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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

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009619566

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009562985

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011571858

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 - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

Persistent link: https://www.econbiz.de/10014391446

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

A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management

Caporin, Massimiliano; Lisi, Francesco - In: The North American journal of economics and finance : a … 26 (2013), pp. 236-249

Persistent link: https://www.econbiz.de/10010365770

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

Backward/forward optimal combination of performance measures for equity screening

Billio, Monica; Caporin, Massimiliano; Costola, Michele - In: The North American journal of economics and finance : a … 34 (2015), pp. 63-83

Persistent link: https://www.econbiz.de/10011539679

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