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subject:"Volatilität"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Caporin, Massimiliano"
~subject:"United States"
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Volatilität
Zeitreihenanalyse
United States
Estimation
14
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6
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5
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3
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3
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Caporin, Massimiliano
Gupta, Rangan
89
Gil-Alaña, Luis A.
45
Bahmani-Oskooee, Mohsen
35
Balcilar, Mehmet
26
Ma, Feng
25
Marcellino, Massimiliano
25
Wohar, Mark E.
25
Bouri, Elie
23
Tiwari, Aviral Kumar
23
Pierdzioch, Christian
21
Xuan Vinh Vo
20
Caporale, Guglielmo Maria
16
Chang, Tsangyao
16
Todorov, Viktor
16
Kang, Sang Hoon
15
Lee, Chien-chiang
15
Apergēs, Nikolaos
14
Ghysels, Eric
14
Mensi, Walid
14
Nonejad, Nima
14
Salisu, Afees A.
14
Bollerslev, Tim
13
Forni, Mario
13
Gambetti, Luca
13
Hammoudeh, Shawkat
13
Jawadi, Fredj
13
Li, Jia
13
Massa, Massimo
13
Timmermann, Allan
13
Wang, Yudong
13
Wei, Yu
13
Yoon, Seong-min
13
Chan, Joshua
12
Wu, Xinyu
12
Zhu, Huiming
12
Kelly, Bryan T.
11
Kumar, Dilip
11
Narayan, Paresh Kumar
11
Shi, Yanlin
11
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International review of economics & finance : IREF
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
Journal of econometrics
1
Journal of empirical finance
1
The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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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