Giovanni Bonaccolto

University "Kore" of Enna

Assistant professor

Viale delle Olimpiadi

Enna, 94100

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

357

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and European Union - European Commission, Joint Research Centre
Downloads 141 (207,125)

Abstract:

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Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

2.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 95 (276,256)
Citation 1

Abstract:

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Quantile regression, l1-norm penalty, pessimistic asset allocation

3.

Modelling and Forecasting the Realized Range Conditional Quantiles

Number of pages: 42 Posted: 12 Oct 2014
Giovanni Bonaccolto and Massimiliano Caporin
University "Kore" of Enna and University of Padua - Department of Statistical Sciences
Downloads 65 (345,083)
Citation 1

Abstract:

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Realized Range Volatility, Quantile regression, Volatility quantiles forecasting

4.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 56 (371,778)

Abstract:

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition