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 2025-04-06. Update your information in the RePEc Author Service.

Short-id: pca441

Jump to Journal Articles

Working Papers

2025

Unveiling True Connectedness in US State-Level Stock Markets: The Role of Common Factors
Working Papers, University of Pretoria, Department of Economics

2024

Nonstandard Errors
Post-Print, HAL View citations (2)
Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
Post-Print, HAL (2021)
Working Papers, Lund University, Department of Economics (2021)
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)
Nowcasting Inflation at Quantiles: Causality from Commodities
BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks
Working Papers, University of Pretoria, Department of Economics

2022

Dynamic Large Financial Networks via Conditional Expected Shortfalls
Post-Print, HAL View citations (3)
See also Journal Article Dynamic large financial networks via conditional expected shortfalls, European Journal of Operational Research, Elsevier (2022) View citations (6) (2022)
The systemic risk of US oil and natural gas companies
JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission
See also Journal Article The systemic risk of US oil and natural gas companies, Energy Economics, Elsevier (2023) View citations (2) (2023)

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 Volatility Threshold Dynamic Conditional Correlations: An International Analysis, Journal of Financial Econometrics, Oxford University Press (2013) View citations (40) (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 Dating EU15 monthly business cycle jointly using GDP and IPI, Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2008) (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 Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion, Computational Statistics & Data Analysis, Elsevier (2010) View citations (68) (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 A generalized Dynamic Conditional Correlation model for portfolio risk evaluation, Mathematics and Computers in Simulation (MATCOM), Elsevier (2009) View citations (35) (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

2024

ESG risk exposure: a tale of two tails
Quantitative Finance, 2024, 24, (6), 827-849
Environmental Kuznets Curve for Extended Brics Economies: Do Women Governance and Water Stress Matter?
International Journal of Energy Economics and Policy, 2024, 14, (6), 174-183
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
Journal of Financial Econometrics, 2024, 22, (5), 1759-1784
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment
Energy Economics, 2024, 132, (C)
Measuring Climate Transition Risk Spillovers
Review of Finance, 2024, 28, (2), 447-481 View citations (1)
New insights on the environmental Kuznets curve (EKC) for Central Asia
Empirical Economics, 2024, 66, (5), 2335-2354
Nonstandard Errors
Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)
Not all words are equal: Sentiment and jumps in the cryptocurrency market
Journal of International Financial Markets, Institutions and Money, 2024, 91, (C) View citations (6)
The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices
The Energy Journal, 2024, 45, (2), 137-187
The Contribution of Green, Blue, and Energy Sources to Economic Development in Central Asia
Economies, 2024, 12, (9), 1-12
The factor structure of exchange rates volatility: global and intermittent factors
Empirical Economics, 2024, 67, (1), 31-45
Time series clustering based on latent volatility mixture modeling with applications in finance
Mathematics and Computers in Simulation (MATCOM), 2024, 223, (C), 543-564

2023

Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic
Resources Policy, 2023, 80, (C) View citations (8)
Asymmetric and time-frequency based networks of currency markets
Finance Research Letters, 2023, 55, (PB) View citations (3)
Networks in risk spillovers: A multivariate GARCH perspective
Econometrics and Statistics, 2023, 28, (C), 1-29 View citations (2)
See also Working Paper Networks in risk spillovers: A multivariate GARCH perspective, Working Papers (2020) (2020)
Omega Compatibility: A Meta-analysis
Computational Economics, 2023, 62, (2), 493-526
Quantile regression-based seasonal adjustment
International Journal of Computational Economics and Econometrics, 2023, 13, (3), 270-304
Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves
Finance, 2023, 44, (3), 154-198
The Role of Jumps in Realized Volatility Modeling and Forecasting
Journal of Financial Econometrics, 2023, 21, (4), 1143-1168 View citations (2)
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
International Review of Economics & Finance, 2023, 84, (C), 196-223 View citations (2)
See also Working Paper The impact of network connectivity on factor exposures, asset pricing and portfolio diversification, SAFE Working Paper Series (2017) View citations (7) (2017)
The systemic risk of US oil and natural gas companies
Energy Economics, 2023, 121, (C) View citations (2)
See also Working Paper The systemic risk of US oil and natural gas companies, JRC Working Papers in Economics and Finance (2022) (2022)

2022

Dynamic large financial networks via conditional expected shortfalls
European Journal of Operational Research, 2022, 298, (1), 322-336 View citations (6)
See also Working Paper Dynamic Large Financial Networks via Conditional Expected Shortfalls, Post-Print (2022) View citations (3) (2022)
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 (3)
News and intraday jumps: Evidence from regularization and class imbalance
The North American Journal of Economics and Finance, 2022, 62, (C) View citations (2)
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 (12)
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 (6)
See also Working Paper 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 (2021) (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 (4)
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 (35)
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 (13)
See also Working Paper Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach, BEMPS - Bozen Economics & Management Paper Series (2019) View citations (2) (2019)
Dynamic network analysis of North American financial institutions
Finance Research Letters, 2021, 42, (C) View citations (5)
Has the EU-ETS Financed the Energy Transition of the Italian Power System?
IJFS, 2021, 9, (4), 1-15 View citations (3)
Is the Korean housing market following Gangnam style?
Empirical Economics, 2021, 61, (4), 2041-2072 View citations (13)
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, 42, (6), 247-274 View citations (1)
Also in The Energy Journal, 2021, Volume 42, (Number 6) (2021) View citations (3)
See also Working Paper Systemic risk for financial institutions of major petroleum-based economies: The role of oil, SAFE Working Paper Series (2017) (2017)
TrAffic LIght system for systemic Stress: TALIS3
The North American Journal of Economics and Finance, 2021, 57, (C) View citations (5)

2020

Analytical Gradients of Dynamic Conditional Correlation Models
JRFM, 2020, 13, (3), 1-21 View citations (2)
Do structural breaks in volatility cause spurious volatility transmission?
Journal of Empirical Finance, 2020, 55, (C), 60-82 View citations (9)
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 (5)

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 (7)
See also Working Paper A multilevel factor approach for the analysis of CDS commonality and risk contribution, CREATES Research Papers (2018) (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 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?, Econometric Institute Research Papers (2016) View citations (5) (2016)
Asymmetry and leverage in GARCH models: a News Impact Curve perspective
Applied Economics, 2019, 51, (31), 3345-3364 View citations (7)
Decomposing and backtesting a flexible specification for CoVaR
Journal of Banking & Finance, 2019, 108, (C) View citations (11)
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 (16)
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 (7)
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
Energy Economics, 2019, 79, (C), 21-31 View citations (21)
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 The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode, CREATES Research Papers (2017) (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 (38)
Asset allocation strategies based on penalized quantile regression
Computational Management Science, 2018, 15, (1), 1-32 View citations (8)
See also Working Paper Asset Allocation Strategies Based On Penalized Quantile Regression, "Marco Fanno" Working Papers (2015) (2015)
Measuring sovereign contagion in Europe
Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (100)
See also Working Paper Measuring sovereign contagion in Europe, SAFE Working Paper Series (2015) View citations (18) (2015)
On the (Ab)use of Omega?
Journal of Empirical Finance, 2018, 46, (C), 11-33 View citations (8)
See also Working Paper On the (Ab)use of Omega ?, Post-Print (2018) View citations (8) (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 (34)
See also Working Paper The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk, Working Papers (2015) View citations (11) (2015)

2017

Building News Measures from Textual Data and an Application to Volatility Forecasting
Econometrics, 2017, 5, (3), 1-46 View citations (21)
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 Systemic co-jumps, SAFE Working Paper Series (2016) View citations (1) (2016)
The long-run oil–natural gas price relationship and the shale gas revolution
Energy Economics, 2017, 64, (C), 511-519 View citations (48)
See also Working Paper The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution, "Marco Fanno" Working Papers (2015) View citations (7) (2015)
The relationship between oil prices and rig counts: The importance of lags
Energy Economics, 2017, 63, (C), 213-226 View citations (20)
Time-varying persistence in US inflation
Empirical Economics, 2017, 53, (2), 423-439 View citations (6)
See also Working Paper Time-Varying Persistence in US Inflation, Working Papers (2014) View citations (1) (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 Rational learning for risk-averse investors by conditioning on behavioral choices, Working Papers (2015) (2015)
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
JRFM, 2016, 9, (3), 1-25 View citations (3)
Volatility Jumps and Their Economic Determinants
Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (24)
See also Working Paper Volatility jumps and their economic determinants, CREATES Research Papers (2014) View citations (15) (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 (6)
See also Working Paper Backward/forward optimal combination of performance measures for equity screening, Working Papers (2012) View citations (5) (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 Ensemble properties of high frequency data and intraday trading rules, Papers (2013) View citations (2) (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 Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Journal of Econometrics, 2015, 187, (2), 486-497 View citations (6)
See also Working Paper Option pricing with non-Gaussian scaling and infinite-state switching volatility, Papers (2014) (2014)
Precious metals under the microscope: a high-frequency analysis
Quantitative Finance, 2015, 15, (5), 743-759 View citations (16)
See also Working Paper Precious Metals Under the Microscope: A High-Frequency Analysis, Working Papers on Finance (2014) View citations (1) (2014)
Proximity-Structured Multivariate Volatility Models
Econometric Reviews, 2015, 34, (5), 559-593 View citations (20)
Realized range volatility forecasting: Dynamic features and predictive variables
International Review of Economics & Finance, 2015, 40, (C), 98-112 View citations (9)
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
Energy Policy, 2015, 87, (C), 72-82 View citations (10)

2014

A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (40)
See also Working Paper A Survey on the Four Families of Performance Measures, Post-Print (2014) View citations (26) (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 (4)
See also Working Paper Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises, MPRA Paper (2013) (2013)
Robust ranking of multivariate GARCH models by problem dimension
Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (24)
See also Working Paper Robust Ranking of Multivariate GARCH Models by Problem Dimension, KIER Working Papers (2012) View citations (10) (2012)
Variance clustering improved dynamic conditional correlation MGARCH estimators
Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 View citations (7)
See also Working Paper Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators, "Marco Fanno" Working Papers (2011) View citations (7) (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 (7)
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 (10)
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 (25)
See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) (2012)
Risk spillovers in international equity portfolios
Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
See also Working Paper Risk Spillovers in International Equity Portfolios, Working Papers on Finance (2012) (2012)
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Econometrics, 2013, 1, (1), 1-12 View citations (86)
See also Working Paper Ten Things You Should Know About the Dynamic Conditional Correlation Representation, Working Papers in Economics (2013) View citations (86) (2013)
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
Journal of Financial Econometrics, 2013, 11, (4), 706-742 View citations (40)
See also Working Paper Volatility Threshold Dynamic Conditional Correlations: An International Analysis, "Marco Fanno" Working Papers (2008) View citations (5) (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 (122)
See also Working Paper Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models, CIRJE F-Series (2010) View citations (33) (2010)
Model based Monte Carlo pricing of energy and temperature Quanto options
Energy Economics, 2012, 34, (5), 1700-1712 View citations (19)
See also Working Paper Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options, "Marco Fanno" Working Papers (2010) (2010)
Modelling and forecasting wind speed intensity for weather risk management
Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 View citations (20)
See also Working Paper Modelling and forecasting wind speed intensity for weather risk management, "Marco Fanno" Working Papers (2010) View citations (9) (2010)
On the evaluation of marginal expected shortfall
Applied Economics Letters, 2012, 19, (2), 175-179 View citations (2)
On the role of risk in the Morningstar rating for mutual funds
Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (3)

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 Comparing and selecting performance measures using rank correlations, Economics Discussion Papers (2011) View citations (7) (2011)
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Statistica Neerlandica, 2011, 65, (2), 125-163 View citations (9)
See also Working Paper Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH, Econometric Institute Research Papers (2010) View citations (3) (2010)

2010

A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
Journal of Economic Surveys, 2010, 24, (1), 192-195 View citations (5)
See also Working Paper A Scientific Classification of Volatility Models, Documentos de Trabajo del ICAE (2009) (2009)
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 View citations (68)
See also Working Paper Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion, Working Papers (2007) View citations (1) (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 (25)

2009

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 View citations (35)
See also Working Paper A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation, Working Papers (2006) View citations (14) (2006)
Periodic Long-Memory GARCH Models
Econometric Reviews, 2009, 28, (1-3), 60-82 View citations (20)

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 Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI, Working Papers (2007) View citations (1) (2007)
Scalar BEKK and indirect DCC
Journal of Forecasting, 2008, 27, (6), 537-549 View citations (89)

2007

Generalised long-memory GARCH models for intra-daily volatility
Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 View citations (38)
Variance (Non) Causality in Multivariate GARCH
Econometric Reviews, 2007, 26, (1), 1-24 View citations (7)

2006

Dynamic Asymmetric GARCH
Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations (22)

2005

Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
Statistical Methods & Applications, 2005, 14, (2), 145-161 View citations (68)

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 (6)

Undated

Evaluating value-at-risk measures in the presence of long memory conditional volatility
Journal of Risk