Massimiliano Caporin

Orcid: 0000-0001-5014-5951

Affiliations:
  • University of Padova, Italy


According to our database1, Massimiliano Caporin authored at least 13 papers between 2005 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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PhD thesis 
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Bibliography

2024
Time series clustering based on latent volatility mixture modeling with applications in finance.
Math. Comput. Simul., 2024

Early warnings of systemic risk using one-minute high-frequency data.
Expert Syst. Appl., 2024

2022
Dynamic large financial networks <i>via</i> conditional expected shortfalls.
Eur. J. Oper. Res., 2022

2018
Asset allocation strategies based on penalized quantile regression.
Comput. Manag. Sci., 2018

2014
Robust ranking of multivariate GARCH models by problem dimension.
Comput. Stat. Data Anal., 2014

Variance clustering improved dynamic conditional correlation MGARCH estimators.
Comput. Stat. Data Anal., 2014

2013
Fast clustering of GARCH processes via Gaussian mixture models.
Math. Comput. Simul., 2013

2012
Modelling and forecasting wind speed intensity for weather risk management.
Comput. Stat. Data Anal., 2012

2010
Misspecification tests for periodic long memory GARCH models.
Stat. Methods Appl., 2010

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion.
Comput. Stat. Data Anal., 2010

2009
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation.
Math. Comput. Simul., 2009

2007
Generalised long-memory GARCH models for intra-daily volatility.
Comput. Stat. Data Anal., 2007

2005
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.
Stat. Methods Appl., 2005


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