.
Caporin, Massimiliano's
Scholarly Papers
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Aggregate Statistics
Total 7,445
Total Citations 118
1.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
05 Feb 09
Last Revised:
24 Jun 09
849(12,149)
18
Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting
2.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
06 Aug 08
Last Revised:
24 Jun 09
502(25,638)
2
multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve
3.
The Ten Commandments for Managing Investments
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Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
18 Feb 09
Last Revised:
06 Jan 10
436(30,848)
9
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
2
9
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
434
9
Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification
4.
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
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Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
07 Feb 10
Last Revised:
10 Aug 12
386(35,974)
18
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
0
18
Asymptotic theory, Conditional correlations, Conditional covariances, Diagonal models, Scalar models, Targeting
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
386
18
Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting
5.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
353(40,170)
13
Dynamic correlations, Block-structures, Flexible correlation models
6.
A Scientific Classification of Volatility Models
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Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
10 Dec 08
Last Revised:
06 Jan 10
339(42,199)
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
2
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
10 Dec 08
Last Revised:
24 Mar 09
337
Volatility, taxonomy, GARCH, stochastic volatility, realized volatility
7.
Kasch, Maria University of Mannheim - Department of Finance
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Posted:
05 Mar 07
Last Revised:
29 Oct 12
287(51,299)
Dynamic Correlations, Volatility Thresholds, Comovement, Contagion
8.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Santucci de Magistris, Paolo University of Aarhus - CREATES
252(59,384)
2
Marginal Expected Shortfall, Log-Returns, Systemic Risk
9.
Asai, Manabu Soka University - Faculty of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
244(61,425)
6
block structures; multivariate stochastic volatility; curse of dimensionality
10.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Posted:
09 May 10
Last Revised:
16 Oct 10
243(61,686)
3
Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison
11.
Bonato, Matteo UBS AG
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Posted:
12 Oct 08
Last Revised:
15 Jun 13
233(64,578)
10
realized volatility, forecasting, Value-at-Risk, Wishart
12.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Posted:
10 Jul 12
Last Revised:
03 Oct 12
225(66,990)
mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence
13.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
209(72,323)
3
Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage
14.
Baldovin, Fulvio University of Padua
Camana, Francesco Prime Minister's Office
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Stella, Attilio University of Padua
167(89,745)
time series ensemble, trading rule, long memory
15.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Jannin, Gregory Mathieu University of Paris 1 Pantheon-Sorbonne - Laboratoire PRISM
Lisi, Francesco University of Padua - Department of Statistical Sciences
Maillet, Bertrand B. University of Orléans
165(90,740)
2
performance measures, risk, return distribution, ranking, fund selection
16.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
de Roon, Frans Tilburg University - Department of Finance
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
164(91,265)
mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence
17.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
163(91,820)
1
Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations
18.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Santucci de Magistris, Paolo University of Aarhus - CREATES
Posted:
18 Jun 11
Last Revised:
15 Jun 13
160(93,376)
high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis
19.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Lisi, Francesco University of Padua - Department of Statistical Sciences
Posted:
22 Apr 09
Last Revised:
29 Jun 09
151(98,970)
3
performance measurement, rank correlations, selecting performance measures, comparing performance measures, combining performance measures
20.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Pres, Juliusz Szczecin University of Technology
Posted:
05 Jan 09
Last Revised:
16 Dec 09
142(103,755)
weather derivatives, long memory, time-varying long memory, derivative pricing, model simulation and forecast
21.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
133(109,670)
optimal hedge ratios, equity risk hedging, bond risk, CDS index, VIX index, economic sectors
22.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Pres, Juliusz Szczecin University of Technology
Posted:
09 Dec 09
Last Revised:
17 Dec 09
115(123,382)
2
Gamma Auto Regressive, Auto Regressive Gamma, ARFIMA-FIGARCH, wind speed modeling, wind speed simulation
23.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Paruolo, Paolo University of Insubria - Department of Economics
Posted:
21 Dec 08
Last Revised:
29 Jun 09
115(123,382)
6
MGARCH, Stochastic Volatility, Realized Volatility, Spatial models, ANOVA
24.
Lisi, Francesco University of Padua - Department of Statistical Sciences
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Posted:
22 May 09
Last Revised:
12 Oct 09
104(132,944)
1
Rater agreement, beta-equivalence, mutual funds, Morningstar rating
25.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Sartore, Domenico Ca Foscari University of Venice - Department of Economics
104(132,944)
2
benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation
26.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Pres, Juliusz Szczecin University of Technology
Torró, Hipòlit University of Valencia
103(133,786)
weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast
27.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Cazzavillan, Guido Ca Foscari University of Venice - Department of Economics
103(133,786)
Business cycle, Chronology, Historical reconstruction, Monthly GDP
28.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Lisi, Francesco University of Padua - Department of Statistical Sciences
101(135,608)
conditional CAPM, time-varying parameters, local covariates, mutual funds
29.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Sartore, Domenico Ca Foscari University of Venice - Department of Economics
94(142,422)
credit risk, common factors, liquidity risk
30.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Rossi, Eduardo University of Pavia - Department of Political Economy and Quantitative Methods
Santucci de Magistris, Paolo University of Aarhus - CREATES
93(143,394)
volatility, jumps in volatility, realized range, HAR
31.
Comparing and Selecting Performance Measures Using Rank Correlations
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Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Lisi, Francesco University of Padua - Department of Statistical Sciences
Posted:
08 Jun 11
Last Revised:
15 Dec 11
78(160,414)
1
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Lisi, Francesco University of Padua - Department of Statistical Sciences
36
1
performance measurement, rank correlations, comparing performance measures
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Lisi, Francesco University of Padua - Department of Statistical Sciences
42
1
performance measurement, rank correlations, comparing performance measures
32.
Aielli, Gian Piero affiliation not provided to SSRN
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
77(161,703)
2
dynamic conditional correlations, time series clustering, multivariate GARCH, composite likelihood
33.
Bonato, Matteo UBS AG
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Posted:
17 Jul 11
Last Revised:
11 Mar 12
76(162,968)
Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution
34.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Paruolo, Paolo University of Insubria - Department of Economics
Posted:
21 May 09
Last Revised:
14 May 13
75(164,302)
4
MGARCH, Stochastic Volatility, Realized Volatility, spatial models, ANOVA
35.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Velo, Gabriel G. University of Padua - Department of Economics
67(175,216)
Statistical analysis of financial data, Econometrics, Forecasting methods, Time series analysis, Realized Range Volatility, Realized Volatility, Long-memory, Volatility forecasting
36.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Velo, Gabriel G. University of Padua - Department of Economics
62(182,593)
precious metals, high-frequency data, liquidity measurement, intradaily periodicity
37.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Bonato, Matteo UBS AG
50(202,445)
Realized covariance, WAR, HAR, multivariate volatility forecasts
38.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Lisi, Francesco University of Padua - Department of Statistical Sciences
49(204,316)
Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests
39.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Costola, Michele University of Padova - Department of Economics and Management "Marco Fanno"
41(219,985)
performance measures, combining performance measures, portfolio
40.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Costola, Michele University of Padova - Department of Economics and Management "Marco Fanno"
39(224,194)
performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution
41.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Posted:
22 Jan 11
Last Revised:
14 Jun 11
32(240,380)
DCC, cDCC, analytical gradient
42.
Aielli, Gian Piero affiliation not provided to SSRN
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
26(257,495)
Gaussian Mixtures, financial time series clustering, Multivariate GARCH, block structures
43.
Bertelli, Stefano affiliation not provided to SSRN
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
22(270,809)
8
44.
Baldovin, Fulvio University of Padua
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Caraglio, Michele University of Padova
Stella, Attilio University of Padua
Zamparo, Marco Human Genetics Foundation
13(302,944)
option pricing, anomalous scaling, Markov switching, GARCH
45.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Ravazzolo, Francesco Norges Bank
Rigobon, Roberto Massachusetts Institute of Technology (MIT) - Sloan School of Management
Posted:
17 Mar 12
Last Revised:
14 May 13
3(334,279)
2
Sovereign Risk, Contagion
46.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
long memory, Value-at-Risk, loss functions, capital charges
47.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH
