Details about Massimiliano Caporin

Phone:	+390498274199
Postal address:	Department of Statstical Sciences University of Padova Via Cesare Battisti, 241 35121 Padova Italy
Workplace:	Università degli Studi di Padova - Dipartimento di Scienze Statistiche

Access statistics for papers by Massimiliano Caporin.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pca441

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Working Papers

2022

The systemic risk of US oil and natural gas companies
Working Papers, Joint Research Centre, European Commission

2021

Dynamic Large Financial Networks via Conditional Expected Shortfalls
Post-Print, HAL View citations (2)
See also Journal Article in European Journal of Operational Research (2022)
Non-Standard Errors
Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (1)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
Post-Print, HAL (2021)
Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)
The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
See also Journal Article in Energy Economics (2022)

2020

Does monetary policy impact international market co-movements?
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
Networks in risk spillovers: A multivariate GARCH perspective
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) View citations (7)
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (4)
Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)

2019

Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (1)
Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)
See also Journal Article in The North American Journal of Economics and Finance (2021)

2018

A multilevel factor approach for the analysis of CDS commonality and risk contribution
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2019)
On the (Ab)use of Omega ?
Post-Print, HAL View citations (4)
Also in Post-Print, HAL (2018) View citations (4)
Working Papers, HAL (2016)
Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) View citations (7)
See also Journal Article in Journal of Empirical Finance (2018)

2017

Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
Estimation and model-based combination of causality networks
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
Price convergence within and between the Italian electricity day-ahead and dispatching services markets
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
See also Journal Article in The Energy Journal (2021)
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of Empirical Finance (2019)
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)
See also Journal Article in International Review of Economics & Finance (2023)

2016

Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (3)
Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (4)
See also Journal Article in International Review of Economics & Finance (2019)
Systemic co-jumps
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
See also Journal Article in Journal of Financial Economics (2017)

2015

Asset Allocation Strategies Based On Penalized Quantile Regression
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Also in Papers, arXiv.org (2015)
See also Journal Article in Computational Management Science (2018)
Dynamic Principal Components: a New Class of Multivariate GARCH Models
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)
Measuring sovereign contagion in Europe
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (17)
Also in Working Paper, Norges Bank (2012) View citations (26)
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (39)
NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (87)
See also Journal Article in Journal of Financial Stability (2018)
Rational learning for risk-averse investors by conditioning on behavioral choices
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
See also Journal Article in Annals of Financial Economics (AFE) (2016)
The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
Working Papers, University of Pretoria, Department of Economics View citations (11)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
See also Journal Article in Energy Economics (2017)

2014

A Survey on the Four Families of Performance Measures
Post-Print, HAL View citations (22)
Also in Post-Print, HAL (2014) View citations (24)
See also Journal Article in Journal of Economic Surveys (2014)
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (6)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
Multi-jumps
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (1)
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Papers, arXiv.org
See also Journal Article in Journal of Econometrics (2015)
Precious Metals Under the Microscope: A High-Frequency Analysis
Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
See also Journal Article in Quantitative Finance (2015)
The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
MPRA Paper, University Library of Munich, Germany View citations (1)
Time-Varying Persistence in US Inflation
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Empirical Economics (2017)
Volatility jumps and their economic determinants
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
See also Journal Article in The Journal of Financial Econometrics (2016)

2008

Forecasting temperature indices with timevarying long-memory models
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (2)
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)
See also Journal Article in The Journal of Financial Econometrics (2013)

2007

Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
See also Journal Article in Journal of Business Cycle Measurement and Analysis (2008)
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
See also Journal Article in Computational Statistics & Data Analysis (2010)

2006

A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (14)
See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2009)
Methodological aspects of time series back-calculation
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (9)

2005

Multivariate ARCH with spatial effects for stock sector and size
Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)
Spatial effects in multivariate ARCH
Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (2)

Journal Articles

2023

Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic
Resources Policy, 2023, 80, (C)
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
International Review of Economics & Finance, 2023, 84, (C), 196-223
See also Working Paper (2017)

2022

Dynamic large financial networks via conditional expected shortfalls
European Journal of Operational Research, 2022, 298, (1), 322-336 View citations (2)
See also Working Paper (2021)
Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects
Journal of Spatial Econometrics, 2022, 3, (1), 1-21
Measuring systemic risk during the COVID-19 period: A TALIS3 approach
Finance Research Letters, 2022, 46, (PA) View citations (2)
News and intraday jumps: Evidence from regularization and class imbalance
The North American Journal of Economics and Finance, 2022, 62, (C)
Statistical Analysis of Financial Data: with Examples In R
Journal of the Royal Statistical Society Series A, 2022, 185, (1), 432-433
Systemic risk and severe economic downturns: A targeted and sparse analysis
Journal of Banking & Finance, 2022, 134, (C) View citations (1)
The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland
Energy Economics, 2022, 110, (C) View citations (2)
See also Working Paper (2021)
Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test
Energy Economics, 2022, 111, (C) View citations (2)
What drives the expansion of research on banking crises? Cross-country evidence
Applied Economics, 2022, 54, (52), 6054-6064

2021

Asymmetric and time-frequency spillovers among commodities using high-frequency data
Resources Policy, 2021, 70, (C) View citations (14)
Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
The North American Journal of Economics and Finance, 2021, 55, (C) View citations (6)
See also Working Paper (2019)
Dynamic network analysis of North American financial institutions
Finance Research Letters, 2021, 42, (C) View citations (3)
Has the EU-ETS Financed the Energy Transition of the Italian Power System?
IJFS, 2021, 9, (4), 1-0 View citations (2)
Is the Korean housing market following Gangnam style?
Empirical Economics, 2021, 61, (4), 2041-2072 View citations (1)
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
The European Journal of Finance, 2021, 27, (11), 1098-1116
Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil
The Energy Journal, 2021, Volume 42, (Number 6) View citations (1)
See also Working Paper (2017)
TrAffic LIght system for systemic Stress: TALIS3
The North American Journal of Economics and Finance, 2021, 57, (C) View citations (3)

2020

Analytical Gradients of Dynamic Conditional Correlation Models
JRFM, 2020, 13, (3), 1-21 View citations (1)
Do structural breaks in volatility cause spurious volatility transmission?
Journal of Empirical Finance, 2020, 55, (C), 60-82 View citations (7)
Financial Time Series: Methods and Models
JRFM, 2020, 13, (5), 1-3
On the volatilities of tourism stocks and oil
Annals of Tourism Research, 2020, 81, (C) View citations (1)

2019

A multilevel factor approach for the analysis of CDS commonality and risk contribution
Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) View citations (3)
See also Working Paper (2018)
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
International Review of Economics & Finance, 2019, 59, (C), 50-70 View citations (5)
See also Working Paper (2016)
Asymmetry and leverage in GARCH models: a News Impact Curve perspective
Applied Economics, 2019, 51, (31), 3345-3364 View citations (6)
Decomposing and backtesting a flexible specification for CoVaR
Journal of Banking & Finance, 2019, 108, (C) View citations (7)
Estimation and model-based combination of causality networks among large US banks and insurance companies
Journal of Empirical Finance, 2019, 54, (C), 1-21 View citations (6)
Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements
Energy Policy, 2019, 127, (C), 155-164 View citations (6)
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
Energy Economics, 2019, 79, (C), 21-31 View citations (12)
The bank-sovereign nexus: Evidence from a non-bailout episode
Journal of Empirical Finance, 2019, 53, (C), 181-196 View citations (3)
See also Working Paper (2017)

2018

A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
Ecological Economics, 2018, 147, (C), 218-229 View citations (31)
Asset allocation strategies based on penalized quantile regression
Computational Management Science, 2018, 15, (1), 1-32 View citations (5)
See also Working Paper (2015)
Measuring sovereign contagion in Europe
Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (78)
See also Working Paper (2015)
On the (Ab)use of Omega?
Journal of Empirical Finance, 2018, 46, (C), 11-33 View citations (4)
See also Working Paper (2018)
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
Physica A: Statistical Mechanics and its Applications, 2018, 507, (C), 446-469 View citations (24)
See also Working Paper (2015)

2017

Building News Measures from Textual Data and an Application to Volatility Forecasting
Econometrics, 2017, 5, (3), 1-46 View citations (15)
Chasing volatility
Journal of Econometrics, 2017, 198, (1), 122-145 View citations (2)
Correction of Caporin and Paruolo (2015)
Econometric Reviews, 2017, 36, (4), 493-493
Systemic co-jumps
Journal of Financial Economics, 2017, 126, (3), 563-591
See also Working Paper (2016)
The long-run oil–natural gas price relationship and the shale gas revolution
Energy Economics, 2017, 64, (C), 511-519 View citations (38)
See also Working Paper (2015)
The relationship between oil prices and rig counts: The importance of lags
Energy Economics, 2017, 63, (C), 213-226 View citations (12)
Time-varying persistence in US inflation
Empirical Economics, 2017, 53, (2), 423-439 View citations (5)
See also Working Paper (2014)

2016

RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES
Annals of Financial Economics (AFE), 2016, 11, (01), 1-26
See also Working Paper (2015)
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
JRFM, 2016, 9, (3), 1-25 View citations (2)
Volatility Jumps and Their Economic Determinants
The Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (22)
See also Working Paper (2014)

2015

Backward/forward optimal combination of performance measures for equity screening
The North American Journal of Economics and Finance, 2015, 34, (C), 63-83 View citations (5)
See also Working Paper (2012)
Ensemble properties of high-frequency data and intraday trading rules
Quantitative Finance, 2015, 15, (2), 231-245 View citations (3)
See also Working Paper (2013)
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
International Review of Economics & Finance, 2015, 40, (C), 40-50 View citations (9)
See also Working Paper (2013)
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Journal of Econometrics, 2015, 187, (2), 486-497 View citations (5)
See also Working Paper (2014)
Precious metals under the microscope: a high-frequency analysis
Quantitative Finance, 2015, 15, (5), 743-759 View citations (14)
See also Working Paper (2014)
Proximity-Structured Multivariate Volatility Models
Econometric Reviews, 2015, 34, (5), 559-593 View citations (16)
Realized range volatility forecasting: Dynamic features and predictive variables
International Review of Economics & Finance, 2015, 40, (C), 98-112 View citations (8)
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
Energy Policy, 2015, 87, (C), 72-82 View citations (7)

2014

A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (36)
See also Working Paper (2014)
Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 159-177 View citations (3)
See also Working Paper (2013)
Robust ranking of multivariate GARCH models by problem dimension
Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (21)
See also Working Paper (2012)
Variance clustering improved dynamic conditional correlation MGARCH estimators
Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 View citations (6)
See also Working Paper (2011)

2013

A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
The North American Journal of Economics and Finance, 2013, 26, (C), 236-249 View citations (6)
Equity and CDS sector indices: Dynamic models and risk hedging
The North American Journal of Economics and Finance, 2013, 25, (C), 261-275 View citations (9)
Fast clustering of GARCH processes via Gaussian mixture models
Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 205-222 View citations (6)
Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
Journal of Forecasting, 2013, 32, (4), 339-352 View citations (10)
On the predictability of stock prices: A case for high and low prices
Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (23)
See also Working Paper (2012)
Risk spillovers in international equity portfolios
Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
See also Working Paper (2012)
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Econometrics, 2013, 1, (1), 1-12 View citations (72)
See also Working Paper (2013)
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
The Journal of Financial Econometrics, 2013, 11, (4), 706-742 View citations (39)
See also Working Paper (2008)

2012

A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
The European Journal of Finance, 2012, 18, (9), 761-774 View citations (5)
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
Journal of Economic Surveys, 2012, 26, (4), 736-751 View citations (102)
See also Working Paper (2010)
Model based Monte Carlo pricing of energy and temperature Quanto options
Energy Economics, 2012, 34, (5), 1700-1712 View citations (14)
See also Working Paper (2010)
Modelling and forecasting wind speed intensity for weather risk management
Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 View citations (18)
See also Working Paper (2010)
On the evaluation of marginal expected shortfall
Applied Economics Letters, 2012, 19, (2), 175-179 View citations (1)
On the role of risk in the Morningstar rating for mutual funds
Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (2)

2011

Comparing and selecting performance measures using rank correlations
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2011, 5, 1-34 View citations (7)
See also Working Paper (2011)
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Statistica Neerlandica, 2011, 65, (2), 125-163 View citations (8)
See also Working Paper (2010)

2010

A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
Journal of Economic Surveys, 2010, 24, (1), 192-195 View citations (4)
See also Working Paper (2009)
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 View citations (61)
See also Working Paper (2007)
Misspecification tests for periodic long memory GARCH models
Statistical Methods & Applications, 2010, 19, (1), 47-62 View citations (3)
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
Journal of Economic Surveys, 2010, 24, (1), 196-200 View citations (23)

2009

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 View citations (34)
See also Working Paper (2006)
Periodic Long-Memory GARCH Models
Econometric Reviews, 2009, 28, (1-3), 60-82 View citations (19)

2008

Dating EU15 monthly business cycle jointly using GDP and IPI
Journal of Business Cycle Measurement and Analysis, 2008, 2007, (3), 333-366
See also Working Paper (2007)
Scalar BEKK and indirect DCC
Journal of Forecasting, 2008, 27, (6), 537-549 View citations (77)

2007

Generalised long-memory GARCH models for intra-daily volatility
Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 View citations (32)
Variance (Non) Causality in Multivariate GARCH
Econometric Reviews, 2007, 26, (1), 1-24 View citations (7)

2006

Dynamic Asymmetric GARCH
The Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations (20)

2005

Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
Statistical Methods & Applications, 2005, 14, (2), 145-161 View citations (60)

2003

Identification of long memory in GARCH models
Statistical Methods & Applications, 2003, 12, (2), 133-151 View citations (6)

2002

A note on calculating autocovariances of long‐memory processes
Journal of Time Series Analysis, 2002, 23, (5), 503-508 View citations (5)