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Massimiliano Caporin
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- affiliation: University of Padova, Italy
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2020 – today
- 2024
- [j13]Massimiliano Caporin
, Laura Garcia-Jorcano
Early warnings of systemic risk using one-minute high-frequency data. Expert Syst. Appl. 252: 124134 (2024) - [j12]F. Setoudehtazangi
Time series clustering based on latent volatility mixture modeling with applications in finance. Math. Comput. Simul. 223: 543-564 (2024) - 2022
- [j11]Giovanni Bonaccolto
Dynamic large financial networks via conditional expected shortfalls. Eur. J. Oper. Res. 298(1): 322-336 (2022)
2010 – 2019
- 2018
- [j10]Giovanni Bonaccolto
Asset allocation strategies based on penalized quantile regression. Comput. Manag. Sci. 15(1): 1-32 (2018) - 2014
- [j9]Massimiliano Caporin
Robust ranking of multivariate GARCH models by problem dimension. Comput. Stat. Data Anal. 76: 172-185 (2014) - [j8]Gian Piero Aielli, Massimiliano Caporin
Variance clustering improved dynamic conditional correlation MGARCH estimators. Comput. Stat. Data Anal. 76: 556-576 (2014) - 2013
- [j7]Gian Piero Aielli, Massimiliano Caporin
Fast clustering of GARCH processes via Gaussian mixture models. Math. Comput. Simul. 94: 205-222 (2013) - 2012
- [j6]Massimiliano Caporin
Modelling and forecasting wind speed intensity for weather risk management. Comput. Stat. Data Anal. 56(11): 3459-3476 (2012) - 2010
- [j5]Monica Billio
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. Comput. Stat. Data Anal. 54(11): 2443-2458 (2010) - [j4]Massimiliano Caporin
Misspecification tests for periodic long memory GARCH models. Stat. Methods Appl. 19(1): 47-62 (2010)
2000 – 2009
- 2009
- [j3]Monica Billio
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation. Math. Comput. Simul. 79(8): 2566-2578 (2009) - 2007
- [j2]Silvano Bordignon, Massimiliano Caporin
Generalised long-memory GARCH models for intra-daily volatility. Comput. Stat. Data Anal. 51(12): 5900-5912 (2007) - 2005
- [j1]Monica Billio
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Stat. Methods Appl. 14(2): 145-161 (2005)
Coauthor Index
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