CAPORIN, MASSIMILIANO
CAPORIN, MASSIMILIANO
Dipartimento di Scienze Statistiche
(Quantile) Spillover Indexes: Simulation-Based Evidence, Confidence Intervals and a Decomposition
2026 Bonaccolto, Giovanni; Caporin, Massimiliano; Shahzad, Syed Jawad Hussain
Carbon Markets and Stock Prices
2026 Bertolini, Marina; Caporin, Massimiliano
Dynamic connectedness across U.S. state-level regional equity markets: The role of time-varying common and idiosyncratic factors
2026 Caporin, M.; Cepni, O.; Gupta, R.; Maillet, B. B.
Mixture modeling, heavy tailedness, asymmetry and conditional heteroskedasticity in financial returns modelling
2026 Setoudehtazangi, F.; Manouchehri, T.; Nematollahi, A. R.; Caporin, M.
Realized-VAR: Estimating Financial Networks by Realized Interdependencies
2026 Caporin, M.; Erdemlioglu, D.; Nasini, S.
Supply Constraints and Conditional Distribution Predictability of Inflation and its Volatility: A Nonparametric Mixed-Frequency Causality-in-Quantiles Approach
2026 Caporin, M.; Gupta, R.; Subramaniam, S.; Torrent, H. S.
Towards a better understanding of financial and economic systems’ complexities: some new evidence coming from artificial intelligence, machine learning and big data advanced technologies
2026 Ameur, H. B.; Casarin, R.; Caporin, M.; Ftiti, Z.; Maillet, B. B.
Volatility spillovers in forex markets and the role of quantitative easing
2026 Shahzad, S. J. H.; Hoang, T. H. V.; Caporin, M.; Naifar, N.
Forecast reconciliation and Multivariate GARCH
2025 Caporin, Massimiliano; Girolimetto, Daniele; Lopetuso, Emanuele
Forecasting time series by long-memory models for count data with an application to price jumps
2025 Bisaglia, L.; Caporin, M.; Grigoletto, M.
Forecasting time series by long‑memory models for countdata with an application to price jumps
2025 Bisaglia, Luisa; Caporin, Massimiliano; Grigoletto, Matteo
Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks
2025 Caporin, M.; Caraiani, P.; Cepni, O.; Gupta, R.
The non-linear ESG premium
2025 Yang, R.; Jimenez-Martin, J. -A.; Caporin, M.
Chinese FDI outflows and host country environment
2024 Caporin, Massimiliano; Arusha, Cooray; Bekhzod, Kuziboev; Jie, Liu
Cross-company jump spillover and the role of news
2024 Poli, F.; Caporin, M.
Early warnings of systemic risk using one-minute high-frequency data
2024 Caporin, M.; Garcia-Jorcano, L.; Jimenez-Martin, J. A.
Environmental Kuznets Curve for Extended Brics Economies: Do Women Governance and Water Stress Matter?
2024 Caporin, M.; Shahbaz, M.; Kuziboev, B.; Masharipova, M.; Allaberganov, S.; Makhmudov, S.
ESG risk exposure: a tale of two tails
2024 Yang, Runfeng; Caporin, Massimiliano; Jiménez-Martin, Juan-Angel
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
2024 Caporin, Massimiliano; Di Fonzo, Tommaso; Girolimetto, Daniele
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment
2024 Bonaccolto, Giovanni; Caporin, Massimiliano; Iacopini, Matteo