Measuring sovereign contagion in Europe M Caporin, L Pelizzon, F Ravazzolo, R Rigobon Journal of Financial Stability 34, 150-181, 2018 | 339 | 2018 |
Flexible dynamic conditional correlation multivariate garch models for asset allocation M Billio, M Caporin, M Gobbo Applied Financial Economics Letters 2 (02), 123-130, 2006 | 241 | 2006 |
Do we really need both BEKK and DCC? A tale of two multivariate GARCH models M Caporin, M McAleer Journal of Economic Surveys 26 (4), 736-751, 2012 | 218 | 2012 |
A multidimensional analysis of the relationship between corporate social responsibility and firms' economic performance S Blasi, M Caporin, F Fontini Ecological Economics 147, 218-229, 2018 | 196 | 2018 |
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion M Billio, M Caporin Computational statistics & data analysis 54 (11), 2443-2458, 2010 | 166 | 2010 |
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis M Billio, M Caporin Statistical methods and applications 14 (2), 145-161, 2005 | 162 | 2005 |
Ten things you should know about the dynamic conditional correlation representation M Caporin, M McAleer Econometrics 1 (1), 115-126, 2013 | 153 | 2013 |
The long-run oil–natural gas price relationship and the shale gas revolution M Caporin, F Fontini Energy Economics 64, 511-519, 2017 | 117 | 2017 |
A generalized dynamic conditional correlation model for portfolio risk evaluation M Billio, M Caporin Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009 | 116 | 2009 |
A survey on the four families of performance measures M Caporin, GM Jannin, F Lisi, BB Maillet Journal of Economic Surveys 28 (5), 917-942, 2014 | 109 | 2014 |
Scalar BEKK and indirect DCC M Caporin, M McAleer Journal of Forecasting 27 (6), 537-549, 2008 | 91 | 2008 |
Systemic co-jumps M Caporin, A Kolokolov, R Renò Journal of Financial Economics 126 (3), 563-591, 2017 | 84 | 2017 |
On the predictability of stock prices: A case for high and low prices M Caporin, A Ranaldo, PS De Magistris Journal of Banking & Finance 37 (12), 5132-5146, 2013 | 81 | 2013 |
Evaluating value-at-risk measures in the presence of long memory conditional volatility M Caporin The Journal of Risk 10 (3), 79, 2008 | 76 | 2008 |
Asymmetric and time-frequency spillovers among commodities using high-frequency data M Caporin, MA Naeem, M Arif, M Hasan, XV Vo, SJH Shahzad Resources Policy 70, 101958, 2021 | 64 | 2021 |
Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024 | 60 | 2024 |
Comparing and selecting performance measures using rank correlations M Caporin, F Lisi Economics 5 (1), 20110010, 2011 | 60 | 2011 |
Do we really need both BEKK and DCC M Caporin, M McAleer A tale of two covariance models, 2009 | 56 | 2009 |
Modelling and forecasting wind speed intensity for weather risk management M Caporin, J Preś Computational Statistics & Data Analysis 56 (11), 3459-3476, 2012 | 55 | 2012 |
Generalised long-memory GARCH models for intra-daily volatility S Bordignon, M Caporin, F Lisi Computational Statistics & Data Analysis 51 (12), 5900-5912, 2007 | 55 | 2007 |