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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Working papers"
~person:"Caporin, Massimiliano"
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Caporin, Massimiliano
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Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2020
Persistent link: https://www.econbiz.de/10012244841
Saved in:
2
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011432792
Saved in:
3
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2016
Persistent link: https://www.econbiz.de/10011629466
Saved in:
4
On the (ab)use of Omega?
Caporin, Massimiliano
;
Costola, Michele
;
Jannin, Gregory
; …
-
2015
Persistent link: https://www.econbiz.de/10011632567
Saved in:
5
Rational learning for risk-averse investors by conditioning on behavioral choices
Costola, Michele
;
Caporin, Massimiliano
-
2015
Persistent link: https://www.econbiz.de/10011632577
Saved in:
6
Ten things you should know about the dynamic conditional correaltion representation
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009754989
Saved in:
7
Ten things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009744766
Saved in:
8
Market volatility, optimal portfolios and naive asset allocations
Caporin, Massimiliano
;
Pelizzon, Loriana
-
2012
-
First draft
Persistent link: https://www.econbiz.de/10011628996
Saved in:
9
Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619553
Saved in:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619566
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