Details about Massimiliano Caporin

Access statistics for papers by Massimiliano Caporin.

Last updated 2019-02-01. Update your information in the RePEc Author Service.

Short-id: pca441

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
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 View citations (1)
   Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) View citations (4)

2017

3. Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
4. Estimation and model-based combination of causality networks
   SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt
5. Price convergence within and between the Italian electricity day-ahead and dispatching services markets
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
6. 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
7. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
8. 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

2016

9. 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 Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) View citations (4)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (4)
   See also Journal Article in International Review of Economics & Finance (2019)
10. On the (Ab)Use of Omega?
    Working Papers, HAL
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) View citations (2)
    See also Journal Article in Journal of Empirical Finance (2018)
11. Systemic co-jumps
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt View citations (1)
    See also Journal Article in Journal of Financial Economics (2017)

2015

12. 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)
13. Dynamic Principal Components: a New Class of Multivariate GARCH Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
14. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt View citations (6)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (57)
    Working Paper, Norges Bank (2012) View citations (12)
    See also Journal Article in Journal of Financial Stability (2018)
15. 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)
16. 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)
17. 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 (1)
    See also Journal Article in Energy Economics (2017)

2014

18. 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)
19. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (5)
20. Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
21. Multi-jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (1)
22. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Papers, arXiv.org
    See also Journal Article in Journal of Econometrics (2015)
23. Precious Metals Under the Microscope: A High-Frequency Analysis
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
    See also Journal Article in Quantitative Finance (2015)
24. The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
    MPRA Paper, University Library of Munich, Germany View citations (1)
25. 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)
26. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
    See also Journal Article in Journal of Financial Econometrics (2016)

2013

27. 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
    Also in MPRA Paper, University Library of Munich, Germany (2013)
28. Ensemble properties of high frequency data and intraday trading rules
    Papers, arXiv.org View citations (2)
    See also Journal Article in Quantitative Finance (2015)
29. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
    See also Journal Article in International Review of Economics & Finance (2015)
30. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    Working Papers on Finance, University of St. Gallen, School of Finance
31. Ten Things You Should Know About DCC
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (4)
32. 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 View citations (47)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (50)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (45)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (51)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (50)
    See also Journal Article in Econometrics (2013)

2012

33. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (4)
    See also Journal Article in The North American Journal of Economics and Finance (2015)
34. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
35. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (6)
    Also in Working Papers, Swiss National Bank (2009) View citations (18)
36. I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
    Economics Department Working Papers, Department of Economics, Parma University (Italy)
37. Market volatility, optimal portfolios and naive asset allocations
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
38. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) View citations (1)
    Working Papers, Swiss National Bank (2011) View citations (1)
    See also Journal Article in Journal of Banking & Finance (2013)
39. Risk Spillovers in International Equity Portfolios
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in Working Papers, Swiss National Bank (2012)
    See also Journal Article in Journal of Empirical Finance (2013)
40. 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 View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (6)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2011

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

2010

46. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (22)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (27)
47. Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (20)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (26)
    See also Journal Article in Journal of Economic Surveys (2012)
48. Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article in Energy Economics (2012)
49. Model Selection and Testing of Conditional and Stochastic Volatility Models
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (10)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (23)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (30)
50. Modelling and forecasting wind speed intensity for weather risk management
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (9)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
51. Ranking Multivariate GARCH Models by Problem Dimension
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (5)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) View citations (10)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (8)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (6)
52. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
    See also Journal Article in Statistica Neerlandica (2011)

2009

53. 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 View citations (2)
    See also Journal Article in Journal of Economic Surveys (2010)
54. Comparing and selecting performance measures for ranking assets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (4)
55. 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 View citations (63)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (9)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009) View citations (34)
56. Structured Multivariate Volatility Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (16)

2008

57. Forecasting temperature indices with timevarying long-memory models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (2)
58. 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

59. 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)
60. 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

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

2005

63. Multivariate ARCH with spatial effects for stock sector and size
    Economics and Quantitative Methods, Department of Economics, University of Insubria
64. Spatial effects in multivariate ARCH
    Economics and Quantitative Methods, Department of Economics, University of Insubria 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
   See also Working Paper (2016)

2018

2. A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
   Ecological Economics, 2018, 147, (C), 218-229 View citations (5)
3. Asset allocation strategies based on penalized quantile regression
   Computational Management Science, 2018, 15, (1), 1-32
   See also Working Paper (2015)
4. Measuring sovereign contagion in Europe
   Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (7)
   See also Working Paper (2015)
5. On the (Ab)use of Omega?
   Journal of Empirical Finance, 2018, 46, (C), 11-33
   See also Working Paper (2016)
6. 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 (2)
   See also Working Paper (2015)

2017

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

2016

14. 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)
15. 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)
16. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (6)
    See also Working Paper (2014)

2015

17. 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 (2)
    See also Working Paper (2012)
18. 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)
19. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
    International Review of Economics & Finance, 2015, 40, (C), 40-50 View citations (4)
    See also Working Paper (2013)
20. 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)
21. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 View citations (4)
    See also Working Paper (2014)
22. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 View citations (7)
23. Realized range volatility forecasting: Dynamic features and predictive variables
    International Review of Economics & Finance, 2015, 40, (C), 98-112 View citations (7)
24. Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
    Energy Policy, 2015, 87, (C), 72-82 View citations (3)

2014

25. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
    Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (22)
    See also Working Paper (2014)
26. 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)
27. Robust ranking of multivariate GARCH models by problem dimension
    Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (8)
    See also Working Paper (2012)
28. Variance clustering improved dynamic conditional correlation MGARCH estimators
    Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 View citations (5)
    See also Working Paper (2011)

2013

29. 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)
30. 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)
31. Fast clustering of GARCH processes via Gaussian mixture models
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 205-222 View citations (6)
32. Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
    Journal of Forecasting, 2013, 32, (4), 339-352 View citations (8)
33. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (10)
    See also Working Paper (2012)
34. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (3)
    See also Working Paper (2012)
35. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 View citations (50)
    See also Working Paper (2013)
36. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
    Journal of Financial Econometrics, 2013, 11, (4), 706-742 View citations (27)
    See also Working Paper (2008)

2012

37. 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)
38. 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 (77)
    See also Working Paper (2010)
39. Model based Monte Carlo pricing of energy and temperature Quanto options
    Energy Economics, 2012, 34, (5), 1700-1712 View citations (6)
    See also Working Paper (2010)
40. Modelling and forecasting wind speed intensity for weather risk management
    Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 View citations (13)
    See also Working Paper (2010)
41. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179
42. On the role of risk in the Morningstar rating for mutual funds
    Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (1)

2011

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

2010

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

2009

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

2008

51. 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)
52. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549 View citations (81)

2007

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

2006

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

2005

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

2003

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

2002

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