My research interests belong to the broad topic of Financial Econometrics:
- Univariate and Multivariate models for conditional and realized variances, covariances and correlations: theory and applications in finance;
- Market, systematic and systemic risk: measurement, monitoring and forecasting with dynamic models;
- Active portfolio management: quantitative based strategies, performance evaluation of managed portfolios, benchmark construction, equity screening;
- High frequency data: development of trading strategies, empirical market microstructure, analysis with dynamic models;
- Financial contagion: detecting contagion with dynamic models;
- Spatial econometrics methods in finance;
- Weather and energy derivatives: dynamic modelling and model-based pricing.

Recent selected publications

1. Caporin, M., Jimenez-Martin, J.A., and Gonzales-Serrano, L., Currency hedging strategies and strategic benchmarks and the Global and Euro Sovereign financial crises, Journal of International Financial Markets Institutions and Money, forthcoming;
2. Baldovin, F., Camana, F., Caporin, M., Caraglio, M., and Stella, A., Ensemble properties of high frequency data and intraday trading rules, Quantitative Finance, forthcoming;
3. Caporin, M., Jannin, G.M., Lisi, F., and Maillet, B.B., A survey of the four families of performance measures, Journal of Economic Surveys, forthcoming, doi:10.1111/joes.12041;
4. Caporin, M., and Paruolo, P., Proximity-Structured Multivariate Volatility Models, Econometric Reviews, forthcoming, doi:10.1080/07474938.2013.807102;
5. Aielli, G.P., and Caporin, M., Variance clustering improved dynamic conditional correlation estimators, Computational Statistics and Data Analysis, forthcoming doi:10.1016/j.csda.2013.01.029;
6. Caporin, M., and McAleer, M., Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics and Data Analysis, forthcoming, doi:10.1016/j.csda.2012.05.012;
7. Bonato, M., Caporin, M., and Ranaldo, A., 2013, Risk spillovers in international equity portfolios, Journal of Empirical Finance, 24, 121-137, doi:10.1016/j.jempfin. 2013.09.005;
8. Caporin, M., Ranaldo, A., and Santucci de Magistris, P., 2013, On the Predictability of Stock Prices: a Case for High and Low Prices, Journal of Banking and Finance, 37, 5132-5146, doi:10.1016/j.jbankfin.2013.05.24;
9. Kasch, M., and Caporin, M., 2013, Volatility threshold dynamic conditional correlations: an International analysis, Journal of Financial Econometrics, 11, 706-742, doi:10.1093/jjfinec/nbs028;
10. Caporin, M., and Preś, J., 2013, Forecasting temperature indices density with time-varying long-memory models, Journal of Forecasting, 32, 339-352, doi:10.1002/for.1272;
11. Bonato, M., Caporin, M., and Ranaldo, A., 2012, A forecast based comparison of restricted Wishart Auto Regressive models for realized covariance matrices, European Journal of Finance, 18, 761-774, doi:10.1080/1351847X.2011.601629;
12. Caporin, M., and Lisi, F., 2012, On the role of risk in the Morningstar rating for funds, Quantitative Finance, 12, 1477-1486, doi:10.1080/146