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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 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pca441


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Working Papers

2024

  1. Nowcasting Inflation at Quantiles: Causality from Commodities
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads
  2. Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics Downloads

2022

  1. Dynamic Large Financial Networks via Conditional Expected Shortfalls
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article Dynamic large financial networks via conditional expected shortfalls, European Journal of Operational Research, Elsevier (2022) Downloads View citations (5) (2022)
  2. The systemic risk of US oil and natural gas companies
    Working Papers, Joint Research Centre, European Commission Downloads
    See also Journal Article The systemic risk of US oil and natural gas companies, Energy Economics, Elsevier (2023) Downloads View citations (2) (2023)

2021

  1. Non-Standard Errors
    Working Papers, Faculty of Economics and Statistics, Universität Innsbruck Downloads View citations (6)
    Also in Post-Print, HAL (2021) Downloads
    Working Papers, Lund University, Department of Economics (2021) Downloads
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) Downloads View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021) Downloads
  2. 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" Downloads
    See also Journal Article The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland, Energy Economics, Elsevier (2022) Downloads View citations (3) (2022)

2020

  1. Does monetary policy impact international market co-movements?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (3)
  2. Networks in risk spillovers: A multivariate GARCH perspective
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) Downloads View citations (4)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) Downloads View citations (7)

    See also Journal Article Networks in risk spillovers: A multivariate GARCH perspective, Econometrics and Statistics, Elsevier (2023) Downloads (2023)
  3. Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (1)

2019

  1. Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (2)

    See also Journal Article Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, The North American Journal of Economics and Finance, Elsevier (2021) Downloads View citations (8) (2021)

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
    See also Journal Article A multilevel factor approach for the analysis of CDS commonality and risk contribution, Journal of International Financial Markets, Institutions and Money, Elsevier (2019) Downloads View citations (3) (2019)
  2. On the (Ab)use of Omega ?
    Post-Print, HAL View citations (8)
    Also in Working Papers, HAL (2016)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) Downloads View citations (7)
    Post-Print, HAL (2018) View citations (8)

    See also Journal Article On the (Ab)use of Omega?, Journal of Empirical Finance, Elsevier (2018) Downloads View citations (8) (2018)

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, Leibniz Institute for Financial Research SAFE 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, Leibniz Institute for Financial Research SAFE Downloads
    See also Journal Article Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil, The Energy Journal, International Association for Energy Economics (2021) Downloads View citations (2) (2021)
  5. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article The bank-sovereign nexus: Evidence from a non-bailout episode, Journal of Empirical Finance, Elsevier (2019) Downloads View citations (3) (2019)
  6. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (7)
    See also Journal Article The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification, International Review of Economics & Finance, Elsevier (2023) Downloads View citations (2) (2023)

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 (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

    See also Journal Article Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?, International Review of Economics & Finance, Elsevier (2019) Downloads View citations (5) (2019)
  2. Systemic co-jumps
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (1)
    See also Journal Article Systemic co-jumps, Journal of Financial Economics, Elsevier (2017) Downloads (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 Asset allocation strategies based on penalized quantile regression, Computational Management Science, Springer (2018) Downloads View citations (7) (2018)
  2. Dynamic Principal Components: a New Class of Multivariate GARCH Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (1)
  3. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (17)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (27)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) Downloads View citations (40)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (88)

    See also Journal Article Measuring sovereign contagion in Europe, Journal of Financial Stability, Elsevier (2018) Downloads View citations (93) (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 RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2016) Downloads (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 (11)
    See also Journal Article The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) Downloads View citations (30) (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 (7)
    See also Journal Article The long-run oil–natural gas price relationship and the shale gas revolution, Energy Economics, Elsevier (2017) Downloads View citations (40) (2017)

2014

  1. A Survey on the Four Families of Performance Measures
    Post-Print, HAL View citations (24)
    Also in Post-Print, HAL (2014) View citations (26)

    See also Journal Article A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES, Journal of Economic Surveys, Wiley Blackwell (2014) Downloads View citations (39) (2014)
  2. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (7)
  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 (3)
  4. Multi-jumps
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2014) Downloads
  5. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Papers, arXiv.org Downloads
    See also Journal Article Option pricing with non-Gaussian scaling and infinite-state switching volatility, Journal of Econometrics, Elsevier (2015) Downloads View citations (5) (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 Precious metals under the microscope: a high-frequency analysis, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (15) (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 Time-varying persistence in US inflation, Empirical Economics, Springer (2017) Downloads View citations (6) (2017)
  9. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (15)
    See also Journal Article Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, Oxford University Press (2016) Downloads View citations (23) (2016)

2013

  1. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    See also Journal Article Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) Downloads View citations (4) (2014)
  2. Ensemble properties of high frequency data and intraday trading rules
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Ensemble properties of high-frequency data and intraday trading rules, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (3) (2015)
  3. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads 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 (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 Forecasting Value-at-Risk using block structure multivariate stochastic volatility models, International Review of Economics & Finance, Elsevier (2015) Downloads View citations (9) (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
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (66)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (3)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (3)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (68)
  6. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (84)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (84)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (83)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (82)

    See also Journal Article Ten Things You Should Know about the Dynamic Conditional Correlation Representation, Econometrics, MDPI (2013) Downloads View citations (84) (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 (5)
    See also Journal Article Backward/forward optimal combination of performance measures for equity screening, The North American Journal of Economics and Finance, Elsevier (2015) Downloads View citations (6) (2015)
  2. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  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 (5)
    Also in Working Papers, Swiss National Bank (2009) Downloads View citations (25)
  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 Working Papers, Swiss National Bank (2011) Downloads View citations (2)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) Downloads View citations (2)

    See also Journal Article On the predictability of stock prices: A case for high and low prices, Journal of Banking & Finance, Elsevier (2013) Downloads View citations (25) (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 Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) Downloads View citations (4) (2013)
  8. Robust Ranking of Multivariate GARCH Models by Problem Dimension
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (9)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads View citations (8)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads

    See also Journal Article Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (22) (2014)

2011

  1. Comparing and selecting performance measures using rank correlations
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads View citations (7)
    See also Journal Article Comparing and selecting performance measures using rank correlations, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2011) Downloads View citations (7) (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 View citations (1)
  4. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (3)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) Downloads View citations (5)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (5)
  5. Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (7)
    See also Journal Article Variance clustering improved dynamic conditional correlation MGARCH estimators, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (6) (2014)

2010

  1. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (39)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (33)
  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 (27)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (34)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads View citations (33)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (27)

    See also Journal Article DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS, Journal of Economic Surveys, Wiley Blackwell (2012) Downloads View citations (119) (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 Model based Monte Carlo pricing of energy and temperature Quanto options, Energy Economics, Elsevier (2012) Downloads View citations (16) (2012)
  4. Model Selection and Testing of Conditional and Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (17)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (13)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (24)
  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 Modelling and forecasting wind speed intensity for weather risk management, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (18) (2012)
  6. Ranking Multivariate GARCH Models by Problem Dimension
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (13)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (13)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads View citations (13)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) Downloads View citations (18)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (13)
  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 Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) 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
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (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
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

    See also Journal Article Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2011) Downloads View citations (9) (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
    See also Journal Article A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS, Journal of Economic Surveys, Wiley Blackwell (2010) Downloads View citations (5) (2010)
  2. Comparing and selecting performance measures for ranking assets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (9)
  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 (76)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (61)
  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 Volatility Threshold Dynamic Conditional Correlations: An International Analysis, Journal of Financial Econometrics, Oxford University Press (2013) Downloads View citations (40) (2013)

2007

  1. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads 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) Downloads (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 Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion, Computational Statistics & Data Analysis, Elsevier (2010) Downloads View citations (64) (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 (14)
    See also Journal Article A generalized Dynamic Conditional Correlation model for portfolio risk evaluation, Mathematics and Computers in Simulation (MATCOM), Elsevier (2009) Downloads View citations (35) (2009)
  2. Methodological aspects of time series back-calculation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (9)

2005

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

Journal Articles

2024

  1. Measuring Climate Transition Risk Spillovers
    Review of Finance, 2024, 28, (2), 447-481 Downloads
  2. New insights on the environmental Kuznets curve (EKC) for Central Asia
    Empirical Economics, 2024, 66, (5), 2335-2354 Downloads
  3. Not all words are equal: Sentiment and jumps in the cryptocurrency market
    Journal of International Financial Markets, Institutions and Money, 2024, 91, (C) Downloads

2023

  1. Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic
    Resources Policy, 2023, 80, (C) Downloads View citations (5)
  2. Asymmetric and time-frequency based networks of currency markets
    Finance Research Letters, 2023, 55, (PB) Downloads
  3. Networks in risk spillovers: A multivariate GARCH perspective
    Econometrics and Statistics, 2023, 28, (C), 1-29 Downloads
    See also Working Paper Networks in risk spillovers: A multivariate GARCH perspective, Working Papers (2020) Downloads (2020)
  4. Omega Compatibility: A Meta-analysis
    Computational Economics, 2023, 62, (2), 493-526 Downloads
  5. Quantile regression-based seasonal adjustment
    International Journal of Computational Economics and Econometrics, 2023, 13, (3), 270-304 Downloads
  6. Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves
    Finance, 2023, 44, (3), 154-198 Downloads
  7. The Role of Jumps in Realized Volatility Modeling and Forecasting
    Journal of Financial Econometrics, 2023, 21, (4), 1143-1168 Downloads
  8. The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
    International Review of Economics & Finance, 2023, 84, (C), 196-223 Downloads 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) Downloads View citations (7) (2017)
  9. The systemic risk of US oil and natural gas companies
    Energy Economics, 2023, 121, (C) Downloads View citations (2)
    See also Working Paper The systemic risk of US oil and natural gas companies, Working Papers (2022) Downloads (2022)

2022

  1. Dynamic large financial networks via conditional expected shortfalls
    European Journal of Operational Research, 2022, 298, (1), 322-336 Downloads View citations (5)
    See also Working Paper Dynamic Large Financial Networks via Conditional Expected Shortfalls, Post-Print (2022) Downloads View citations (2) (2022)
  2. 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 Downloads
  3. Measuring systemic risk during the COVID-19 period: A TALIS3 approach
    Finance Research Letters, 2022, 46, (PA) Downloads View citations (3)
  4. News and intraday jumps: Evidence from regularization and class imbalance
    The North American Journal of Economics and Finance, 2022, 62, (C) Downloads
  5. Statistical Analysis of Financial Data: with Examples In R
    Journal of the Royal Statistical Society Series A, 2022, 185, (1), 432-433 Downloads
  6. Systemic risk and severe economic downturns: A targeted and sparse analysis
    Journal of Banking & Finance, 2022, 134, (C) Downloads View citations (6)
  7. 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) Downloads View citations (3)
    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) Downloads (2021)
  8. Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test
    Energy Economics, 2022, 111, (C) Downloads View citations (2)
  9. What drives the expansion of research on banking crises? Cross-country evidence
    Applied Economics, 2022, 54, (52), 6054-6064 Downloads

2021

  1. Asymmetric and time-frequency spillovers among commodities using high-frequency data
    Resources Policy, 2021, 70, (C) Downloads View citations (22)
  2. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
    The North American Journal of Economics and Finance, 2021, 55, (C) Downloads View citations (8)
    See also Working Paper Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach, BEMPS - Bozen Economics & Management Paper Series (2019) Downloads View citations (2) (2019)
  3. Dynamic network analysis of North American financial institutions
    Finance Research Letters, 2021, 42, (C) Downloads View citations (5)
  4. Has the EU-ETS Financed the Energy Transition of the Italian Power System?
    IJFS, 2021, 9, (4), 1-15 Downloads View citations (2)
  5. Is the Korean housing market following Gangnam style?
    Empirical Economics, 2021, 61, (4), 2041-2072 Downloads View citations (2)
  6. 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 Downloads
  7. Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil
    The Energy Journal, 2021, Volume 42, (Number 6) Downloads View citations (2)
    See also Working Paper Systemic risk for financial institutions of major petroleum-based economies: The role of oil, SAFE Working Paper Series (2017) Downloads (2017)
  8. TrAffic LIght system for systemic Stress: TALIS3
    The North American Journal of Economics and Finance, 2021, 57, (C) Downloads View citations (5)

2020

  1. Analytical Gradients of Dynamic Conditional Correlation Models
    JRFM, 2020, 13, (3), 1-21 Downloads View citations (1)
  2. Do structural breaks in volatility cause spurious volatility transmission?
    Journal of Empirical Finance, 2020, 55, (C), 60-82 Downloads View citations (7)
  3. Financial Time Series: Methods and Models
    JRFM, 2020, 13, (5), 1-3 Downloads
  4. On the volatilities of tourism stocks and oil
    Annals of Tourism Research, 2020, 81, (C) Downloads View citations (2)

2019

  1. A multilevel factor approach for the analysis of CDS commonality and risk contribution
    Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) Downloads View citations (3)
    See also Working Paper A multilevel factor approach for the analysis of CDS commonality and risk contribution, CREATES Research Papers (2018) Downloads (2018)
  2. 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 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) Downloads View citations (5) (2016)
  3. Asymmetry and leverage in GARCH models: a News Impact Curve perspective
    Applied Economics, 2019, 51, (31), 3345-3364 Downloads View citations (6)
  4. Decomposing and backtesting a flexible specification for CoVaR
    Journal of Banking & Finance, 2019, 108, (C) Downloads View citations (9)
  5. Estimation and model-based combination of causality networks among large US banks and insurance companies
    Journal of Empirical Finance, 2019, 54, (C), 1-21 Downloads View citations (11)
  6. Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements
    Energy Policy, 2019, 127, (C), 155-164 Downloads View citations (7)
  7. Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
    Energy Economics, 2019, 79, (C), 21-31 Downloads View citations (16)
  8. The bank-sovereign nexus: Evidence from a non-bailout episode
    Journal of Empirical Finance, 2019, 53, (C), 181-196 Downloads View citations (3)
    See also Working Paper The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode, CREATES Research Papers (2017) Downloads (2017)

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 (33)
  2. Asset allocation strategies based on penalized quantile regression
    Computational Management Science, 2018, 15, (1), 1-32 Downloads View citations (7)
    See also Working Paper Asset Allocation Strategies Based On Penalized Quantile Regression, "Marco Fanno" Working Papers (2015) Downloads (2015)
  3. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 Downloads View citations (93)
    See also Working Paper Measuring sovereign contagion in Europe, SAFE Working Paper Series (2015) Downloads View citations (17) (2015)
  4. On the (Ab)use of Omega?
    Journal of Empirical Finance, 2018, 46, (C), 11-33 Downloads View citations (8)
    See also Working Paper On the (Ab)use of Omega ?, Post-Print (2018) View citations (8) (2018)
  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 (30)
    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

  1. Building News Measures from Textual Data and an Application to Volatility Forecasting
    Econometrics, 2017, 5, (3), 1-46 Downloads View citations (19)
  2. Chasing volatility
    Journal of Econometrics, 2017, 198, (1), 122-145 Downloads View citations (2)
  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 Systemic co-jumps, SAFE Working Paper Series (2016) Downloads View citations (1) (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 (40)
    See also Working Paper The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution, "Marco Fanno" Working Papers (2015) Downloads View citations (7) (2015)
  6. The relationship between oil prices and rig counts: The importance of lags
    Energy Economics, 2017, 63, (C), 213-226 Downloads View citations (16)
  7. Time-varying persistence in US inflation
    Empirical Economics, 2017, 53, (2), 423-439 Downloads View citations (6)
    See also Working Paper Time-Varying Persistence in US Inflation, Working Papers (2014) View citations (1) (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 Rational learning for risk-averse investors by conditioning on behavioral choices, Working Papers (2015) Downloads (2015)
  2. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
    JRFM, 2016, 9, (3), 1-25 Downloads View citations (2)
  3. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 Downloads View citations (23)
    See also Working Paper Volatility jumps and their economic determinants, CREATES Research Papers (2014) Downloads View citations (15) (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 (6)
    See also Working Paper Backward/forward optimal combination of performance measures for equity screening, Working Papers (2012) Downloads View citations (5) (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 Ensemble properties of high frequency data and intraday trading rules, Papers (2013) Downloads View citations (2) (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 (9)
    See also Working Paper Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2013) Downloads View citations (2) (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 Option pricing with non-Gaussian scaling and infinite-state switching volatility, Papers (2014) Downloads (2014)
  5. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 Downloads View citations (15)
    See also Working Paper Precious Metals Under the Microscope: A High-Frequency Analysis, Working Papers on Finance (2014) Downloads View citations (1) (2014)
  6. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 Downloads View citations (20)
  7. Realized range volatility forecasting: Dynamic features and predictive variables
    International Review of Economics & Finance, 2015, 40, (C), 98-112 Downloads View citations (8)
  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 (7)

2014

  1. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
    Journal of Economic Surveys, 2014, 28, (5), 917-942 Downloads View citations (39)
    See also Working Paper A Survey on the Four Families of Performance Measures, Post-Print (2014) View citations (24) (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 (4)
    See also Working Paper Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises, MPRA Paper (2013) Downloads (2013)
  3. Robust ranking of multivariate GARCH models by problem dimension
    Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 Downloads View citations (22)
    See also Working Paper Robust Ranking of Multivariate GARCH Models by Problem Dimension, KIER Working Papers (2012) Downloads View citations (9) (2012)
  4. Variance clustering improved dynamic conditional correlation MGARCH estimators
    Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 Downloads View citations (6)
    See also Working Paper Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators, "Marco Fanno" Working Papers (2011) Downloads View citations (7) (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 (7)
  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 (10)
  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 (10)
  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 (25)
    See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) Downloads (2012)
  6. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 Downloads View citations (4)
    See also Working Paper Risk Spillovers in International Equity Portfolios, Working Papers on Finance (2012) Downloads (2012)
  7. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 Downloads View citations (84)
    See also Working Paper Ten Things You Should Know About the Dynamic Conditional Correlation Representation, Working Papers in Economics (2013) Downloads View citations (84) (2013)
  8. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
    Journal of Financial Econometrics, 2013, 11, (4), 706-742 Downloads View citations (40)
    See also Working Paper Volatility Threshold Dynamic Conditional Correlations: An International Analysis, "Marco Fanno" Working Papers (2008) Downloads View citations (5) (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 (5)
  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 (119)
    See also Working Paper Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models, Econometric Institute Research Papers (2010) Downloads View citations (27) (2010)
  3. Model based Monte Carlo pricing of energy and temperature Quanto options
    Energy Economics, 2012, 34, (5), 1700-1712 Downloads View citations (16)
    See also Working Paper Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options, "Marco Fanno" Working Papers (2010) Downloads (2010)
  4. Modelling and forecasting wind speed intensity for weather risk management
    Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 Downloads View citations (18)
    See also Working Paper Modelling and forecasting wind speed intensity for weather risk management, "Marco Fanno" Working Papers (2010) Downloads View citations (9) (2010)
  5. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179 Downloads View citations (1)
  6. On the role of risk in the Morningstar rating for mutual funds
    Quantitative Finance, 2012, 12, (10), 1477-1486 Downloads View citations (3)

2011

  1. Comparing and selecting performance measures using rank correlations
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2011, 5, 1-34 Downloads View citations (7)
    See also Working Paper Comparing and selecting performance measures using rank correlations, Economics Discussion Papers (2011) Downloads View citations (7) (2011)
  2. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
    Statistica Neerlandica, 2011, 65, (2), 125-163 Downloads View citations (9)
    See also Working Paper Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH, Econometric Institute Research Papers (2010) Downloads View citations (3) (2010)

2010

  1. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
    Journal of Economic Surveys, 2010, 24, (1), 192-195 Downloads View citations (5)
    See also Working Paper A Scientific Classification of Volatility Models, Documentos de Trabajo del ICAE (2009) Downloads (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 (64)
    See also Working Paper Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion, Working Papers (2007) Downloads View citations (1) (2007)
  3. Misspecification tests for periodic long memory GARCH models
    Statistical Methods & Applications, 2010, 19, (1), 47-62 Downloads View citations (3)
  4. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
    Journal of Economic Surveys, 2010, 24, (1), 196-200 Downloads View citations (25)

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 (35)
    See also Working Paper A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation, Working Papers (2006) Downloads View citations (14) (2006)
  2. Periodic Long-Memory GARCH Models
    Econometric Reviews, 2009, 28, (1-3), 60-82 Downloads View citations (20)

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

2007

  1. Generalised long-memory GARCH models for intra-daily volatility
    Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 Downloads View citations (36)
  2. Variance (Non) Causality in Multivariate GARCH
    Econometric Reviews, 2007, 26, (1), 1-24 Downloads View citations (7)

2006

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

2005

  1. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
    Statistical Methods & Applications, 2005, 14, (2), 145-161 Downloads View citations (67)

2003

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

2002

  1. A note on calculating autocovariances of long‐memory processes
    Journal of Time Series Analysis, 2002, 23, (5), 503-508 Downloads View citations (6)
 
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