Massimiliano Caporin

According to our database, Massimiliano Caporin authored at least 14 papers between 2005 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2026

Towards a better understanding of financial and economic systems' complexities: some new evidence coming from artificial intelligence, machine learning and big data advanced technologies.

Hachmi Ben Ameur, Roberto Casarin, Massimiliano Caporin, Zied Ftiti, Bertrand B. Maillet

Ann. Oper. Res., February, 2026

2024

Time series clustering based on latent volatility mixture modeling with applications in finance.

F. Setoudehtazangi, Tahere Manouchehri, A. R. Nematollahi, Massimiliano Caporin

Math. Comput. Simul., 2024

Early warnings of systemic risk using one-minute high-frequency data.

Massimiliano Caporin, Laura Garcia-Jorcano, Juan-Angel Jimenez-Martin

Expert Syst. Appl., 2024

2022

Dynamic large financial networks <i>via</i> conditional expected shortfalls.

Giovanni Bonaccolto, Massimiliano Caporin, Bertrand B. Maillet

Eur. J. Oper. Res., 2022

2018

Asset allocation strategies based on penalized quantile regression.

Giovanni Bonaccolto, Massimiliano Caporin, Sandra Paterlini

Comput. Manag. Sci., 2018

2014

Robust ranking of multivariate GARCH models by problem dimension.

Massimiliano Caporin, Michael McAleer

Comput. Stat. Data Anal., 2014

Variance clustering improved dynamic conditional correlation MGARCH estimators.

Gian Piero Aielli, Massimiliano Caporin

Comput. Stat. Data Anal., 2014

2013

Fast clustering of GARCH processes via Gaussian mixture models.

Gian Piero Aielli, Massimiliano Caporin

Math. Comput. Simul., 2013

2012

Modelling and forecasting wind speed intensity for weather risk management.

Massimiliano Caporin, Juliusz Pres

Comput. Stat. Data Anal., 2012

2010

Misspecification tests for periodic long memory GARCH models.

Massimiliano Caporin, Francesco Lisi

Stat. Methods Appl., 2010

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion.

Monica Billio, Massimiliano Caporin

Comput. Stat. Data Anal., 2010

2009

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation.

Monica Billio, Massimiliano Caporin

Math. Comput. Simul., 2009

2007

Generalised long-memory GARCH models for intra-daily volatility.

Silvano Bordignon, Massimiliano Caporin, Francesco Lisi

Comput. Stat. Data Anal., 2007

2005

Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.

Monica Billio, Massimiliano Caporin

Stat. Methods Appl., 2005