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Publications by M. Caporin
Volatility Threshold Dynamic Conditional Correlations: An International Analysis
Journal of Financial Econometrics
Economics
Econometrics
Finance
The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
Physica A: Statistical Mechanics and its Applications
Statistics
Condensed Matter Physics
Probability
Related publications
Dynamic Conditional Correlations for Asymmetric Processes
JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Seasonality and Asymmetric Conditional Volatility: An Analysis of Indian Vix
Volume 9 Issue 2 (2018)
Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach
Journal of Financial Econometrics
Economics
Econometrics
Finance
Conditional Correlations and Principal Regression Analysis for Futures
SSRN Electronic Journal
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility
SSRN Electronic Journal
A Stochastic Volatility Model With Conditional Skewness
Journal of Business and Economic Statistics
Economics
Probability
Uncertainty
Social Sciences
Statistics
Econometrics
Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot Using Dynamic Conditional Covariances
Energy
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Monitoring
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Electrical
Policy
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Energy Engineering
Sustainability
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Law
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Fuel Technology
Structural Engineering
Simulation
Power Technology
Pollution
Industrial
Civil
Energy
the Environment
Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
SSRN Electronic Journal
Multivariate Option Pricing With Time Varying Volatility and Correlations
SSRN Electronic Journal
