Details about Massimiliano Caporin

Access statistics for papers by Massimiliano Caporin.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pca441

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Post-Print, HAL (2021)
   Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)
2. Nowcasting Inflation at Quantiles: Causality from Commodities
   BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen
3. Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks
   Working Papers, University of Pretoria, Department of Economics

2022

4. Dynamic Large Financial Networks via Conditional Expected Shortfalls
   Post-Print, HAL View citations (2)
   See also Journal Article Dynamic large financial networks via conditional expected shortfalls, European Journal of Operational Research, Elsevier (2022) View citations (5) (2022)
5. The systemic risk of US oil and natural gas companies
   JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission
   See also Journal Article The systemic risk of US oil and natural gas companies, Energy Economics, Elsevier (2023) View citations (2) (2023)

2021

6. The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
   See also Journal Article The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland, Energy Economics, Elsevier (2022) View citations (4) (2022)

2020

7. Does monetary policy impact international market co-movements?
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (3)
8. Networks in risk spillovers: A multivariate GARCH perspective
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
   Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (4)
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) View citations (7)
   See also Journal Article Networks in risk spillovers: A multivariate GARCH perspective, Econometrics and Statistics, Elsevier (2023) (2023)
9. Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)

2019

10. Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen (2019) View citations (2)
    See also Journal Article Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, The North American Journal of Economics and Finance, Elsevier (2021) View citations (11) (2021)

2018

11. A multilevel factor approach for the analysis of CDS commonality and risk contribution
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article A multilevel factor approach for the analysis of CDS commonality and risk contribution, Journal of International Financial Markets, Institutions and Money, Elsevier (2019) View citations (7) (2019)
12. On the (Ab)use of Omega ?
    Post-Print, HAL View citations (8)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2015) View citations (7)
    Post-Print, HAL (2018) View citations (8)
    Working Papers, HAL (2016)
    See also Journal Article On the (Ab)use of Omega?, Journal of Empirical Finance, Elsevier (2018) View citations (8) (2018)

2017

13. Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
14. Estimation and model-based combination of causality networks
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
15. Price convergence within and between the Italian electricity day-ahead and dispatching services markets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
16. Systemic risk for financial institutions of major petroleum-based economies: The role of oil
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
    See also Journal Article Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil, The Energy Journal, International Association for Energy Economics (2021) View citations (2) (2021)
17. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article The bank-sovereign nexus: Evidence from a non-bailout episode, Journal of Empirical Finance, Elsevier (2019) View citations (3) (2019)
18. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (7)
    See also Journal Article The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification, International Review of Economics & Finance, Elsevier (2023) View citations (2) (2023)

2016

19. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (5)
    See also Journal Article Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?, International Review of Economics & Finance, Elsevier (2019) View citations (5) (2019)
20. Systemic co-jumps
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
    See also Journal Article Systemic co-jumps, Journal of Financial Economics, Elsevier (2017) (2017)

2015

21. Asset Allocation Strategies Based On Penalized Quantile Regression
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
    Also in Papers, arXiv.org (2015)
    See also Journal Article Asset allocation strategies based on penalized quantile regression, Computational Management Science, Springer (2018) View citations (7) (2018)
22. Dynamic Principal Components: a New Class of Multivariate GARCH Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)
23. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (17)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (89)
    Working Paper, Norges Bank (2012) View citations (27)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (40)
    See also Journal Article Measuring sovereign contagion in Europe, Journal of Financial Stability, Elsevier (2018) View citations (98) (2018)
24. Rational learning for risk-averse investors by conditioning on behavioral choices
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2016) (2016)
25. The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (31) (2018)
26. The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
    See also Journal Article The long-run oil–natural gas price relationship and the shale gas revolution, Energy Economics, Elsevier (2017) View citations (41) (2017)

2014

27. A Survey on the Four Families of Performance Measures
    Post-Print, HAL View citations (26)
    Also in Post-Print, HAL (2014) View citations (24)
    See also Journal Article A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES, Journal of Economic Surveys, Wiley Blackwell (2014) View citations (40) (2014)
28. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
29. Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
30. Multi-jumps
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2014)
31. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Papers, arXiv.org
    See also Journal Article Option pricing with non-Gaussian scaling and infinite-state switching volatility, Journal of Econometrics, Elsevier (2015) View citations (5) (2015)
32. Precious Metals Under the Microscope: A High-Frequency Analysis
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)
    See also Journal Article Precious metals under the microscope: a high-frequency analysis, Quantitative Finance, Taylor & Francis Journals (2015) View citations (15) (2015)
33. The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
    MPRA Paper, University Library of Munich, Germany View citations (1)
34. Time-Varying Persistence in US Inflation
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Time-varying persistence in US inflation, Empirical Economics, Springer (2017) View citations (6) (2017)
35. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (15)
    See also Journal Article Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, Oxford University Press (2016) View citations (23) (2016)

2013

36. Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    MPRA Paper, University Library of Munich, Germany
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    See also Journal Article Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (4) (2014)
37. Ensemble properties of high frequency data and intraday trading rules
    Papers, arXiv.org View citations (2)
    See also Journal Article Ensemble properties of high-frequency data and intraday trading rules, Quantitative Finance, Taylor & Francis Journals (2015) View citations (3) (2015)
38. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
    See also Journal Article Forecasting Value-at-Risk using block structure multivariate stochastic volatility models, International Review of Economics & Finance, Elsevier (2015) View citations (9) (2015)
39. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    Working Papers on Finance, University of St. Gallen, School of Finance
40. Ten Things You Should Know About DCC
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (66)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (3)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (68)
41. Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (85)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (83)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (84)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (85)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    See also Journal Article Ten Things You Should Know about the Dynamic Conditional Correlation Representation, Econometrics, MDPI (2013) View citations (85) (2013)

2012

42. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    See also Journal Article Backward/forward optimal combination of performance measures for equity screening, The North American Journal of Economics and Finance, Elsevier (2015) View citations (6) (2015)
43. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
44. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)
    Also in Working Papers, Swiss National Bank (2009) View citations (25)
45. I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
    Economics Department Working Papers, Department of Economics, Parma University (Italy)
46. Market volatility, optimal portfolios and naive asset allocations
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
47. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in Working Papers, Swiss National Bank (2011) View citations (2)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) View citations (2)
    See also Journal Article On the predictability of stock prices: A case for high and low prices, Journal of Banking & Finance, Elsevier (2013) View citations (25) (2013)
48. Risk Spillovers in International Equity Portfolios
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in Working Papers, Swiss National Bank (2012)
    See also Journal Article Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) View citations (4) (2013)
49. Robust Ranking of Multivariate GARCH Models by Problem Dimension
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (10)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) View citations (9)
    See also Journal Article Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics & Data Analysis, Elsevier (2014) View citations (24) (2014)

2011

50. Comparing and selecting performance measures using rank correlations
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (7)
    See also Journal Article Comparing and selecting performance measures using rank correlations, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2011) View citations (7) (2011)
51. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)
52. Modeling and forecasting realized range volatility
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)
53. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) View citations (3)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (5)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (5)
54. Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
    See also Journal Article Variance clustering improved dynamic conditional correlation MGARCH estimators, Computational Statistics & Data Analysis, Elsevier (2014) View citations (6) (2014)

2010

55. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (33)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (40)
56. Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (33)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (34)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (27)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (27)
    See also Journal Article DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS, Journal of Economic Surveys, Wiley Blackwell (2012) View citations (120) (2012)
57. Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article Model based Monte Carlo pricing of energy and temperature Quanto options, Energy Economics, Elsevier (2012) View citations (16) (2012)
58. Model Selection and Testing of Conditional and Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (24)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (13)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (17)
59. Modelling and forecasting wind speed intensity for weather risk management
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (9)
    See also Journal Article Modelling and forecasting wind speed intensity for weather risk management, Computational Statistics & Data Analysis, Elsevier (2012) View citations (20) (2012)
60. Ranking Multivariate GARCH Models by Problem Dimension
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (13)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (13)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2010) View citations (18)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) View citations (13)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (13)
61. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2009)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2008)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
    See also Journal Article Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2011) View citations (9) (2011)

2009

62. A Scientific Classification of Volatility Models
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS, Journal of Economic Surveys, Wiley Blackwell (2010) View citations (5) (2010)
63. Comparing and selecting performance measures for ranking assets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (9)
64. Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (76)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (61)
65. Structured Multivariate Volatility Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (16)

2008

66. Forecasting temperature indices with timevarying long-memory models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (2)
67. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)
    See also Journal Article Volatility Threshold Dynamic Conditional Correlations: An International Analysis, Journal of Financial Econometrics, Oxford University Press (2013) View citations (40) (2013)

2007

68. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    See also Journal Article Dating EU15 monthly business cycle jointly using GDP and IPI, Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2008) (2008)
69. Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    See also Journal Article Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion, Computational Statistics & Data Analysis, Elsevier (2010) View citations (67) (2010)

2006

70. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (14)
    See also Journal Article A generalized Dynamic Conditional Correlation model for portfolio risk evaluation, Mathematics and Computers in Simulation (MATCOM), Elsevier (2009) View citations (35) (2009)
71. Methodological aspects of time series back-calculation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (9)

2005

72. Multivariate ARCH with spatial effects for stock sector and size
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)
73. Spatial effects in multivariate ARCH
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (2)

Journal Articles

2024

1. ESG risk exposure: a tale of two tails
   Quantitative Finance, 2024, 24, (6), 827-849
2. Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment
   Energy Economics, 2024, 132, (C)
3. Measuring Climate Transition Risk Spillovers
   Review of Finance, 2024, 28, (2), 447-481 View citations (1)
4. New insights on the environmental Kuznets curve (EKC) for Central Asia
   Empirical Economics, 2024, 66, (5), 2335-2354
5. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)
6. Not all words are equal: Sentiment and jumps in the cryptocurrency market
   Journal of International Financial Markets, Institutions and Money, 2024, 91, (C) View citations (3)
7. The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices
   The Energy Journal, 2024, 45, (2), 137-187
8. The Contribution of Green, Blue, and Energy Sources to Economic Development in Central Asia
   Economies, 2024, 12, (9), 1-12
9. The factor structure of exchange rates volatility: global and intermittent factors
   Empirical Economics, 2024, 67, (1), 31-45
10. Time series clustering based on latent volatility mixture modeling with applications in finance
    Mathematics and Computers in Simulation (MATCOM), 2024, 223, (C), 543-564

2023

11. Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic
    Resources Policy, 2023, 80, (C) View citations (8)
12. Asymmetric and time-frequency based networks of currency markets
    Finance Research Letters, 2023, 55, (PB) View citations (2)
13. Networks in risk spillovers: A multivariate GARCH perspective
    Econometrics and Statistics, 2023, 28, (C), 1-29
    See also Working Paper Networks in risk spillovers: A multivariate GARCH perspective, Working Papers (2020) (2020)
14. Omega Compatibility: A Meta-analysis
    Computational Economics, 2023, 62, (2), 493-526
15. Quantile regression-based seasonal adjustment
    International Journal of Computational Economics and Econometrics, 2023, 13, (3), 270-304
16. Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves
    Finance, 2023, 44, (3), 154-198
17. The Role of Jumps in Realized Volatility Modeling and Forecasting
    Journal of Financial Econometrics, 2023, 21, (4), 1143-1168 View citations (2)
18. The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
    International Review of Economics & Finance, 2023, 84, (C), 196-223 View citations (2)
    See also Working Paper The impact of network connectivity on factor exposures, asset pricing and portfolio diversification, SAFE Working Paper Series (2017) View citations (7) (2017)
19. The systemic risk of US oil and natural gas companies
    Energy Economics, 2023, 121, (C) View citations (2)
    See also Working Paper The systemic risk of US oil and natural gas companies, JRC Working Papers in Economics and Finance (2022) (2022)

2022

20. Dynamic large financial networks via conditional expected shortfalls
    European Journal of Operational Research, 2022, 298, (1), 322-336 View citations (5)
    See also Working Paper Dynamic Large Financial Networks via Conditional Expected Shortfalls, Post-Print (2022) View citations (2) (2022)
21. Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects
    Journal of Spatial Econometrics, 2022, 3, (1), 1-21
22. Measuring systemic risk during the COVID-19 period: A TALIS3 approach
    Finance Research Letters, 2022, 46, (PA) View citations (3)
23. News and intraday jumps: Evidence from regularization and class imbalance
    The North American Journal of Economics and Finance, 2022, 62, (C) View citations (2)
24. Statistical Analysis of Financial Data: with Examples In R
    Journal of the Royal Statistical Society Series A, 2022, 185, (1), 432-433
25. Systemic risk and severe economic downturns: A targeted and sparse analysis
    Journal of Banking & Finance, 2022, 134, (C) View citations (10)
26. The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland
    Energy Economics, 2022, 110, (C) View citations (4)
    See also Working Paper The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland, "Marco Fanno" Working Papers (2021) (2021)
27. Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test
    Energy Economics, 2022, 111, (C) View citations (3)
28. What drives the expansion of research on banking crises? Cross-country evidence
    Applied Economics, 2022, 54, (52), 6054-6064

2021

29. Asymmetric and time-frequency spillovers among commodities using high-frequency data
    Resources Policy, 2021, 70, (C) View citations (31)
30. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
    The North American Journal of Economics and Finance, 2021, 55, (C) View citations (11)
    See also Working Paper Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach, Working Papers (2019) View citations (2) (2019)
31. Dynamic network analysis of North American financial institutions
    Finance Research Letters, 2021, 42, (C) View citations (5)
32. Has the EU-ETS Financed the Energy Transition of the Italian Power System?
    IJFS, 2021, 9, (4), 1-15 View citations (3)
33. Is the Korean housing market following Gangnam style?
    Empirical Economics, 2021, 61, (4), 2041-2072 View citations (10)
34. Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
    The European Journal of Finance, 2021, 27, (11), 1098-1116
35. Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil
    The Energy Journal, 2021, Volume 42, (Number 6) View citations (2)
    Also in The Energy Journal, 2021, 42, (6), 247-274 (2021)
    See also Working Paper Systemic risk for financial institutions of major petroleum-based economies: The role of oil, SAFE Working Paper Series (2017) (2017)
36. TrAffic LIght system for systemic Stress: TALIS3
    The North American Journal of Economics and Finance, 2021, 57, (C) View citations (5)

2020

37. Analytical Gradients of Dynamic Conditional Correlation Models
    JRFM, 2020, 13, (3), 1-21 View citations (2)
38. Do structural breaks in volatility cause spurious volatility transmission?
    Journal of Empirical Finance, 2020, 55, (C), 60-82 View citations (8)
39. Financial Time Series: Methods and Models
    JRFM, 2020, 13, (5), 1-3
40. On the volatilities of tourism stocks and oil
    Annals of Tourism Research, 2020, 81, (C) View citations (2)

2019

41. A multilevel factor approach for the analysis of CDS commonality and risk contribution
    Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) View citations (7)
    See also Working Paper A multilevel factor approach for the analysis of CDS commonality and risk contribution, CREATES Research Papers (2018) (2018)
42. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
    International Review of Economics & Finance, 2019, 59, (C), 50-70 View citations (5)
    See also Working Paper Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?, Documentos de Trabajo del ICAE (2016) (2016)
43. Asymmetry and leverage in GARCH models: a News Impact Curve perspective
    Applied Economics, 2019, 51, (31), 3345-3364 View citations (6)
44. Decomposing and backtesting a flexible specification for CoVaR
    Journal of Banking & Finance, 2019, 108, (C) View citations (10)
45. Estimation and model-based combination of causality networks among large US banks and insurance companies
    Journal of Empirical Finance, 2019, 54, (C), 1-21 View citations (16)
46. Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements
    Energy Policy, 2019, 127, (C), 155-164 View citations (7)
47. Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
    Energy Economics, 2019, 79, (C), 21-31 View citations (19)
48. The bank-sovereign nexus: Evidence from a non-bailout episode
    Journal of Empirical Finance, 2019, 53, (C), 181-196 View citations (3)
    See also Working Paper The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode, CREATES Research Papers (2017) (2017)

2018

49. A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance
    Ecological Economics, 2018, 147, (C), 218-229 View citations (37)
50. Asset allocation strategies based on penalized quantile regression
    Computational Management Science, 2018, 15, (1), 1-32 View citations (7)
    See also Working Paper Asset Allocation Strategies Based On Penalized Quantile Regression, "Marco Fanno" Working Papers (2015) (2015)
51. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (98)
    See also Working Paper Measuring sovereign contagion in Europe, SAFE Working Paper Series (2015) View citations (17) (2015)
52. On the (Ab)use of Omega?
    Journal of Empirical Finance, 2018, 46, (C), 11-33 View citations (8)
    See also Working Paper On the (Ab)use of Omega ?, Post-Print (2018) View citations (8) (2018)
53. The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
    Physica A: Statistical Mechanics and its Applications, 2018, 507, (C), 446-469 View citations (31)
    See also Working Paper The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk, Working Papers (2015) View citations (11) (2015)

2017

54. Building News Measures from Textual Data and an Application to Volatility Forecasting
    Econometrics, 2017, 5, (3), 1-46 View citations (20)
55. Chasing volatility
    Journal of Econometrics, 2017, 198, (1), 122-145 View citations (2)
56. Correction of Caporin and Paruolo (2015)
    Econometric Reviews, 2017, 36, (4), 493-493
57. Systemic co-jumps
    Journal of Financial Economics, 2017, 126, (3), 563-591
    See also Working Paper Systemic co-jumps, SAFE Working Paper Series (2016) View citations (1) (2016)
58. The long-run oil–natural gas price relationship and the shale gas revolution
    Energy Economics, 2017, 64, (C), 511-519 View citations (41)
    See also Working Paper The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution, "Marco Fanno" Working Papers (2015) View citations (7) (2015)
59. The relationship between oil prices and rig counts: The importance of lags
    Energy Economics, 2017, 63, (C), 213-226 View citations (17)
60. Time-varying persistence in US inflation
    Empirical Economics, 2017, 53, (2), 423-439 View citations (6)
    See also Working Paper Time-Varying Persistence in US Inflation, Working Papers (2014) View citations (1) (2014)

2016

61. RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES
    Annals of Financial Economics (AFE), 2016, 11, (01), 1-26
    See also Working Paper Rational learning for risk-averse investors by conditioning on behavioral choices, Working Papers (2015) (2015)
62. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
    JRFM, 2016, 9, (3), 1-25 View citations (2)
63. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (23)
    See also Working Paper Volatility jumps and their economic determinants, CREATES Research Papers (2014) View citations (15) (2014)

2015

64. Backward/forward optimal combination of performance measures for equity screening
    The North American Journal of Economics and Finance, 2015, 34, (C), 63-83 View citations (6)
    See also Working Paper Backward/forward optimal combination of performance measures for equity screening, Working Papers (2012) View citations (5) (2012)
65. Ensemble properties of high-frequency data and intraday trading rules
    Quantitative Finance, 2015, 15, (2), 231-245 View citations (3)
    See also Working Paper Ensemble properties of high frequency data and intraday trading rules, Papers (2013) View citations (2) (2013)
66. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
    International Review of Economics & Finance, 2015, 40, (C), 40-50 View citations (9)
    See also Working Paper Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)
67. Option pricing with non-Gaussian scaling and infinite-state switching volatility
    Journal of Econometrics, 2015, 187, (2), 486-497 View citations (5)
    See also Working Paper Option pricing with non-Gaussian scaling and infinite-state switching volatility, Papers (2014) (2014)
68. Precious metals under the microscope: a high-frequency analysis
    Quantitative Finance, 2015, 15, (5), 743-759 View citations (15)
    See also Working Paper Precious Metals Under the Microscope: A High-Frequency Analysis, Working Papers on Finance (2014) View citations (1) (2014)
69. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 View citations (20)
70. Realized range volatility forecasting: Dynamic features and predictive variables
    International Review of Economics & Finance, 2015, 40, (C), 98-112 View citations (8)
71. Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
    Energy Policy, 2015, 87, (C), 72-82 View citations (10)

2014

72. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
    Journal of Economic Surveys, 2014, 28, (5), 917-942 View citations (40)
    See also Working Paper A Survey on the Four Families of Performance Measures, Post-Print (2014) View citations (26) (2014)
73. Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
    Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 159-177 View citations (4)
    See also Working Paper Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises, MPRA Paper (2013) (2013)
74. Robust ranking of multivariate GARCH models by problem dimension
    Computational Statistics & Data Analysis, 2014, 76, (C), 172-185 View citations (24)
    See also Working Paper Robust Ranking of Multivariate GARCH Models by Problem Dimension, Econometric Institute Research Papers (2012) View citations (7) (2012)
75. Variance clustering improved dynamic conditional correlation MGARCH estimators
    Computational Statistics & Data Analysis, 2014, 76, (C), 556-576 View citations (6)
    See also Working Paper Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators, "Marco Fanno" Working Papers (2011) View citations (7) (2011)

2013

76. A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
    The North American Journal of Economics and Finance, 2013, 26, (C), 236-249 View citations (7)
77. Equity and CDS sector indices: Dynamic models and risk hedging
    The North American Journal of Economics and Finance, 2013, 25, (C), 261-275 View citations (10)
78. Fast clustering of GARCH processes via Gaussian mixture models
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 205-222 View citations (6)
79. Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models
    Journal of Forecasting, 2013, 32, (4), 339-352 View citations (10)
80. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (25)
    See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) (2012)
81. Risk spillovers in international equity portfolios
    Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
    See also Working Paper Risk Spillovers in International Equity Portfolios, Working Papers on Finance (2012) (2012)
82. Ten Things You Should Know about the Dynamic Conditional Correlation Representation
    Econometrics, 2013, 1, (1), 1-12 View citations (85)
    See also Working Paper Ten Things You Should Know About the Dynamic Conditional Correlation Representation, Econometric Institute Research Papers (2013) View citations (85) (2013)
83. Volatility Threshold Dynamic Conditional Correlations: An International Analysis
    Journal of Financial Econometrics, 2013, 11, (4), 706-742 View citations (40)
    See also Working Paper Volatility Threshold Dynamic Conditional Correlations: An International Analysis, "Marco Fanno" Working Papers (2008) View citations (5) (2008)

2012

84. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
    The European Journal of Finance, 2012, 18, (9), 761-774 View citations (5)
85. DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
    Journal of Economic Surveys, 2012, 26, (4), 736-751 View citations (120)
    See also Working Paper Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models, CIRJE F-Series (2010) View citations (33) (2010)
86. Model based Monte Carlo pricing of energy and temperature Quanto options
    Energy Economics, 2012, 34, (5), 1700-1712 View citations (16)
    See also Working Paper Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options, "Marco Fanno" Working Papers (2010) (2010)
87. Modelling and forecasting wind speed intensity for weather risk management
    Computational Statistics & Data Analysis, 2012, 56, (11), 3459-3476 View citations (20)
    See also Working Paper Modelling and forecasting wind speed intensity for weather risk management, "Marco Fanno" Working Papers (2010) View citations (9) (2010)
88. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179 View citations (1)
89. On the role of risk in the Morningstar rating for mutual funds
    Quantitative Finance, 2012, 12, (10), 1477-1486 View citations (3)

2011

90. Comparing and selecting performance measures using rank correlations
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2011, 5, 1-34 View citations (7)
    See also Working Paper Comparing and selecting performance measures using rank correlations, Economics Discussion Papers (2011) View citations (7) (2011)
91. Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
    Statistica Neerlandica, 2011, 65, (2), 125-163 View citations (9)
    See also Working Paper Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH, Econometric Institute Research Papers (2010) View citations (3) (2010)

2010

92. A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
    Journal of Economic Surveys, 2010, 24, (1), 192-195 View citations (5)
    See also Working Paper A Scientific Classification of Volatility Models, Documentos de Trabajo del ICAE (2009) (2009)
93. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
    Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 View citations (67)
    See also Working Paper Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion, Working Papers (2007) View citations (1) (2007)
94. Misspecification tests for periodic long memory GARCH models
    Statistical Methods & Applications, 2010, 19, (1), 47-62 View citations (3)
95. THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
    Journal of Economic Surveys, 2010, 24, (1), 196-200 View citations (25)

2009

96. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 View citations (35)
    See also Working Paper A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation, Working Papers (2006) View citations (14) (2006)
97. Periodic Long-Memory GARCH Models
    Econometric Reviews, 2009, 28, (1-3), 60-82 View citations (20)

2008

98. Dating EU15 monthly business cycle jointly using GDP and IPI
    Journal of Business Cycle Measurement and Analysis, 2008, 2007, (3), 333-366
    See also Working Paper Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI, Working Papers (2007) View citations (1) (2007)
99. Scalar BEKK and indirect DCC
    Journal of Forecasting, 2008, 27, (6), 537-549 View citations (89)

2007

100. Generalised long-memory GARCH models for intra-daily volatility
     Computational Statistics & Data Analysis, 2007, 51, (12), 5900-5912 View citations (37)
101. Variance (Non) Causality in Multivariate GARCH
     Econometric Reviews, 2007, 26, (1), 1-24 View citations (7)

2006

102. Dynamic Asymmetric GARCH
     Journal of Financial Econometrics, 2006, 4, (3), 385-412 View citations (22)

2005

103. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
     Statistical Methods & Applications, 2005, 14, (2), 145-161 View citations (67)

2003

104. Identification of long memory in GARCH models
     Statistical Methods & Applications, 2003, 12, (2), 133-151 View citations (6)

2002

105. A note on calculating autocovariances of long‐memory processes
     Journal of Time Series Analysis, 2002, 23, (5), 503-508 View citations (6)