Massimiliano Caporin

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Michael McAleerProfessor of Quantitative Finance, Erasmus University RotterdamEmail verificata su ese.eur.nl
Monica BILLIOCa' Foscari University of VeniceEmail verificata su unive.it
Loriana PelizzonSAFE Goethe University Frankfurt and Ca' Foscari University of VeniceEmail verificata su unive.it
Paolo Santucci de MagistrisLUISS University and CREATESEmail verificata su luiss.it
Angelo RanaldoProfessor of Finance and SFI Senior ChairEmail verificata su unisg.ch
Rossi EduardoUniversity of PaviaEmail verificata su unipv.it
Francesco RavazzoloBI Norwegian Business School and Free University of Bozen-BolzanoEmail verificata su unibz.it
Paolo ParuoloEuropean Commission Joint Research CentreEmail verificata su ec.europa.eu
Roberto Calogero PanzicaScientific OfficerEmail verificata su ec.europa.eu
JUAN-ANGEL JIMENEZ-MARTINICAE & Dpt. Economic Analysis, Universidad Complutense de MadridEmail verificata su ccee.ucm.es
Shawkat HammoudehLeBow College of Business Drexel UniversityEmail verificata su drexel.edu
Sandra PaterliniDepartment of Economics & Management, University of TrentoEmail verificata su unitn.it
Rangan GuptaUniversity of PretoriaEmail verificata su up.ac.za
Roberto RigobonProfessor Applied Economics, Sloan School, MITEmail verificata su mit.edu
Roberto RenòDepartment of EconomicsEmail verificata su univr.it
Aleksey KolokolovManchester Business SchoolEmail verificata su manchester.ac.uk
Syed Jawad Hussain ShahzadMontpellier Business SchoolEmail verificata su montpellier-bs.com
Lorenzo FrattaroloJoint Research CenterEmail verificata su ec.europa.eu
Gian Piero AielliResearch fellowEmail verificata su univr.it
Silvia BlasiResearch Assistant, Department of Business Administration, University of VeronaEmail verificata su univr.it

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Massimiliano Caporin

University of Padova - Department of Statistical Sciences

Email verificata su unipd.it

Financial Econometrics Empirical Finance Systemic Risk Asset Allocation Risk Management


Titolo Ordina per citazioni Ordina per anno Ordina per titolo	Citata da Citata da	Anno
Measuring sovereign contagion in Europe M Caporin, L Pelizzon, F Ravazzolo, R Rigobon Journal of Financial Stability 34, 150-181, 2018	305	2018
Flexible dynamic conditional correlation multivariate garch models for asset allocation M Billio, M Caporin, M Gobbo Applied Financial Economics Letters 2 (02), 123-130, 2006	220	2006
Do we really need both BEKK and DCC? A tale of two multivariate GARCH models M Caporin, M McAleer Journal of Economic Surveys 26 (4), 736-751, 2012	213	2012
A multidimensional analysis of the relationship between corporate social responsibility and firms' economic performance S Blasi, M Caporin, F Fontini Ecological Economics 147, 218-229, 2018	156	2018
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis M Billio, M Caporin Stat. Methods Appl. 14 (2), 145-161, 2005	153	2005
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion M Billio, M Caporin Computational statistics & data analysis 54 (11), 2443-2458, 2010	151	2010
Ten things you should know about the dynamic conditional correlation representation M Caporin, M McAleer Econometrics 1 (1), 115-126, 2013	146	2013
A generalized dynamic conditional correlation model for portfolio risk evaluation M Billio, M Caporin Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009	108	2009
The long-run oil–natural gas price relationship and the shale gas revolution M Caporin, F Fontini Energy Economics 64, 511-519, 2017	100	2017
A survey on the four families of performance measures M Caporin, GM Jannin, F Lisi, BB Maillet Journal of Economic Surveys 28 (5), 917-942, 2014	100	2014
Scalar BEKK and indirect DCC M Caporin, M McAleer Journal of Forecasting 27 (6), 537-549, 2008	88	2008
On the predictability of stock prices: A case for high and low prices M Caporin, A Ranaldo, PS De Magistris Journal of Banking & Finance 37 (12), 5132-5146, 2013	73	2013
Evaluating value-at-risk measures in the presence of long memory conditional volatility M Caporin The Journal of Risk 10 (3), 79, 2008	68	2008
Systemic co-jumps M Caporin, A Kolokolov, R Renò Journal of Financial Economics 126 (3), 563-591, 2017	62	2017
Comparing and selecting performance measures using rank correlations M Caporin, F Lisi Economics 5 (1), 2011	55	2011
A note on calculating autocovariances of long‐memory processes S Bertelli, M Caporin Journal of Time Series Analysis 23 (5), 503-508, 2002	54	2002
Do we really need both BEKK and DCC M Caporin, M McAleer A tale of two covariance models, 2009	53	2009
Volatility threshold dynamic conditional correlations: An international analysis M Kasch, M Caporin Journal of Financial Econometrics 11 (4), 706-742, 2013	52	2013
Modelling and forecasting wind speed intensity for weather risk management M Caporin, J Preś Computational Statistics & Data Analysis 56 (11), 3459-3476, 2012	52	2012
Generalised long-memory GARCH models for intra-daily volatility S Bordignon, M Caporin, F Lisi Computational Statistics & Data Analysis 51 (12), 5900-5912, 2007	52	2007

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