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Periodic long-memory GARCH models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2009) 1/3, pp. 60-82
Persistent link: https://www.econbiz.de/10003800657
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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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
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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
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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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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008664052
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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008695598
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A scientific classification of volatility models
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 24 (2010) 1, pp. 192-195
Persistent link: https://www.econbiz.de/10003948949
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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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Realized Range Volatility Forecasting : Dynamic Features and Predictive Variables
Caporin, Massimiliano - 2013
In this paper, we estimate, model and forecast Realized Range Volatility, a realized measure and estimator of the … forecasting daily stocks volatility. We consider an HAR model with asymmetric effects with respect to the volatility and the … return, and GARCH and GJR specifications for the variance equation. Moreover, we consider a non Gaussian distribution for the …
Persistent link: https://www.econbiz.de/10013076452