The following pages link to Massimiliano Caporin (Q257482):
Displaying 21 items.
- Misspecification tests for periodic long memory GARCH models (Q257484) (← links)
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (Q819435) (← links)
- Generalised long-memory GARCH models for intra-daily volatility (Q1020691) (← links)
- A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339) (← links)
- Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
- Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552) (← links)
- Identification of long memory in GARCH models (Q1766999) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Modelling and forecasting wind speed intensity for weather risk management (Q1927127) (← links)
- Dynamic large financial networks \textit{via} conditional expected shortfalls (Q2076940) (← links)
- Fast clustering of GARCH processes via Gaussian mixture models (Q2227446) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Option pricing with non-Gaussian scaling and infinite-state switching volatility (Q2347724) (← links)
- Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion (Q2445700) (← links)
- Variance (Non) Causality in Multivariate GARCH (Q3432677) (← links)
- Periodic Long-Memory GARCH Models (Q3615077) (← links)
- A note on calculating autocovariances of long‐memory processes (Q4677006) (← links)
- Ensemble properties of high-frequency data and intraday trading rules (Q4683008) (← links)
- Precious metals under the microscope: a high-frequency analysis (Q4683093) (← links)
- Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models (Q4687328) (← links)
- Proximity-Structured Multivariate Volatility Models (Q5863553) (← links)
