All Stories

  1. Early warnings of systemic risk using one-minute high-frequency data

    Article • Expert Systems with Applications, May 2024, Elsevier

    Professor Massimiliano Caporin

  2. Time series clustering based on latent volatility mixture modeling with applications in finance

    Article • Mathematics and Computers in Simulation, May 2024, Elsevier

    Professor Massimiliano Caporin

  3. Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment

    Article • Energy Economics, April 2024, Elsevier

    Professor Massimiliano Caporin

  4. Not all words are equal: Sentiment and jumps in the cryptocurrency market

    Article • Journal of International Financial Markets Institutions and Money, January 2024, Elsevier

    Professor Massimiliano Caporin

  5. The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices

    Article • The Energy Journal, November 2023, SAGE Publications

    Professor Massimiliano Caporin

  6. New insights on the environmental Kuznets curve (EKC) for Central Asia

    Article • Empirical Economics, November 2023, Springer Science + Business Media

    Professor Massimiliano Caporin

  7. Measuring Climate Transition Risk Spillovers

    Article • Review of Finance, August 2023, Oxford University Press (OUP)

    Professor Massimiliano Caporin

  8. Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves

    Article • Finance, May 2023, CAIRN

    Professor Massimiliano Caporin

  9. The systemic risk of US oil and natural gas companies

    Article • Energy Economics, May 2023, Elsevier

    Professor Massimiliano Caporin

  10. Asymmetric and time-frequency based networks of currency markets

    Article • Finance Research Letters, May 2023, Elsevier

    Professor Massimiliano Caporin

  11. Estimating time-varying proximity with a state–space model

    Article • Journal of Statistical Computation and Simulation, March 2023, Taylor & Francis

    Professor Massimiliano Caporin

  12. Quantile regression-based seasonal adjustment

    Article • International Journal of Computational Economics and Econometrics, January 2023, Inderscience Publishers

    Professor Massimiliano Caporin

  13. The Asymmetric Impact of Oil Prices and Production on Drilling Rig Trajectory: A correction

    Article • Resources Policy, December 2022, Elsevier

    Professor Massimiliano Caporin

  14. News and intraday jumps: Evidence from regularization and class imbalance

    Article • The North American Journal of Economics and Finance, November 2022, Elsevier

    Professor Massimiliano Caporin

  15. The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification

    Article • International Review of Economics & Finance, November 2022, Elsevier

    Professor Massimiliano Caporin

  16. Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic

    Article • Resources Policy, November 2022, Elsevier

    Professor Massimiliano Caporin

  17. Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects

    Article • Journal of Spatial Econometrics, September 2022, Springer Science + Business Media

    Professor Massimiliano Caporin

  18. Omega Compatibility: A Meta-analysis

    Article • Computational Economics, August 2022, Springer Science + Business Media

    Professor Massimiliano Caporin

  19. Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test

    Article • Energy Economics, June 2022, Elsevier

    Professor Massimiliano Caporin

  20. The effect of renewable energy development on China's energy intensity: Evidence from partially linear functional-coefficient panel data analyses

    Article • Journal of Cleaner Production, May 2022, Elsevier

    Professor Massimiliano Caporin

  21. Dynamic large financial networks via conditional expected shortfalls

    Article • European Journal of Operational Research, April 2022, Elsevier

    Professor Massimiliano Caporin

  22. The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland

    Article • Energy Economics, April 2022, Elsevier

    Professor Massimiliano Caporin

  23. What drives the expansion of research on banking crises? Cross-country evidence

    Article • Applied Economics, March 2022, Taylor & Francis

    Professor Massimiliano Caporin

  24. The Role of Jumps in Realized Volatility Modeling and Forecasting

    Article • Journal of Financial Econometrics, January 2022, Oxford University Press (OUP)

    Professor Massimiliano Caporin

  25. Systemic risk and severe economic downturns: A targeted and sparse analysis

    Article • Journal of Banking & Finance, January 2022, Elsevier

    Professor Massimiliano Caporin

  26. Has the EU-ETS Financed the Energy Transition of the Italian Power System?

    Article • International Journal of Financial Studies, December 2021, MDPI AG

    Professor Massimiliano Caporin

  27. Statistical Analysis of Financial Data: With Examples In RGentleJamesChapman and Hall/CRC Press, 646 pp, ISBN: 9781138599499

    Article • Journal of the Royal Statistical Society Series A (Statistics in Society), October 2021, Wiley

    Professor Massimiliano Caporin

  28. Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil

    Article • The Energy Journal, September 2021, International Association for Energy Economics (IAEE)

    Professor Massimiliano Caporin

  29. Measuring systemic risk during the COVID-19 period: A TALIS3 approach

    Article • Finance Research Letters, July 2021, Elsevier

    Professor Massimiliano Caporin

  30. TrAffic LIght system for systemic Stress: TALIS3

    Article • The North American Journal of Economics and Finance, July 2021, Elsevier

    Professor Massimiliano Caporin

  31. Asymmetric and time-frequency spillovers among commodities using high-frequency data

    Article • Resources Policy, March 2021, Elsevier

    Professor Massimiliano Caporin

  32. Dynamic network analysis of North American financial institutions

    Article • Finance Research Letters, January 2021, Elsevier

    Professor Massimiliano Caporin

  33. Networks in risk spillovers: A multivariate GARCH perspective

    Article • Econometrics and Statistics, January 2021, Elsevier

    Professor Massimiliano Caporin

  34. Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements

    Article • European Journal of Finance, December 2020, Taylor & Francis

    Professor Massimiliano Caporin

  35. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach

    Article • The North American Journal of Economics and Finance, December 2020, Elsevier

    Professor Massimiliano Caporin

  36. Is the Korean housing market following Gangnam style?

    Article • Empirical Economics, August 2020, Springer Science + Business Media

    Professor Massimiliano Caporin

  37. The long-run relationship between the Italian day-ahead and balancing electricity prices

    Article • Energy Systems, August 2020, Springer Science + Business Media

    Professor Massimiliano Caporin

  38. Financial Time Series: Methods and Models

    Article • Journal of Risk and Financial Management, April 2020, MDPI AG

    Professor Massimiliano Caporin

  39. Analytical Gradients of Dynamic Conditional Correlation Models

    Article • Journal of Risk and Financial Management, March 2020, MDPI AG

    Professor Massimiliano Caporin

  40. Macroeconomic Forecasting in the Era of Big Data

    Article • January 2020, Springer Science + Business Media

    Professor Massimiliano Caporin

  41. Do structural breaks in volatility cause spurious volatility transmission?

    Article • Journal of Empirical Finance, January 2020, Elsevier

    Professor Massimiliano Caporin

  42. Estimation and model-based combination of causality networks among large US banks and insurance companies

    Article • Journal of Empirical Finance, December 2019, Elsevier

    Professor Massimiliano Caporin

  43. Volatility Forecasting in a Data Rich Environment

    Article • November 2019, Springer Science + Business Media

    Professor Massimiliano Caporin

  44. A multilevel factor approach for the analysis of CDS commonality and risk contribution

    Article • Journal of International Financial Markets Institutions and Money, November 2019, Elsevier

    Professor Massimiliano Caporin

  45. Decomposing and backtesting a flexible specification for CoVaR

    Article • Journal of Banking & Finance, September 2019, Elsevier

    Professor Massimiliano Caporin

  46. The bank-sovereign nexus: Evidence from a non-bailout episode

    Article • Journal of Empirical Finance, September 2019, Elsevier

    Professor Massimiliano Caporin

  47. Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements

    Article • Energy Policy, April 2019, Elsevier

    Professor Massimiliano Caporin

  48. On the volatilities of tourism stocks and oil

    Article • Annals of Tourism Research, April 2019, Elsevier

    Professor Massimiliano Caporin

  49. Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock

    Article • Energy Economics, March 2019, Elsevier

    Professor Massimiliano Caporin

  50. Asymmetry and leverage in GARCH models: a News Impact Curve perspective

    Article • Applied Economics, February 2019, Taylor & Francis

    Professor Massimiliano Caporin

  51. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

    Article • International Review of Economics & Finance, January 2019, Elsevier

    Professor Massimiliano Caporin

  52. The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk

    Article • Physica A Statistical Mechanics and its Applications, October 2018, Elsevier

    Professor Massimiliano Caporin

  53. A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance

    Article • Ecological Economics, May 2018, Elsevier

    Professor Massimiliano Caporin

  54. “On the (Ab)use of Omega ?”

    Article • Journal of Empirical Finance, March 2018, Elsevier

    Professor Massimiliano Caporin

  55. Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises

    Article • British Journal of Management, February 2018, Wiley

    Professor Massimiliano Caporin

  56. Measuring sovereign contagion in Europe

    Article • Journal of Financial Stability, February 2018, Elsevier

    Professor Massimiliano Caporin

  57. Systemic co-jumps

    Article • Journal of Financial Economics, December 2017, Elsevier

    Professor Massimiliano Caporin

  58. Asset allocation strategies based on penalized quantile regression

    Article • Computational Management Science, August 2017, Springer Science + Business Media

    Professor Massimiliano Caporin

  59. Building News Measures from Textual Data and an Application to Volatility Forecasting

    Article • Econometrics, August 2017, MDPI AG

    Professor Massimiliano Caporin

  60. Chasing volatility

    Article • Journal of Econometrics, May 2017, Elsevier

    Professor Massimiliano Caporin

  61. The relationship between oil prices and rig counts: The importance of lags

    Article • Energy Economics, March 2017, Elsevier

    Professor Massimiliano Caporin

  62. Correction of Caporin and Paruolo (2015)

    Article • Econometric Reviews, December 2016, Taylor & Francis

    Professor Massimiliano Caporin

  63. Time-varying persistence in US inflation

    Article • Empirical Economics, August 2016, Springer Science + Business Media

    Professor Massimiliano Caporin

  64. The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution

    Article • Energy Economics, August 2016, Elsevier

    Professor Massimiliano Caporin

  65. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective

    Article • Journal of Risk and Financial Management, July 2016, MDPI AG

    Professor Massimiliano Caporin

  66. RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES

    Article • Annals of Financial Economics, March 2016, World Scientific Pub Co Pte Lt

    Professor Massimiliano Caporin

  67. Damages Evaluation, Periodic Floods, and Local Sea Level Rise

    Article • January 2016, Elsevier

    Professor Massimiliano Caporin

  68. Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle

    Article • Energy Policy, December 2015, Elsevier

    Professor Massimiliano Caporin

  69. Backward/forward optimal combination of performance measures for equity screening

    Article • The North American Journal of Economics and Finance, November 2015, Elsevier

    Professor Massimiliano Caporin

  70. Realized range volatility forecasting: Dynamic features and predictive variables

    Article • International Review of Economics & Finance, November 2015, Elsevier

    Professor Massimiliano Caporin

  71. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models

    Article • International Review of Economics & Finance, November 2015, Elsevier

    Professor Massimiliano Caporin

  72. Option pricing with non-Gaussian scaling and infinite-state switching volatility

    Article • Journal of Econometrics, August 2015, Elsevier

    Professor Massimiliano Caporin

  73. Proximity-Structured Multivariate Volatility Models

    Article • Econometric Reviews, November 2014, Taylor & Francis

    Professor Massimiliano Caporin

  74. Volatility Jumps and Their Economic Determinants

    Article • Journal of Financial Econometrics, September 2014, Oxford University Press (OUP)

    Professor Massimiliano Caporin

  75. Precious metals under the microscope: a high-frequency analysis

    Article • Quantitative Finance, September 2014, Taylor & Francis

    Professor Massimiliano Caporin

  76. Variance clustering improved dynamic conditional correlation MGARCH estimators

    Article • Computational Statistics & Data Analysis, August 2014, Elsevier

    Professor Massimiliano Caporin

  77. Robust ranking of multivariate GARCH models by problem dimension

    Article • Computational Statistics & Data Analysis, August 2014, Elsevier

    Professor Massimiliano Caporin

  78. Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises

    Article • Journal of International Financial Markets Institutions and Money, July 2014, Elsevier

    Professor Massimiliano Caporin

  79. Ensemble properties of high-frequency data and intraday trading rules

    Article • Quantitative Finance, March 2014, Taylor & Francis

    Professor Massimiliano Caporin

  80. Measuring the Impact of Behavioural Choices on the Market Prices

    Article • January 2014, Springer Science + Business Media

    Professor Massimiliano Caporin

  81. A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management

    Article • The North American Journal of Economics and Finance, December 2013, Elsevier

    Professor Massimiliano Caporin

  82. Risk spillovers in international equity portfolios

    Article • Journal of Empirical Finance, December 2013, Elsevier

    Professor Massimiliano Caporin

  83. On the predictability of stock prices: A case for high and low prices

    Article • Journal of Banking & Finance, December 2013, Elsevier

    Professor Massimiliano Caporin

  84. CDS Industrial Sector Indices, Credit and Liquidity Risk

    Article • August 2013, Wiley

    Professor Massimiliano Caporin

  85. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES

    Article • Journal of Economic Surveys, August 2013, Wiley

    Professor Massimiliano Caporin

  86. Equity and CDS sector indices: Dynamic models and risk hedging

    Article • The North American Journal of Economics and Finance, August 2013, Elsevier

    Professor Massimiliano Caporin

  87. Fast clustering of GARCH processes via Gaussian mixture models

    Article • Mathematics and Computers in Simulation, August 2013, Elsevier

    Professor Massimiliano Caporin

  88. Ten Things You Should Know about the Dynamic Conditional Correlation Representation

    Article • Econometrics, June 2013, MDPI AG

    Professor Massimiliano Caporin

  89. Volatility Threshold Dynamic Conditional Correlations: An International Analysis

    Article • Journal of Financial Econometrics, January 2013, Oxford University Press (OUP)

    Professor Massimiliano Caporin

  90. Market Volatility, Optimal Portfolios and Naive Asset Allocations

    Article • January 2013, Elsevier

    Professor Massimiliano Caporin

  91. Modeling and Forecasting Realized Range Volatility

    Article • January 2013, Springer Science + Business Media

    Professor Massimiliano Caporin

  92. Modelling and forecasting wind speed intensity for weather risk management

    Article • Computational Statistics & Data Analysis, November 2012, Elsevier

    Professor Massimiliano Caporin

  93. On the role of risk in the Morningstar rating for mutual funds

    Article • Quantitative Finance, October 2012, Taylor & Francis

    Professor Massimiliano Caporin

  94. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

    Article • European Journal of Finance, October 2012, Taylor & Francis

    Professor Massimiliano Caporin

  95. Model based Monte Carlo pricing of energy and temperature Quanto options

    Article • Energy Economics, September 2012, Elsevier

    Professor Massimiliano Caporin

  96. Model Selection and Testing of Conditional and Stochastic Volatility Models

    Article • March 2012, Wiley

    Professor Massimiliano Caporin

  97. Forecasting Temperature Indices Density with Time-Varying Long-Memory Models

    Article • Journal of Forecasting, December 2011, Wiley

    Professor Massimiliano Caporin

  98. Contagion Dating through Market Interdependence Analysis and Correlation Stability

    Article • November 2011, Wiley

    Professor Massimiliano Caporin

  99. On the evaluation of marginal expected shortfall

    Article • Applied Economics Letters, June 2011, Taylor & Francis

    Professor Massimiliano Caporin

  100. DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS

    Article • Journal of Economic Surveys, March 2011, Wiley

    Professor Massimiliano Caporin

  101. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH

    Article • Statistica Neerlandica, February 2011, Wiley

    Professor Massimiliano Caporin

  102. Comparing and Selecting Performance Measures Using Rank Correlations

    Article • Economics, January 2011, ZBW - German National Library of Economics

    Professor Massimiliano Caporin

  103. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

    Article • Computational Statistics & Data Analysis, November 2010, Elsevier

    Professor Massimiliano Caporin

  104. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS

    Article • Journal of Economic Surveys, February 2010, Wiley

    Professor Massimiliano Caporin

  105. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS

    Article • Journal of Economic Surveys, February 2010, Wiley

    Professor Massimiliano Caporin

  106. Misspecification tests for periodic long memory GARCH models

    Article • Statistical Methods & Applications, April 2009, Springer Science + Business Media

    Professor Massimiliano Caporin

  107. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation

    Article • Mathematics and Computers in Simulation, April 2009, Elsevier

    Professor Massimiliano Caporin

  108. Periodic Long-Memory GARCH Models

    Article • Econometric Reviews, November 2008, Taylor & Francis

    Professor Massimiliano Caporin

  109. Scalar BEKK and indirect DCC

    Article • Journal of Forecasting, September 2008, Wiley

    Professor Massimiliano Caporin

  110. Dating EU15 monthly business cycle jointly using GDP and IPI

    Article • Journal of Business Cycle Measurement and Analysis, July 2008, OECD

    Professor Massimiliano Caporin

  111. Generalised long-memory GARCH models for intra-daily volatility

    Article • Computational Statistics & Data Analysis, August 2007, Elsevier

    Professor Massimiliano Caporin

  112. Variance (Non) Causality in Multivariate GARCH

    Article • Econometric Reviews, February 2007, Taylor & Francis

    Professor Massimiliano Caporin

  113. Dynamic Asymmetric GARCH

    Article • Journal of Financial Econometrics, May 2006, Oxford University Press (OUP)

    Professor Massimiliano Caporin

  114. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation

    Article • Applied Financial Economics Letters, March 2006, Taylor & Francis

    Professor Massimiliano Caporin

  115. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis

    Article • Statistical Methods & Applications, November 2005, Springer Science + Business Media

    Professor Massimiliano Caporin

  116. Identification of long memory in GARCH models

    Article • Statistical Methods & Applications, December 2003, Springer Science + Business Media

    Professor Massimiliano Caporin

  117. A note on calculating autocovariances of long-memory processes

    Article • Journal of Time Series Analysis, September 2002, Wiley

    Professor Massimiliano Caporin