Details about Massimiliano Caporin

Access statistics for papers by Massimiliano Caporin.

Last updated 2009-11-06. Update your information in the RePEc Author Service.

Short-id: pca441

Working Papers

2009

1. A Scientific Classification of Volatility Models
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
   Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009)
2. Comparing and selecting performance measures for ranking assets
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
3. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2009) View citations
4. Forecasting realized (co)variances with a block structure Wishart autoregressive model
   Working Papers, Swiss National Bank
5. Structured Multivariate Volatility Models
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
6. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
   Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
   Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008)

2008

7. Forecasting temperature indices with timevarying long-memory models
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
8. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"

2007

9. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
10. Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
    Working Papers, University of Venice "Ca' Foscari", Department of Economics

2006

11. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, University of Venice "Ca' Foscari", Department of Economics View citations
12. Methodological aspects of time series back-calculation
    Working Papers, University of Venice "Ca' Foscari", Department of Economics

2005

13. Multivariate ARCH with spatial effects for stock sector and size
    Economics and Quantitative Methods, Department of Economics, University of Insubria
14. Spatial effects in multivariate ARCH
    Economics and Quantitative Methods, Department of Economics, University of Insubria

Journal Articles

2009

1. Periodic Long-Memory GARCH Models
   Econometric Reviews, 2009, 28, (1-3), 60-82

2008

2. Scalar BEKK and indirect DCC
   Journal of Forecasting, 2008, 27, (6), 537-549

2007

3. Generalised long-memory GARCH models for intra-daily volatility
   Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912
4. Variance (Non) Causality in Multivariate GARCH
   Econometric Reviews, 2007, 26, (1), 1-24 View citations

2006

5. Dynamic Asymmetric GARCH
   Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations
6. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
   Applied Financial Economics Letters, 2006, 2, (2), 123-130 View citations