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person:"Caporin, Massimiliano"
~source:"econis"
~type_genre:"Article in journal"
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Search: subject_exact:"Expected shortfall"
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Caporin, Massimiliano
Wang, Ruodu
28
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22
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19
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10
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ECONIS (ZBW)
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1
ESG risk exposure : a tale of two tails
Yang, Runfeng
;
Caporin, Massimiliano
;
Jiménez-Martin, …
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 827-849
Persistent link: https://www.econbiz.de/10015050799
Saved in:
2
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Iacopini, …
- In:
Energy economics
132
(
2024
),
pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
Saved in:
3
Dynamic large financial networks via conditional expected shortfalls
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Maillet, …
- In:
European journal of operational research : EJOR
298
(
2022
)
1
,
pp. 322-336
Persistent link: https://www.econbiz.de/10013206844
Saved in:
4
Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Paterlini, …
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
Saved in:
5
A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir
;
Caporin, Massimiliano
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
Saved in:
6
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Saved in:
7
Risk spillovers in international equity portfolios
Bonato, Matteo
;
Caporin, Massimiliano
;
Ranaldo, Angelo
- In:
Journal of empirical finance
24
(
2013
),
pp. 121-137
Persistent link: https://www.econbiz.de/10010371985
Saved in:
8
On the evaluation of marginal expected shortfall
Caporin, Massimiliano
;
Santucci de Magistris, Paolo
- In:
Applied economics letters
19
(
2012
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
Saved in:
9
Evaluating value-at-risk measures in the presence of long memory conditional volatility
Caporin, Massimiliano
- In:
Journal of risk
10
(
2007/08
)
3
,
pp. 79-110
Persistent link: https://www.econbiz.de/10003698909
Saved in:
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