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Publications by Massimiliano Caporin

Measuring the Behavioural Component of the S&P 500 and Its Relationship to Financial Stress and Aggregated Earnings Surprises

British Journal of Management
ManagementBusinessStrategyInnovationAccountingManagement of Technology
2018English

Volatility Jumps and Their Economic Determinants

Journal of Financial Econometrics
EconomicsEconometricsFinance
2014English

Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

International Review of Economics and Finance
EconomicsFinanceEconometrics
2015English

Precious Metals Under the Microscope: A High-Frequency Analysis

Quantitative Finance
EconomicsEconometricsFinance
2014English

On the Role of Risk in the Morningstar Rating for Mutual Funds

Quantitative Finance
EconomicsEconometricsFinance
2012English

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

SSRN Electronic Journal
2013English

CDS Industrial Sector Indices, Credit and Liquidity Risk

2013English

A Scientific Classification of Volatility Models

SSRN Electronic Journal
2008English

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