Massimiliano Caporin

Finance · 2006–2021

A researcher in the Science corpus: 8 papers; trusts 40 researchers and is trusted by 10 researchers here, as inferred from the citation graph.

Subfields

• Finance — 114 citations into it; #3,849 of 10,518 by trust here, #3,009 by citations
• Economics and Econometrics — 110 citations into it; #11,053 of 23,481 by trust here, #7,584 by citations
• Strategy and Management — 23 citations into it
• Marketing — 15 citations into it
• Statistics and Probability — 12 citations into it
• Accounting — 10 citations into it
• Management Science and Operations Research — 5 citations into it; #7,285 of 11,946 by trust here, #10,392 by citations

Whom Massimiliano Caporin trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Tim Bollerslev
3. F. Longin
4. Cecilia Mancini
5. Fulvio Corsi
6. Ole E. Barndorff-Nielsen
7. Y. Amihud
8. Suzanne S. Lee
9. Kevin Sheppard
10. Monica Billio

Who trusts Massimiliano Caporin overall

1. P. Claeys
2. Tilmann Gneiting
3. Claudio Pacati
4. Michael Mcaleer
5. M. Nieto
6. D. Broadstock
7. Pilar Abad
8. Bořek Vašíček
9. Gabriele Pompa
10. Esther Ruiz

Papers from Massimiliano Caporin's perspective

Ordered by how strongly the researchers Massimiliano Caporin trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
4. Dynamic Conditional Correlation
5. The jump-risk premia implicit in options: evidence from an integrated time-series study $
6. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
7. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
8. Extreme Correlation of International Equity Markets
9. A Simple Approximate Long-Memory Model of Realized Volatility
10. Separating Microstructure Noise from Volatility

Their papers

• Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (2009) — 51 citations
• Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility (2008) — 54 citations
• Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation (2006) — 170 citations
• Measuring Sovereign Contagion in Europe (2014) — 257 citations
• Systemic Co-Jumps (2017) — 70 citations
• Asymmetric and time-frequency spillovers among commodities using high-frequency data (2021) — 63 citations
• A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance (2018) — 142 citations
• Ten Things You Should Know About the Dynamic Conditional Correlation Representation (2013) — 117 citations