Massimiliano Caporin

Available identifiers

zbMath Open caporin.massimilianoWikidataQ41803981 ScholiaQ41803981MaRDI QIDQ257482

List of research outcomes

Publication	Date of Publication	Type
Estimating time-varying proximity with a state–space model	2023-09-19	Paper
Proximity-Structured Multivariate Volatility Models	2022-06-03	Paper
Dynamic large financial networks \textit{via} conditional expected shortfalls	2022-02-22	Paper
Fast clustering of GARCH processes via Gaussian mixture models	2021-02-15	Paper
Chasing volatility. A persistent multiplicative error model with jumps	2020-02-11	Paper
Robust ranking of multivariate GARCH models by problem dimension	2018-11-23	Paper
Variance clustering improved dynamic conditional correlation MGARCH estimators	2018-11-23	Paper
Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models	2018-10-11	Paper
Asset allocation strategies based on penalized quantile regression	2018-10-10	Paper
Ensemble properties of high-frequency data and intraday trading rules	2018-09-19	Paper
Precious metals under the microscope: a high-frequency analysis	2018-09-19	Paper
Misspecification tests for periodic long memory GARCH models	2016-03-17	Paper
Option pricing with non-Gaussian scaling and infinite-state switching volatility	2015-06-08	Paper
Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion	2014-04-14	Paper
Modelling and forecasting wind speed intensity for weather risk management	2012-12-30	Paper
A generalized dynamic conditional correlation model for portfolio risk evaluation	2009-06-18	Paper
Generalised long-memory GARCH models for intra-daily volatility	2009-06-02	Paper
Periodic Long-Memory GARCH Models	2009-03-17	Paper
Variance (Non) Causality in Multivariate GARCH	2007-04-18	Paper
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis	2006-03-28	Paper
A note on calculating autocovariances of long‐memory processes	2005-05-20	Paper
Identification of long memory in GARCH models	2005-03-03	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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