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subject:"Volatilität"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Caporin, Massimiliano"
~subject:"Aktienmarkt"
~subject:"United States"
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Volatilität
Zeitreihenanalyse
Aktienmarkt
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Estimation
15
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15
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7
Time series analysis
6
ARCH model
4
ARCH-Modell
4
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Caporin, Massimiliano
Gupta, Rangan
107
Gil-Alaña, Luis A.
51
Bahmani-Oskooee, Mohsen
35
Tiwari, Aviral Kumar
34
Balcilar, Mehmet
31
Wohar, Mark E.
31
Ma, Feng
28
Bouri, Elie
26
Marcellino, Massimiliano
25
Zaremba, Adam
25
Pierdzioch, Christian
23
Xuan Vinh Vo
23
Yoon, Seong-min
21
Chang, Tsangyao
20
Kang, Sang Hoon
20
Mensi, Walid
20
Caporale, Guglielmo Maria
19
Hammoudeh, Shawkat
19
Lee, Chien-chiang
18
Salisu, Afees A.
18
Zhang, Yaojie
18
Jawadi, Fredj
17
Todorov, Viktor
17
Ghysels, Eric
16
Narayan, Paresh Kumar
16
Wang, Yudong
15
Apergēs, Nikolaos
14
Demirer, Rıza
14
McMillan, David G.
14
Nonejad, Nima
14
Wei, Yu
14
Bollerslev, Tim
13
Forni, Mario
13
Gambetti, Luca
13
Li, Jia
13
Massa, Massimo
13
Sehgal, Sanjay
13
Shahzad, Syed Jawad Hussain
13
Timmermann, Allan
13
Wu, Xinyu
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Energy economics
2
International review of economics & finance : IREF
2
The North American journal of economics and finance : a journal of financial economics studies
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of econometrics
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1
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Iacopini, …
- In:
Energy economics
132
(
2024
),
pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
Saved in:
2
News and intraday jumps : evidence from regularization and class imbalance
Caporin, Massimiliano
;
Poli, Francesco
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013534219
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
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:
5
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
Saved in:
6
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
7
Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock
Caporin, Massimiliano
;
Fontini, Fulvio
;
Talebbeydokhti, …
- In:
Energy economics
79
(
2019
),
pp. 21-31
Persistent link: https://www.econbiz.de/10012172252
Saved in:
8
Time-varying persistence in US inflation
Caporin, Massimiliano
;
Gupta, Rangan
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
2
,
pp. 423-439
Persistent link: https://www.econbiz.de/10011988314
Saved in:
9
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Saved in:
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