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subject:"Innovation"
type_genre:"Sammlung"
~person:"Caporin, Massimiliano"
~person:"Meddahi, Nour"
~subject:"Schätzung"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
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Innovation
Schätzung
Volatility
Theorie
38
Theory
38
Volatilität
20
ARCH model
11
ARCH-Modell
11
Portfolio selection
7
Portfolio-Management
7
Capital income
6
Estimation
6
Forecasting model
6
Kapitaleinkommen
6
Prognoseverfahren
6
Time series analysis
6
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5
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22
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24
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English
22
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Caporin, Massimiliano
Meddahi, Nour
Gil-Alaña, Luis A.
35
Gupta, Rangan
35
Caporale, Guglielmo Maria
32
Serletis, Apostolos
28
Bollerslev, Tim
26
McAleer, Michael
26
Kumbhakar, Subal
25
Wohar, Mark E.
22
Herwartz, Helmut
21
Malerba, Franco
21
Ghysels, Eric
20
Antonelli, Cristiano
19
Bahmani-Oskooee, Mohsen
19
Dosi, Giovanni
17
Fabozzi, Frank J.
17
Koopman, Siem Jan
17
Lambertini, Luca
17
Moosa, Imad A.
17
Aghion, Philippe
16
Bekaert, Geert
16
Tiwari, Aviral Kumar
16
Andersen, Torben
15
Asai, Manabu
15
Audretsch, David B.
15
Chan, Joshua
15
MacDonald, Ronald
15
Nijkamp, Peter
15
Wang, Yudong
15
Apergēs, Nikolaos
14
Aït-Sahalia, Yacine
14
Chang, Tsangyao
14
Diebold, Francis X.
14
Härdle, Wolfgang
14
Pierdzioch, Christian
14
Acemoglu, Daron
13
Batabyal, Amitrajeet A.
13
Blundell, Richard W.
13
Chu, Angus C.
13
Denicolò, Vincenzo
13
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Econometric reviews
3
Journal of econometrics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
The North American journal of economics and finance : a journal of financial economics studies
2
Applied economics
1
Econometric theory
1
Economics letters
1
International economic review
1
International review of economics & finance : IREF
1
Journal of applied econometrics
1
Journal of banking & finance
1
Journal of economic surveys
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
22
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1
The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
Saved in:
2
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Billio, Monica
;
Caporin, Massimiliano
;
Panzica, Roberto …
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 196-223
Persistent link: https://www.econbiz.de/10014343115
Saved in:
3
Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach
Caporin, Massimiliano
;
Gupta, Rangan
;
Ravazzolo, Francesco
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667335
Saved in:
4
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.
;
Caporin, Massimiliano
;
Zambon, N.
- In:
The European journal of finance
27
(
2021
)
11
,
pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
Saved in:
5
Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Paterlini, …
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
Saved in:
6
Asymmetry and leverage in GARCH models : a News Impact Curve perspective
Caporin, Massimiliano
;
Costola, Michele
- In:
Applied economics
51
(
2019
)
31
,
pp. 3345-3364
Persistent link: https://www.econbiz.de/10012196836
Saved in:
7
Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 122-145
Persistent link: https://www.econbiz.de/10011818372
Saved in:
8
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Econometric theory
33
(
2017
)
4
,
pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
Saved in:
9
Volatility jumps and their economic determinants
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 29-80
Persistent link: https://www.econbiz.de/10011588534
Saved in:
10
Proximity-structured multivariate volatility models
Caporin, Massimiliano
;
Paruolo, Paolo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
Saved in:
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