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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
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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
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The relationship between oil prices and rig counts : the importance of lags
Khalifa, Ahmed; Caporin, Massimiliano; Hammoudeh, Shawkat - In: Energy economics 63 (2017), pp. 213-226
Persistent link: https://www.econbiz.de/10011757926
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The long-run oil-natural gas price relationship and the shale gas revolution
Caporin, Massimiliano; Fontini, Fulvio - In: Energy economics 64 (2017), pp. 511-519
Persistent link: https://www.econbiz.de/10011759006
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Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
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The systemic risk of US oil and natural gas companies
Caporin, Massimiliano; Fontini, Fulvio; Panzica, … - In: Energy economics 121 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014438692
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Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1713
Persistent link: https://www.econbiz.de/10010002892
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The relationship between day-ahead and future prices in electricity markets : an empirical analysis on Italy, France, Germany, and Switzerland
Bonaldo, Cinzia; Caporin, Massimiliano; Fontini, Fulvio - In: Energy economics 110 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013349919
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Time-varying Granger causality tests in the energy markets : a study on the DCC-MGARCH Hong test
Caporin, Massimiliano; Costola, Michele - In: Energy economics 111 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013350204