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Precious metals under the microscope : a high-frequency analysis
Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 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/10010407214
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...
Persistent link: https://www.econbiz.de/10013130487
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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016
-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase …
Persistent link: https://www.econbiz.de/10011544772
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The Cross-Section of Expected Jumps in Equity Returns
Caporin, Massimiliano - 2019
risk factors and are robust to different model specifications. Furthermore, the associated risk premium is very close to …
Persistent link: https://www.econbiz.de/10012898429
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The bank-sovereign nexus : evidence from a non-bailout episode
Caporin, Massimiliano; Natvik, Gisle J.; Ravazzolo, … - In: Journal of empirical finance 53 (2019), pp. 181-196
Persistent link: https://www.econbiz.de/10012171688
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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Aleksey; Renò, Roberto - In: Journal of financial economics 126 (2017) 3, pp. 563-591
Persistent link: https://www.econbiz.de/10011818207
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
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Measuring climate transition risk spillovers
Caporin, Massimiliano; Jiménez-Martin, Juan-Angel - In: Review of finance : journal of the European Finance … 28 (2024) 2, pp. 447-481
Persistent link: https://www.econbiz.de/10014527213
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Do Jumps Matter in Realized Volatility Modeling and Forecasting? Empirical Evidence and a New Model
Caporin, Massimiliano - 2020
Building on an extensive empirical analysis I investigate the relevance of jumps and signed variations in predicting Realized Volatility. I show that properly accounting for intra-day volatility patterns and staleness sensibly reduces the identified jumps. Realized Variance decompositions based...
Persistent link: https://www.econbiz.de/10014095241
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Networks in Risk Spillovers : A Multivariate GARCH Perspective
Billio, Monica - 2016
We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on … observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers …, (ii) investigating the role of portfolio composition in risk transfer, and (iii) computing target exposure structures able …
Persistent link: https://www.econbiz.de/10012997533