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subject:"Innovation"
type_genre:"Sammlung"
~person:"Caporin, Massimiliano"
~person:"Meddahi, Nour"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
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Innovation
Volatility
Theorie
38
Theory
38
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20
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11
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11
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7
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7
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6
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Caporin, Massimiliano
Meddahi, Nour
McAleer, Michael
22
Gupta, Rangan
21
Malerba, Franco
21
Bollerslev, Tim
20
Antonelli, Cristiano
18
Lambertini, Luca
17
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16
Dosi, Giovanni
16
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15
Asai, Manabu
15
Audretsch, David B.
14
Chu, Angus C.
13
Denicolò, Vincenzo
13
Wang, Yudong
13
Cozzi, Guido
12
Herwartz, Helmut
12
Mukherjee, Arijit
12
Renault, Eric
12
Batabyal, Amitrajeet A.
11
Westerhoff, Frank H.
11
Aït-Sahalia, Yacine
10
Chan, Joshua
10
Choi, Jay Pil
10
Fouque, Jean-Pierre
10
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10
Mele, Antonio
10
Sircar, Kaushik Ronnie
10
Stadler, Manfred
10
Teece, David J.
10
Yu, Jun
10
Zhang, Jie
10
Baumol, William J.
9
Bekaert, Geert
9
Caporale, Guglielmo Maria
9
Escobar, Marcos
9
Hafner, Christian M.
9
Li, Shoude
9
Maheu, John M.
9
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Econometric reviews
3
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3
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2
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1
Econometric theory
1
Economics letters
1
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1
International review of economics & finance : IREF
1
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ECONIS (ZBW)
20
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 261-275
Persistent link: https://www.econbiz.de/10009779255
Saved in:
10
Bootstrapping realized multivariate volatility measures
Dovonon, Prosper
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Journal of econometrics
172
(
2013
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
Saved in:
1
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