Details about Massimiliano Caporin

Access statistics for papers by Massimiliano Caporin.

Last updated 2022-05-16. Update your information in the RePEc Author Service.

Short-id: pca441

Working Papers

2021

1. Dynamic Large Financial Networks via Conditional Expected Shortfalls
   Post-Print, HAL View citations (1)
   See also Journal Article in European Journal of Operational Research (2022)
2. Non-Standard Errors
   Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz
   Also in Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Post-Print, HAL (2021)
3. 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"

2020

4. Does monetary policy impact international market co-movements?
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
5. 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 (6)
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (3)
6. Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"

2019

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

2018

8. 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)
9. On the (Ab)use of Omega ?
   Post-Print, HAL
   Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) View citations (7)
   Post-Print, HAL (2018)
   Working Papers, HAL (2016)
   See also Journal Article in Journal of Empirical Finance (2018)

2017

10. Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
11. Estimation and model-based combination of causality networks
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
12. Price convergence within and between the Italian electricity day-ahead and dispatching services markets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
13. Systemic risk for financial institutions of major petroleum-based economies: The role of oil
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
14. 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)
15. 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 (3)

2016

16. 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 (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (4)
    See also Journal Article in International Review of Economics & Finance (2019)
17. 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

18. 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)
19. Dynamic Principal Components: a New Class of Multivariate GARCH Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)
20. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (58)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (34)
    Working Paper, Norges Bank (2012) View citations (13)
    See also Journal Article in Journal of Financial Stability (2018)
21. 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)
22. 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)
23. 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

24. A Survey on the Four Families of Performance Measures
    Post-Print, HAL View citations (14)
    Also in Post-Print, HAL (2014) View citations (5)
    See also Journal Article in Journal of Economic Surveys (2014)
25. 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)
26. 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)
27. 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)
28. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Papers, arXiv.org
    See also Journal Article in Journal of Econometrics (2015)
29. 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)
30. 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)
31. 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)
32. 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 Journal of Financial Econometrics (2016)

2013

33. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    MPRA Paper, University Library of Munich, Germany
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
34. Ensemble properties of high frequency data and intraday trading rules
    Papers, arXiv.org View citations (2)
    See also Journal Article in Quantitative Finance (2015)
35. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    See also Journal Article in International Review of Economics & Finance (2015)
36. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    Working Papers on Finance, University of St. Gallen, School of Finance
37. Ten Things You Should Know About DCC
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (1)
38. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (63)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (61)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (63)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (64)
    See also Journal Article in Econometrics (2013)

2012

39. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    See also Journal Article in The North American Journal of Economics and Finance (2015)
40. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
41. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)
    Also in Working Papers, Swiss National Bank (2009) View citations (18)
42. I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
    Economics Department Working Papers, Department of Economics, Parma University (Italy)
43. Market volatility, optimal portfolios and naive asset allocations
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
44. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) View citations (1)
    Working Papers, Swiss National Bank (2011) View citations (1)
    See also Journal Article in Journal of Banking & Finance (2013)
45. Risk Spillovers in International Equity Portfolios
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in Working Papers, Swiss National Bank (2012)
    See also Journal Article in Journal of Empirical Finance (2013)
46. Robust Ranking of Multivariate GARCH Models by Problem Dimension
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2011

47. Comparing and selecting performance measures using rank correlations
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (5)
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2011)
48. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)
49. Modeling and forecasting realized range volatility
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)
50. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
51. Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2010

52. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (33)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (29)
53. Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (18)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (23)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (3)
    See also Journal Article in Journal of Economic Surveys (2012)
54. Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article in Energy Economics (2012)
55. Model Selection and Testing of Conditional and Stochastic Volatility Models
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (7)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (16)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (23)
56. Modelling and forecasting wind speed intensity for weather risk management
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (9)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
57. Ranking Multivariate GARCH Models by Problem Dimension
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (8)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (3)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (6)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) View citations (11)
58. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    See also Journal Article in Statistica Neerlandica (2011)

2009

59. A Scientific Classification of Volatility Models
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article in Journal of Economic Surveys (2010)
60. Comparing and selecting performance measures for ranking assets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (9)
61. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (12)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (62)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
62. Structured Multivariate Volatility Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (14)

2008

63. Forecasting temperature indices with timevarying long-memory models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (2)
64. 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 Journal of Financial Econometrics (2013)

2007

65. 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)
66. 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

67. 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)
68. Methodological aspects of time series back-calculation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (9)

2005

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

Journal Articles

2022

1. Dynamic large financial networks via conditional expected shortfalls
   European Journal of Operational Research, 2022, 298, (1), 322-336
   See also Working Paper (2021)
2. Measuring systemic risk during the COVID-19 period: A TALIS3 approach
   Finance Research Letters, 2022, 46, (PA)
3. Statistical Analysis of Financial Data: with Examples In R
   Journal of the Royal Statistical Society Series A, 2022, 185, (1), 432-433
4. Systemic risk and severe economic downturns: A targeted and sparse analysis
   Journal of Banking & Finance, 2022, 134, (C)

2021

5. Asymmetric and time-frequency spillovers among commodities using high-frequency data
   Resources Policy, 2021, 70, (C) View citations (2)
6. 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 (1)
   See also Working Paper (2019)
7. Dynamic network analysis of North American financial institutions
   Finance Research Letters, 2021, 42, (C)
8. Has the EU-ETS Financed the Energy Transition of the Italian Power System?
   IJFS, 2021, 9, (4), 1-15
9. Is the Korean housing market following Gangnam style?
   Empirical Economics, 2021, 61, (4), 2041-2072 View citations (1)
10. 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
11. TrAffic LIght system for systemic Stress: TALIS3
    The North American Journal of Economics and Finance, 2021, 57, (C)

2020

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

2019

16. 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 (1)
    See also Working Paper (2018)
17. 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 (4)
    See also Working Paper (2016)
18. Asymmetry and leverage in GARCH models: a News Impact Curve perspective
    Applied Economics, 2019, 51, (31), 3345-3364 View citations (4)
19. Decomposing and backtesting a flexible specification for CoVaR
    Journal of Banking & Finance, 2019, 108, (C) View citations (5)
20. 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 (4)
21. 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 (3)
22. Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
    Energy Economics, 2019, 79, (C), 21-31 View citations (7)
23. The bank-sovereign nexus: Evidence from a non-bailout episode
    Journal of Empirical Finance, 2019, 53, (C), 181-196 View citations (2)
    See also Working Paper (2017)

2018

24. A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
    Ecological Economics, 2018, 147, (C), 218-229 View citations (25)
25. Asset allocation strategies based on penalized quantile regression
    Computational Management Science, 2018, 15, (1), 1-32 View citations (4)
    See also Working Paper (2015)
26. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (48)
    See also Working Paper (2015)
27. On the (Ab)use of Omega?
    Journal of Empirical Finance, 2018, 46, (C), 11-33
    See also Working Paper (2018)
28. 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 (16)
    See also Working Paper (2015)

2017

29. Building News Measures from Textual Data and an Application to Volatility Forecasting
    Econometrics, 2017, 5, (3), 1-46 View citations (10)
30. Chasing volatility
    Journal of Econometrics, 2017, 198, (1), 122-145 View citations (2)
31. Correction of Caporin and Paruolo (2015)
    Econometric Reviews, 2017, 36, (4), 493-493
32. Systemic co-jumps
    Journal of Financial Economics, 2017, 126, (3), 563-591
    See also Working Paper (2016)
33. The long-run oil–natural gas price relationship and the shale gas revolution
    Energy Economics, 2017, 64, (C), 511-519 View citations (27)
    See also Working Paper (2015)
34. The relationship between oil prices and rig counts: The importance of lags
    Energy Economics, 2017, 63, (C), 213-226 View citations (11)
35. Time-varying persistence in US inflation
    Empirical Economics, 2017, 53, (2), 423-439 View citations (5)
    See also Working Paper (2014)

2016

36. 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)
37. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
    JRFM, 2016, 9, (3), 1-25 View citations (2)
38. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (19)
    See also Working Paper (2014)

2015

39. 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 (4)
    See also Working Paper (2012)
40. 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)
41. 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)
42. 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)
43. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 View citations (12)
    See also Working Paper (2014)
44. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 View citations (14)
45. Realized range volatility forecasting: Dynamic features and predictive variables
    International Review of Economics & Finance, 2015, 40, (C), 98-112 View citations (7)
46. Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
    Energy Policy, 2015, 87, (C), 72-82 View citations (5)

2014

47. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
    Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (32)
    See also Working Paper (2014)
48. 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)
49. Robust ranking of multivariate GARCH models by problem dimension
    Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (15)
    See also Working Paper (2012)
50. 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

51. 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)
52. 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 (8)
53. Fast clustering of GARCH processes via Gaussian mixture models
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 205-222 View citations (6)
54. Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
    Journal of Forecasting, 2013, 32, (4), 339-352 View citations (10)
55. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (18)
    See also Working Paper (2012)
56. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
    See also Working Paper (2012)
57. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 View citations (63)
    See also Working Paper (2013)
58. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
    Journal of Financial Econometrics, 2013, 11, (4), 706-742 View citations (32)
    See also Working Paper (2008)

2012

59. 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)
60. 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 (85)
    See also Working Paper (2010)
61. Model based Monte Carlo pricing of energy and temperature Quanto options
    Energy Economics, 2012, 34, (5), 1700-1712 View citations (10)
    See also Working Paper (2010)
62. Modelling and forecasting wind speed intensity for weather risk management
    Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 View citations (15)
    See also Working Paper (2010)
63. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179 View citations (1)
64. On the role of risk in the Morningstar rating for mutual funds
    Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (2)

2011

65. Comparing and selecting performance measures using rank correlations
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2011, 5, 1-34 View citations (5)
    See also Working Paper (2011)
66. 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

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

2009

71. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 View citations (31)
    See also Working Paper (2006)
72. Periodic Long-Memory GARCH Models
    Econometric Reviews, 2009, 28, (1-3), 60-82 View citations (17)

2008

73. 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)
74. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549 View citations (72)

2007

75. Generalised long-memory GARCH models for intra-daily volatility
    Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 View citations (29)
76. Variance (Non) Causality in Multivariate GARCH
    Econometric Reviews, 2007, 26, (1), 1-24 View citations (7)

2006

77. Dynamic Asymmetric GARCH
    Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations (20)
78. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
    Applied Financial Economics Letters, 2006, 2, (2), 123-130 View citations (100)

2005

79. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
    Statistical Methods & Applications, 2005, 14, (2), 145-161 View citations (24)

2003

80. Identification of long memory in GARCH models
    Statistical Methods & Applications, 2003, 12, (2), 133-151 View citations (1)

2002

81. A note on calculating autocovariances of long‐memory processes
    Journal of Time Series Analysis, 2002, 23, (5), 503-508 View citations (3)