Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. - Monica Billio; Massimiliano Caporin (Stat. Methods Appl., 2005)

Generalised long-memory GARCH models for intra-daily volatility. - Silvano Bordignon; Massimiliano Caporin; Francesco Lisi (Comput. Stat. Data Anal., 2007)

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation. - Monica Billio; Massimiliano Caporin (Math. Comput. Simul., 2009)

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. - Monica Billio; Massimiliano Caporin (Comput. Stat. Data Anal., 2010)

Misspecification tests for periodic long memory GARCH models. - Massimiliano Caporin; Francesco Lisi (Stat. Methods Appl., 2010)

Modelling and forecasting wind speed intensity for weather risk management. - Massimiliano Caporin; Juliusz Pres (Comput. Stat. Data Anal., 2012)

Fast clustering of GARCH processes via Gaussian mixture models. - Gian Piero Aielli; Massimiliano Caporin (Math. Comput. Simul., 2013)

Variance clustering improved dynamic conditional correlation MGARCH estimators. - Gian Piero Aielli; Massimiliano Caporin (Comput. Stat. Data Anal., 2014)

Robust ranking of multivariate GARCH models by problem dimension. - Massimiliano Caporin; Michael McAleer (Comput. Stat. Data Anal., 2014)

Asset allocation strategies based on penalized quantile regression. - Giovanni Bonaccolto; Massimiliano Caporin; Sandra Paterlini (Comput. Manag. Sci., 2018)

Dynamic large financial networks via conditional expected shortfalls. - Giovanni Bonaccolto; Massimiliano Caporin; Bertrand B. Maillet (Eur. J. Oper. Res., 2022)

Early warnings of systemic risk using one-minute high-frequency data. - Massimiliano Caporin; Laura Garcia-Jorcano; Juan-Angel Jimenez-Martin (Expert Syst. Appl., 2024)

Time series clustering based on latent volatility mixture modeling with applications in finance. - F. Setoudehtazangi; T. Manouchehri; A. R. Nematollahi; Massimiliano Caporin (Math. Comput. Simul., 2024)