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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 - 2016
The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of … three leading energy commodities, namely crude oil, natural gas and ethanol, using intra-day data. The detailed analysis of …
Persistent link: https://www.econbiz.de/10011451515
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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 - 2016 - Revised: February 2016
The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of … three leading energy commodities, namely crude oil, natural gas and ethanol, using intra-day data. The detailed analysis of …
Persistent link: https://www.econbiz.de/10011441584
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Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion
Billio, Monica; Caporin, Massimiliano - 2007
We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...
Persistent link: https://www.econbiz.de/10003912121
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Asymmetry and Uncertainty Across Energy and FX Markets
Khalifa, Ahmed A.A. - 2014
uncertainty on the interactions across energy and foreign exchange markets. The results show that the ARCH coefficients monitoring … the impact for the "own" shocks (currency on currency and energy on energy) are in almost all cases statistically … also for currencies independently of the presence of energy commodities in the bivariate model. Finally, for natural gas …
Persistent link: https://www.econbiz.de/10013044297
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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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Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
Billio, Monica; Caporin, Massimiliano - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007
We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...
Persistent link: https://www.econbiz.de/10005057154
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Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
Caporin, Massimiliano; Jimenez-Martin, Juan-Angel; … - In: Journal of International Financial Markets, … 31 (2014) C, pp. 159-177
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10011041518
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Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10013074792
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Precious Metals Under the Microscope: A High-Frequency Analysis
Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G. - School of Finance, Universität St. Gallen - 2014
Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...
Persistent link: https://www.econbiz.de/10011154569
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The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
Caporin, Massimiliano; Fontini, Fulvio - Volkswirtschaftliche Fakultät, … - 2014
Venice (Italy) is built on several islands inside a lagoon. It undergoes a periodical �ooding phenomenon, called "Acqua Alta" (AA). A system of mobile dams, called Mo.S.E., is currently under construction to protect it. When needed, several fl�oodgates will be lifted to separate the lagoon...
Persistent link: https://www.econbiz.de/10011258762