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Backward/forward optimal combination of performance measures for equity screening

Billio, Monica; Caporin, Massimiliano; Costola, Michele - In: The North American journal of economics and finance : a … 34 (2015), pp. 63-83

Persistent link: https://www.econbiz.de/10011539679

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

Rational learning for risk-averse investors by conditioning on behavioral choices

Costola, Michele; Caporin, Massimiliano - In: Annals of financial economics 11 (2016) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011504045

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

Caporin, Massimiliano; Costola, Michele - In: Applied economics 51 (2019) 31, pp. 3345-3364

Persistent link: https://www.econbiz.de/10012196836

Volatility forecasting in a data rich environment

Bernardi, Mauro; Bonaccolto, Giovanni; Caporin, Massimiliano - In: Macroeconomic forecasting in the era of big data : …, (pp. 127-160). 2020

This Chapter reviews the main classes of models that incorporate volatility, with a focus on the most recent advancements in the financial econometrics literature and on the challenges posed by the increased availability of data. There are limits to the feasibility of all models when the...

Persistent link: https://www.econbiz.de/10012159718

"On the (Ab)use of Omega?"

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33

Persistent link: https://www.econbiz.de/10012103452

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

Caporin, Massimiliano; Costola, Michele - In: Energy economics 111 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013350204

Systemic risk and severe economic downturns : a targeted and sparse analysis

Caporin, Massimiliano; Costola, Michele; Garibal, … - In: Journal of banking & finance 134 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013400138

Systemic risk for financial institutions in the major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - In: The energy journal 42 (2021) 6, pp. 247-274

Persistent link: https://www.econbiz.de/10013172763

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