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Structured Multivariate Volatility Models
Caporin, Massimiliano - 2009
This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …
Persistent link: https://www.econbiz.de/10012719984
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Proximity-Structured Multivariate Volatility Models
Caporin, Massimiliano - 2013
In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …
Persistent link: https://www.econbiz.de/10013095932
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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Caporin, Massimiliano - 2010
The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK and DCC. It is well known that BEKK...
Persistent link: https://www.econbiz.de/10013148083
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Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
Aielli, Gian Piero - 2011
Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …
Persistent link: https://www.econbiz.de/10013125314
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Analytical Gradients of Dynamic Conditional Correlation models
Caporin, Massimiliano - 2011
In this note we provide the analytical gradient of the full model likelihood of the DCC specification of Engle (2002), the generalized version of Cappiello et al. (2006), and of the cDCC model of Aielli (2008)
Persistent link: https://www.econbiz.de/10013132023
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Billio, Monica; Caporin, Massimiliano; Gobbo, Michele - In: Applied financial economics letters 2 (2006) 2, pp. 123-130
Persistent link: https://www.econbiz.de/10003302525
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Volatility threshold dynamic conditional correlations : an international analysis
Kasch-Haroutounian, Maria; Caporin, Massimiliano - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 706-742
Persistent link: https://www.econbiz.de/10010233862
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Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica (contributor); Gobbo, Michele (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003376752
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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and...
Persistent link: https://www.econbiz.de/10011544772