Massimiliano Caporin

14 papers Journal 14
YearRankTypeTitle / Venue / Authors
2026 J jnl
Towards a better understanding of financial and economic systems' complexities: some new evidence coming from artificial intelligence, machine learning and big data advanced technologies.
Ann. Oper. Res.
Hachmi Ben Ameur, Roberto Casarin, Massimiliano Caporin, Zied Ftiti, Bertrand B. Maillet
2024 J jnl
Early warnings of systemic risk using one-minute high-frequency data.
Expert Syst. Appl.
Massimiliano Caporin, Laura Garcia-Jorcano, Juan-Angel Jimenez-Martin
2024 J jnl
Time series clustering based on latent volatility mixture modeling with applications in finance.
Math. Comput. Simul.
F. Setoudehtazangi, Tahere Manouchehri, A. R. Nematollahi, Massimiliano Caporin
2022 J jnl
Dynamic large financial networks
Eur. J. Oper. Res.
Giovanni Bonaccolto, Massimiliano Caporin, Bertrand B. Maillet
2018 J jnl
Asset allocation strategies based on penalized quantile regression.
Comput. Manag. Sci.
Giovanni Bonaccolto, Massimiliano Caporin, Sandra Paterlini
2014 J jnl
Robust ranking of multivariate GARCH models by problem dimension.
Comput. Stat. Data Anal.
Massimiliano Caporin, Michael McAleer
2014 J jnl
Variance clustering improved dynamic conditional correlation MGARCH estimators.
Comput. Stat. Data Anal.
Gian Piero Aielli, Massimiliano Caporin
2013 J jnl
Fast clustering of GARCH processes via Gaussian mixture models.
Math. Comput. Simul.
Gian Piero Aielli, Massimiliano Caporin
2012 J jnl
Modelling and forecasting wind speed intensity for weather risk management.
Comput. Stat. Data Anal.
Massimiliano Caporin, Juliusz Pres
2010 J jnl
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion.
Comput. Stat. Data Anal.
Monica Billio, Massimiliano Caporin
2010 J jnl
Misspecification tests for periodic long memory GARCH models.
Stat. Methods Appl.
Massimiliano Caporin, Francesco Lisi
2009 J jnl
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation.
Math. Comput. Simul.
Monica Billio, Massimiliano Caporin
2007 J jnl
Generalised long-memory GARCH models for intra-daily volatility.
Comput. Stat. Data Anal.
Silvano Bordignon, Massimiliano Caporin, Francesco Lisi
2005 J jnl
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.
Stat. Methods Appl.
Monica Billio, Massimiliano Caporin