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 2020-10-21. Update your information in the RePEc Author Service.

Short-id: pca441

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Working Papers

2020

Does monetary policy impact international market co-movements?
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
Networks in risk spillovers: A multivariate GARCH perspective
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (2)
Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) View citations (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

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)

2018

A multilevel factor approach for the analysis of CDS commonality and risk contribution
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2019)
On the (Ab)use of Omega?
Post-Print, HAL
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) View citations (6)
Working Papers, HAL (2016)
See also Journal Article in Journal of Empirical Finance (2018)

2017

Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
Estimation and model-based combination of causality networks
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
Price convergence within and between the Italian electricity day-ahead and dispatching services markets
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of Empirical Finance (2019)
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)

2016

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 View citations (1)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (4)
Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) View citations (5)
See also Journal Article in International Review of Economics & Finance (2019)
Systemic co-jumps
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
See also Journal Article in Journal of Financial Economics (2017)

2015

Asset Allocation Strategies Based On Penalized Quantile Regression
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Also in Papers, arXiv.org (2015)
See also Journal Article in Computational Management Science (2018)
Dynamic Principal Components: a New Class of Multivariate GARCH Models
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Measuring sovereign contagion in Europe
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)
Also in Working Paper, Norges Bank (2012) View citations (13)
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (25)
NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (59)
See also Journal Article in Journal of Financial Stability (2018)
Rational learning for risk-averse investors by conditioning on behavioral choices
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
See also Journal Article in Annals of Financial Economics (AFE) (2016)
The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
Working Papers, University of Pretoria, Department of Economics View citations (8)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
See also Journal Article in Energy Economics (2017)

2008

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

2007

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

2006

A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (11)
See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2009)
Methodological aspects of time series back-calculation
Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (8)

2005

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

Journal Articles

2020

Analytical Gradients of Dynamic Conditional Correlation Models
Journal of Risk and Financial Management, 2020, 13, (3), 1-21 View citations (1)
Do structural breaks in volatility cause spurious volatility transmission?
Journal of Empirical Finance, 2020, 55, (C), 60-82 View citations (2)
Financial Time Series: Methods and Models
Journal of Risk and Financial Management, 2020, 13, (5), 1-3
On the volatilities of tourism stocks and oil
Annals of Tourism Research, 2020, 81, (C)

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)
See also Working Paper (2018)
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
International Review of Economics & Finance, 2019, 59, (C), 50-70 View citations (3)
See also Working Paper (2016)
Asymmetry and leverage in GARCH models: a News Impact Curve perspective
Applied Economics, 2019, 51, (31), 3345-3364 View citations (2)
Decomposing and backtesting a flexible specification for CoVaR
Journal of Banking & Finance, 2019, 108, (C)
Estimation and model-based combination of causality networks among large US banks and insurance companies
Journal of Empirical Finance, 2019, 54, (C), 1-21
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 (2)
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
Energy Economics, 2019, 79, (C), 21-31 View citations (2)
The bank-sovereign nexus: Evidence from a non-bailout episode
Journal of Empirical Finance, 2019, 53, (C), 181-196 View citations (1)
See also Working Paper (2017)

2018

A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
Ecological Economics, 2018, 147, (C), 218-229 View citations (14)
Asset allocation strategies based on penalized quantile regression
Computational Management Science, 2018, 15, (1), 1-32 View citations (2)
See also Working Paper (2015)
Measuring sovereign contagion in Europe
Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (36)
See also Working Paper (2015)
On the (Ab)use of Omega?
Journal of Empirical Finance, 2018, 46, (C), 11-33
See also Working Paper (2018)
The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
Physica A: Statistical Mechanics and its Applications, 2018, 507, (C), 446-469 View citations (10)
See also Working Paper (2015)

2017

Building News Measures from Textual Data and an Application to Volatility Forecasting
Econometrics, 2017, 5, (3), 1-46 View citations (5)
Chasing volatility
Journal of Econometrics, 2017, 198, (1), 122-145 View citations (2)
Correction of Caporin and Paruolo (2015)
Econometric Reviews, 2017, 36, (4), 493-493
Systemic co-jumps
Journal of Financial Economics, 2017, 126, (3), 563-591
See also Working Paper (2016)
The long-run oil–natural gas price relationship and the shale gas revolution
Energy Economics, 2017, 64, (C), 511-519 View citations (23)
See also Working Paper (2015)
The relationship between oil prices and rig counts: The importance of lags
Energy Economics, 2017, 63, (C), 213-226 View citations (5)
Time-varying persistence in US inflation
Empirical Economics, 2017, 53, (2), 423-439 View citations (3)
See also Working Paper (2014)

2016

RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES
Annals of Financial Economics (AFE), 2016, 11, (01), 1-26
See also Working Paper (2015)
The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
Journal of Risk and Financial Management, 2016, 9, (3), 1-25 View citations (1)
Volatility Jumps and Their Economic Determinants
Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (15)
See also Working Paper (2014)

2015

Backward/forward optimal combination of performance measures for equity screening
The North American Journal of Economics and Finance, 2015, 34, (C), 63-83 View citations (3)
See also Working Paper (2012)
Ensemble properties of high-frequency data and intraday trading rules
Quantitative Finance, 2015, 15, (2), 231-245 View citations (3)
See also Working Paper (2013)
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
International Review of Economics & Finance, 2015, 40, (C), 40-50 View citations (8)
See also Working Paper (2013)
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Journal of Econometrics, 2015, 187, (2), 486-497 View citations (5)
See also Working Paper (2014)
Precious metals under the microscope: a high-frequency analysis
Quantitative Finance, 2015, 15, (5), 743-759 View citations (8)
See also Working Paper (2014)
Proximity-Structured Multivariate Volatility Models
Econometric Reviews, 2015, 34, (5), 559-593 View citations (11)
Realized range volatility forecasting: Dynamic features and predictive variables
International Review of Economics & Finance, 2015, 40, (C), 98-112 View citations (8)
Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
Energy Policy, 2015, 87, (C), 72-82 View citations (4)

2014

A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (28)
See also Working Paper (2014)
Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 159-177 View citations (2)
See also Working Paper (2013)
Robust ranking of multivariate GARCH models by problem dimension
Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (14)
See also Working Paper (2012)
Variance clustering improved dynamic conditional correlation MGARCH estimators
Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 View citations (6)
See also Working Paper (2011)

2013

A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
The North American Journal of Economics and Finance, 2013, 26, (C), 236-249 View citations (5)
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)
Fast clustering of GARCH processes via Gaussian mixture models
Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 205-222 View citations (7)
Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
Journal of Forecasting, 2013, 32, (4), 339-352 View citations (9)
On the predictability of stock prices: A case for high and low prices
Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (14)
See also Working Paper (2012)
Risk spillovers in international equity portfolios
Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
See also Working Paper (2012)
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Econometrics, 2013, 1, (1), 1-12 View citations (65)
See also Working Paper (2013)
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
Journal of Financial Econometrics, 2013, 11, (4), 706-742 View citations (30)
See also Working Paper (2008)

2012

A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
The European Journal of Finance, 2012, 18, (9), 761-774 View citations (4)
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 (88)
See also Working Paper (2010)
Model based Monte Carlo pricing of energy and temperature Quanto options
Energy Economics, 2012, 34, (5), 1700-1712 View citations (9)
See also Working Paper (2010)
Modelling and forecasting wind speed intensity for weather risk management
Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 View citations (15)
See also Working Paper (2010)
On the evaluation of marginal expected shortfall
Applied Economics Letters, 2012, 19, (2), 175-179 View citations (1)
On the role of risk in the Morningstar rating for mutual funds
Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (2)

2011

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

2010

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 View citations (47)
See also Working Paper (2007)
Misspecification tests for periodic long memory GARCH models
Statistical Methods & Applications, 2010, 19, (1), 47-62

2009

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 View citations (29)
See also Working Paper (2006)
Periodic Long-Memory GARCH Models
Econometric Reviews, 2009, 28, (1-3), 60-82 View citations (15)

2008

Dating EU15 monthly business cycle jointly using GDP and IPI
Journal of Business Cycle Measurement and Analysis, 2008, 2007, (3), 333-366
See also Working Paper (2007)
Scalar BEKK and indirect DCC
Journal of Forecasting, 2008, 27, (6), 537-549 View citations (83)

2007

Generalised long-memory GARCH models for intra-daily volatility
Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 View citations (28)
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 (21)
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
Applied Financial Economics Letters, 2006, 2, (2), 123-130 View citations (101)

2005

Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
Statistical Methods & Applications, 2005, 14, (2), 145-161 View citations (13)

2003

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

2002

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