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1
Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano
;
Preś, Juliusz
;
Torro, Hipolit
- In:
Energy economics
34
(
2012
)
5
,
pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
Saved in:
2
Forecasting temperature indices density with time-varying long-memory models
Caporin, Massimiliano
;
Preś, Juliusz
- In:
Journal of forecasting
32
(
2013
)
4
,
pp. 339-352
Persistent link: https://www.econbiz.de/10009775500
Saved in:
3
Evaluating value-at-risk measures in the presence of long memory conditional volatility
Caporin, Massimiliano
- In:
Journal of risk
10
(
2007/08
)
3
,
pp. 79-110
Persistent link: https://www.econbiz.de/10003698909
Saved in:
4
Variance (non) causality in multivariate GARCH
Caporin, Massimiliano
- In:
Econometric reviews
26
(
2007
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10003509003
Saved in:
5
Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 261-275
Persistent link: https://www.econbiz.de/10009779255
Saved in:
6
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
Saved in:
7
Dating EU15 monthly business cycle jointly using GDP and IPI
Billio, Monica
;
Caporin, Massimiliano
;
Cazzavillan, Guido
- In:
Journal of business cycle measurement and analysis : a …
3
(
2007
)
3
,
pp. 333-366
Persistent link: https://www.econbiz.de/10003741520
Saved in:
8
Dynamic asymmetric GARCH
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 385-412
Persistent link: https://www.econbiz.de/10003354083
Saved in:
9
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
Saved in:
10
The ten commandments for managing investments
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of economic surveys
24
(
2010
)
1
,
pp. 196-200
Persistent link: https://www.econbiz.de/10003948951
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