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CAPORIN MASSIMILIANO
Recapiti
Avvisi e altre informazioni
Eventuali variazioni dell'orario di ricevimento saranno pubblicate sul Moodle di Scienze Statistice https://didattica.stat.unipd.it/
Orario di ricevimento
(aggiornato il 02/01/2018 21:29)
Proposte di tesi
Risk budgeting applications in portfolio allocation, risk management and benchmarking/indexing
Quantile regression methods and applications in finance The construction of a jump risk factor and the pricing of jump risks Curriculum Vitae
Aree di ricerca
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. Pubblicazioni
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 Insegnamenti dell'AA 2017/18
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