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Details about Massimiliano Caporin

E-mail:
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 2019-02-01. Update your information in the RePEc Author Service.

Short-id: pca441


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Working Papers

2018

  1. A multilevel factor approach for the analysis of CDS commonality and risk contribution
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Networks in risk spillovers: A multivariate GARCH perspective
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (1)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) Downloads View citations (4)

2017

  1. Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Estimation and model-based combination of causality networks
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
  3. Price convergence within and between the Italian electricity day-ahead and dispatching services markets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
  4. Systemic risk for financial institutions of major petroleum-based economies: The role of oil
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
  5. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  6. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads

2016

  1. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (4)

    See also Journal Article in International Review of Economics & Finance (2019)
  2. On the (Ab)Use of Omega?
    Working Papers, HAL
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2018)
  3. Systemic co-jumps
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2017)

2015

  1. Asset Allocation Strategies Based On Penalized Quantile Regression
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
    Also in Papers, arXiv.org (2015) Downloads

    See also Journal Article in Computational Management Science (2018)
  2. Dynamic Principal Components: a New Class of Multivariate GARCH Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
  3. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (6)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) Downloads View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (57)
    Working Paper, Norges Bank (2012) Downloads View citations (12)

    See also Journal Article in Journal of Financial Stability (2018)
  4. Rational learning for risk-averse investors by conditioning on behavioral choices
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Annals of Financial Economics (AFE) (2016)
  5. 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 (8)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  6. The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (1)
    See also Journal Article in Energy Economics (2017)

2014

  1. A Survey on the Four Families of Performance Measures
    Post-Print, HAL View citations (5)
    See also Journal Article in Journal of Economic Surveys (2014)
  2. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (5)
  3. 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 Downloads View citations (2)
  4. Multi-jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (1)
  5. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Econometrics (2015)
  6. Precious Metals Under the Microscope: A High-Frequency Analysis
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2015)
  7. The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  8. 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)
  9. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (12)
    See also Journal Article in Journal of Financial Econometrics (2016)

2013

  1. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads
  2. Ensemble properties of high frequency data and intraday trading rules
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Quantitative Finance (2015)
  3. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads

    See also Journal Article in International Review of Economics & Finance (2015)
  4. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
  5. Ten Things You Should Know About DCC
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (4)
  6. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (47)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (50)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (45)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (51)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (50)

    See also Journal Article in Econometrics (2013)

2012

  1. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)
    See also Journal Article in The North American Journal of Economics and Finance (2015)
  2. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  3. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (6)
    Also in Working Papers, Swiss National Bank (2009) Downloads View citations (18)
  4. I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
    Economics Department Working Papers, Department of Economics, Parma University (Italy) Downloads
  5. Market volatility, optimal portfolios and naive asset allocations
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  6. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) Downloads View citations (1)
    Working Papers, Swiss National Bank (2011) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2013)
  7. Risk Spillovers in International Equity Portfolios
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in Working Papers, Swiss National Bank (2012) Downloads

    See also Journal Article in Journal of Empirical Finance (2013)
  8. Robust Ranking of Multivariate GARCH Models by Problem Dimension
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (6)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (3)

    See also Journal Article in Computational Statistics & Data Analysis (2014)

2011

  1. Comparing and selecting performance measures using rank correlations
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads View citations (3)
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2011)
  2. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (5)
  3. Modeling and forecasting realized range volatility
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
  4. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (3)
  5. Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2010

  1. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (22)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (27)
  2. 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 Downloads View citations (5)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (20)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (26)

    See also Journal Article in Journal of Economic Surveys (2012)
  3. Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads

    See also Journal Article in Energy Economics (2012)
  4. Model Selection and Testing of Conditional and Stochastic Volatility Models
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (10)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (23)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (30)
  5. Modelling and forecasting wind speed intensity for weather risk management
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (9)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  6. Ranking Multivariate GARCH Models by Problem Dimension
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (5)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) Downloads View citations (10)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (8)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (6)
  7. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads

    See also Journal Article in Statistica Neerlandica (2011)

2009

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Economic Surveys (2010)
  2. Comparing and selecting performance measures for ranking assets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (4)
  3. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (63)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (9)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads View citations (34)
  4. Structured Multivariate Volatility Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (16)

2008

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

2007

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

2006

  1. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (10)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2009)
  2. Methodological aspects of time series back-calculation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (8)

2005

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

Journal Articles

2019

  1. 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 Downloads
    See also Working Paper (2016)

2018

  1. A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
    Ecological Economics, 2018, 147, (C), 218-229 Downloads View citations (5)
  2. Asset allocation strategies based on penalized quantile regression
    Computational Management Science, 2018, 15, (1), 1-32 Downloads
    See also Working Paper (2015)
  3. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 Downloads View citations (7)
    See also Working Paper (2015)
  4. On the (Ab)use of Omega?
    Journal of Empirical Finance, 2018, 46, (C), 11-33 Downloads
    See also Working Paper (2016)
  5. 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 Downloads View citations (2)
    See also Working Paper (2015)

2017

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

2016

  1. RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES
    Annals of Financial Economics (AFE), 2016, 11, (01), 1-26 Downloads
    See also Working Paper (2015)
  2. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
    Journal of Risk and Financial Management, 2016, 9, (3), 1-25 Downloads View citations (1)
  3. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 Downloads View citations (6)
    See also Working Paper (2014)

2015

  1. Backward/forward optimal combination of performance measures for equity screening
    The North American Journal of Economics and Finance, 2015, 34, (C), 63-83 Downloads View citations (2)
    See also Working Paper (2012)
  2. Ensemble properties of high-frequency data and intraday trading rules
    Quantitative Finance, 2015, 15, (2), 231-245 Downloads View citations (3)
    See also Working Paper (2013)
  3. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
    International Review of Economics & Finance, 2015, 40, (C), 40-50 Downloads View citations (4)
    See also Working Paper (2013)
  4. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Journal of Econometrics, 2015, 187, (2), 486-497 Downloads View citations (5)
    See also Working Paper (2014)
  5. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 Downloads View citations (4)
    See also Working Paper (2014)
  6. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 Downloads View citations (7)
  7. Realized range volatility forecasting: Dynamic features and predictive variables
    International Review of Economics & Finance, 2015, 40, (C), 98-112 Downloads View citations (7)
  8. Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
    Energy Policy, 2015, 87, (C), 72-82 Downloads View citations (3)

2014

  1. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
    Journal of Economic Surveys, 2014, 28, (5), 917-942 Downloads View citations (22)
    See also Working Paper (2014)
  2. 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 Downloads View citations (2)
  3. Robust ranking of multivariate GARCH models by problem dimension
    Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 Downloads View citations (8)
    See also Working Paper (2012)
  4. Variance clustering improved dynamic conditional correlation MGARCH estimators
    Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 Downloads View citations (5)
    See also Working Paper (2011)

2013

  1. 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 Downloads View citations (5)
  2. Equity and CDS sector indices: Dynamic models and risk hedging
    The North American Journal of Economics and Finance, 2013, 25, (C), 261-275 Downloads View citations (8)
  3. Fast clustering of GARCH processes via Gaussian mixture models
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 205-222 Downloads View citations (6)
  4. Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
    Journal of Forecasting, 2013, 32, (4), 339-352 View citations (8)
  5. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 Downloads View citations (10)
    See also Working Paper (2012)
  6. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 Downloads View citations (3)
    See also Working Paper (2012)
  7. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 Downloads View citations (50)
    See also Working Paper (2013)
  8. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
    Journal of Financial Econometrics, 2013, 11, (4), 706-742 Downloads View citations (27)
    See also Working Paper (2008)

2012

  1. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
    The European Journal of Finance, 2012, 18, (9), 761-774 Downloads View citations (4)
  2. DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
    Journal of Economic Surveys, 2012, 26, (4), 736-751 Downloads View citations (77)
    See also Working Paper (2010)
  3. Model based Monte Carlo pricing of energy and temperature Quanto options
    Energy Economics, 2012, 34, (5), 1700-1712 Downloads View citations (6)
    See also Working Paper (2010)
  4. Modelling and forecasting wind speed intensity for weather risk management
    Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 Downloads View citations (13)
    See also Working Paper (2010)
  5. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179 Downloads
  6. On the role of risk in the Morningstar rating for mutual funds
    Quantitative Finance, 2012, 12, (10), 1477-1486 Downloads View citations (1)

2011

  1. Comparing and selecting performance measures using rank correlations
    Economics - The Open-Access, Open-Assessment E-Journal, 2011, 5, 1-34 Downloads View citations (3)
    See also Working Paper (2011)
  2. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
    Statistica Neerlandica, 2011, 65, (2), 125-163 Downloads View citations (7)
    See also Working Paper (2010)

2010

  1. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
    Journal of Economic Surveys, 2010, 24, (1), 192-195 Downloads View citations (4)
    See also Working Paper (2009)
  2. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
    Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 Downloads View citations (40)
    See also Working Paper (2007)
  3. Misspecification tests for periodic long memory GARCH models
    Statistical Methods & Applications, 2010, 19, (1), 47-62 Downloads
  4. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
    Journal of Economic Surveys, 2010, 24, (1), 196-200 Downloads View citations (35)

2009

  1. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 Downloads View citations (27)
    See also Working Paper (2006)
  2. Periodic Long-Memory GARCH Models
    Econometric Reviews, 2009, 28, (1-3), 60-82 Downloads View citations (13)

2008

  1. Dating EU15 monthly business cycle jointly using GDP and IPI
    Journal of Business Cycle Measurement and Analysis, 2008, 2007, (3), 333-366 Downloads
    See also Working Paper (2007)
  2. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549 Downloads View citations (81)

2007

  1. Generalised long-memory GARCH models for intra-daily volatility
    Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 Downloads View citations (26)
  2. Variance (Non) Causality in Multivariate GARCH
    Econometric Reviews, 2007, 26, (1), 1-24 Downloads View citations (6)

2006

  1. Dynamic Asymmetric GARCH
    Journal of Financial Econometrics, 2006, 4, (3), 385-412 Downloads View citations (20)
  2. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
    Applied Financial Economics Letters, 2006, 2, (2), 123-130 Downloads View citations (90)

2005

  1. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
    Statistical Methods & Applications, 2005, 14, (2), 145-161 Downloads View citations (8)

2003

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

2002

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