Sfoglia per Autore
Long-memory models for count time series
2020 Bisaglia, Luisa; Caporin, Massimiliano; Grigoletto, Matteo
Do structural breaks in volatility cause spurious volatility transmission?
2020 Caporin, M.; Malik, F.
On the volatilities of tourism stocks and oil
2020 Shahzad, S. J. H.; Caporin, M.
Analytical Gradients of Dynamic Conditional Correlation Models
2020 Caporin, Massimiliano; Lucchetti, Riccardo (Jack); Palomba, Giulio
Financial Time Series: Methods and Models
2020 Caporin, Massimiliano; Storti, Giuseppe
Volatility Forecasting in a Data Rich Environment
2020 Bernardi, Mauro; Bonaccolto, Giovanni; Caporin, Massimiliano; Costola, Michele
Testing persistence of WTI and brent long-run relationship after the shale oil supply shock
2019 Caporin, Massimiliano; Fontini, Fulvio; Talebbeydokhti, Elham
A multilevel factor approach for the analysis of CDS commonality and risk contribution
2019 Rodriguez-Caballero, C. V.; Caporin, M.
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises
2019 Caporin, Massimiliano; Corazzini, Luca; Costola, Michele
Asymmetry and leverage in GARCH models: a News Impact Curve perspective
2019 Caporin, Massimiliano; Costola, Michele
Estimation and model-based combination of causality networks among large US banks and insurance companies
2019 Bonaccolto, G.; Caporin, M.; Panzica, R.
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
2019 Caporin, Massimiliano; Chang, Chia-Lin; Mcaleer, Michael
The bank-sovereign nexus: Evidence from a non-bailout episode
2019 Caporin, Massimiliano; Natvik, Gisle; Ravazzolo, Francesco; Santucci de Magistris, Paolo
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements
2019 Khalifa, Ahmed; Caporin, Massimiliano; DI FONZO, Tommaso
Decomposing and backtesting a flexible specification for CoVaR
2019 Bonaccolto, G.; Caporin, M.; Paterlini, S.
Systemic events and diffusion of jumps
2018 Caporin, Massimiliano; Bonaccolto, Giovanni; Zambon, Nancy
Traffic Lights for Systemic Risk Detection
2018 Caporin, Massimiliano; Jorcano, Laura; Angel Jimenez Martin, Juan
Conditional Quantile-Located VaR
2018 Caporin, Massimiliano; Bonaccolto, Giovanni; Paterlini, Sandra
Measuring sovereign contagion in Europe
2018 Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto
On the (Ab)use of Omega?
2018 Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; Maillet, Bertrand
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