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The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

Persistent link: https://www.econbiz.de/10014391446

News and intraday jumps : evidence from regularization and class imbalance

Caporin, Massimiliano; Poli, Francesco - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013534219

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

Caporin, Massimiliano; Shahzad, Syed Jawad Hussain - In: Finance : revue de l'Association Française de Finance 44 (2023) 3, pp. 154-198

Persistent link: https://www.econbiz.de/10014339837

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

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: International review of economics & finance : IREF 84 (2023), pp. 196-223

Persistent link: https://www.econbiz.de/10014343115

The systemic risk of US oil and natural gas companies

Caporin, Massimiliano; Fontini, Fulvio; Panzica, … - In: Energy economics 121 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014438692

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Persistent link: https://www.econbiz.de/10009776381