglia per Autore
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
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
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
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.
On the role of risk in the Morningstar rating for mutual funds.
2009 Caporin, Massimiliano; Lisi, Francesco
Periodic Long-Memory GARCH models
2009 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
2009 Billio, M; Caporin, Massimiliano
Evaluating value-at-risk measures in the presence of long memory conditional volatility
2008 Caporin, Massimiliano
Scalar BEKK and indirect DCC
2008 Caporin, Massimiliano; Mcaleer, M.
Misspecification tests for Periodic Long Memory GARCH models.
2007 Lisi, Francesco; Caporin, Massimiliano
Dating EU15 monthly business cycle jointly using GDP and IPI
2007 M., Billio; Caporin, Massimiliano; G., Cazzavillan
Generalised long-memory GARCH models for intra-daily volatility
2007 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
Variance (non) causality in multivariate GARCH
2007 Caporin, Massimiliano
Legenda icone
- file ad accesso aperto
- file disponibili sulla rete interna
- file disponibili agli utenti autorizzati
- file disponibili solo agli amministratori
- file sotto embargo
- nessun file disponibile