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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

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...

Persistent link: https://www.econbiz.de/10009776381

Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models

Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 26 (2012) 4, pp. 736-751

Persistent link: https://www.econbiz.de/10009712816

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

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

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

Scalar BEKK and indirect DCC

Caporin, Massimiliano; McAleer, Michael - In: Journal of forecasting 27 (2008) 6, pp. 537-549

Persistent link: https://www.econbiz.de/10003761681

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

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

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

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