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Massimiliano Caporin

Massimiliano Caporin

D-Index & Metrics

Economics and Finance

D-Index
33
Citations
4665
World Ranking
3283
National Ranking
79

Overview

Massimiliano Caporin is affiliated with the University of Padua in Italy. Their research primarily contributes to the fields of Economics, Econometrics, and Finance, with a total of 169 publications in these areas. Within these broader fields, their work spans subfields that include Economics and Econometrics, Finance, General Economics, Econometrics and Finance, Renewable Energy, Sustainability and the Environment, and Accounting.

Their research covers a diverse set of topics, particularly focusing on Market Dynamics and Volatility, Financial Risk and Volatility Modeling, Complex Systems and Time Series Analysis, Monetary Policy and Economic Impact, Energy, Environment, and Economic Growth, Financial Markets and Investment Strategies, and Housing Market and Economics.

Among recent papers authored by Massimiliano Caporin are:

  • Asymmetric and time-frequency spillovers among commodities using high-frequency data (2020, Resources Policy)
  • Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach (2021, Padua Research Archive, University of Padua)

Massimiliano Caporin frequently collaborates with several co-authors, including Juan-Ángel Jiménez-Martín (12 joint publications), Runfeng Yang (10), Bekhzod Kuziboev (9), Fulvio Fontini (7), and Syed Jawad Hussain Shahzad (6).

The scientist's work has been published in outlets such as the SSRN Electronic Journal, Energy Economics, The North American Journal of Economics and Finance, Resources Policy, and Empirical Economics. Notably, the SSRN Electronic Journal houses the largest number of their publications, totaling 34.

Best Publications

  • Measuring Sovereign Contagion in Europe

    Massimiliano Caporin;Loriana Pelizzon;Francesco Ravazzolo;Roberto Rigobon

  • Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

    Massimiliano Caporin;Michael McAleer

  • Flexible Dynamic Conditional Correlation Multivariate GARCH models for Asset Allocation

    Monica Billio;Massimiliano Caporin;Michele Gobbo

  • A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance

    Silvia Blasi;Massimiliano Caporin;Fulvio Fontini

  • Multivariate Markov Switching Dynamic Conditional Correlation GARCH representations for contagion analysis

    Monica Billio;Massimiliano Caporin

  • Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

    Monica Billio;Massimiliano Caporin

  • Ten Things You Should Know About the Dynamic Conditional Correlation Representation

    Massimiliano Caporin;Michael McAleer

  • Measuring sovereign contagion in Europe

    Massimiliano Caporin;Loriana Pelizzon;Francesco Ravazzolo;Roberto Rigobon

  • A generalized Dynamic Conditional Correlation model for portfolio risk evaluation

    Monica Billio;Massimiliano Caporin

  • The long-run oil–natural gas price relationship and the shale gas revolution

    Massimiliano Caporin;Fulvio Fontini

  • A Survey on the Four Families of Performance Measures

    Massimiliano Caporin;Grégory M. Jannin;Francesco Lisi;Bertrand Maillet

  • A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES

    Massimiliano Caporin;Grégory M. Jannin;Francesco Lisi;Bertrand B. Maillet

  • Scalar BEKK and indirect DCC

    Massimiliano Caporin;Michael McAleer

  • Do We Really Need Both BEKK and DCC?: A Tale of Two Covariance Models

    Massimiliano Caporin;Michael McAleer

  • Measuring Sovereign Contagion in Europe

    Massimiliano Caporin;Loriana Pelizzon;Loriana Pelizzon;Loriana Pelizzon;Francesco Ravazzolo;Francesco Ravazzolo;Roberto Rigobon;Roberto Rigobon

  • On the Predictability of Stock Prices: A Case for High and Low Prices

    Massimiliano Caporin;Angelo Ranaldo;Paolo Santucci de Magistris

  • Asymmetric and time-frequency spillovers among commodities using high-frequency data

    Massimiliano Caporin;Muhammad Abubakr Naeem;Muhammad Abubakr Naeem;Muhammad Arif;Mudassar Hasan

  • Evaluating value-at-risk measures in the presence of long memory conditional volatility

    Massimiliano Caporin

  • Systemic co-jumps☆

    Massimiliano Caporin;Alekesey Kolokolov;Roberto Renò

  • Volatility Threshold Dynamic Conditional Correlations: An International Analysis

    Maria Kasch;Massimiliano Caporin

  • Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

    Massimiliano Caporin;Michael McAleer

  • The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk

    Giovanni Bonaccolto;Massimiliano Caporin;Rangan Gupta

  • Model Selection and Testing of Conditional and Stochastic Volatility Models

    Massimiliano Caporin;Michael McAleer

  • Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility

    Massimiliano Caporin

Frequent Co-Authors

Michael McAleer
Michael McAleer Erasmus University Rotterdam
Loriana Pelizzon
Loriana Pelizzon Ca Foscari University of Venice
Monica Billio
Monica Billio Ca Foscari University of Venice
Shawkat Hammoudeh
Shawkat Hammoudeh Drexel University
Rangan Gupta
Rangan Gupta University of Pretoria
Syed Jawad Hussain Shahzad
Syed Jawad Hussain Shahzad Montpellier Business School
Walid Mensi
Walid Mensi Sultan Qaboos University
Anna Dreber
Anna Dreber Stockholm School of Economics
Elie Bouri
Elie Bouri Lebanese American University

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