Servizio momentaneamente sospeso per manutenzione.
Rubrica
Qualifica
Professore Ordinario
Struttura
Indirizzo
VIA CESARE BATTISTI, 241/243 - PADOVA
Telefono
0498274199
Avvisi
Orari di ricevimento
Il Lunedì dalle 10:00 alle 12:00
Dipartimento di Scienze Statistiche - Via Battisti 241 - Stanza 133L'orario di ricevimento è valido durante il periodo didattico (rimane escluso il periodo delle sessioni d'esame). Gli studenti sono invitati ad anticipare via email al docente la presenza a ricevimento. Ricevimenti in altri periodi, o in altro orario, dovranno essere preventivamente concordati con il docente via email.
Office hours are valid during the teaching period (excluding exam sessions). Students are invited to inform the professor in advance of their presence at the office hours via email. Meetings in other periods, or at other times, must be agreed in advance with the professor via email.Il Venerdì dalle 10:00 alle 12:00
Dipartimento di Scienze Statistiche - Via Battisti 241 - Stanza 133L'orario di ricevimento è valido durante il periodo didattico (rimane escluso il periodo delle sessioni d'esame). Gli studenti sono invitati ad anticipare via email al docente la presenza a ricevimento. Ricevimenti in altri periodi, o in altro orario, dovranno essere preventivamente concordati con il docente via email.
Office hours are valid during the teaching period (excluding exam sessions). Students are invited to inform the professor in advance of their presence at the office hours via email. Meetings in other periods, or at other times, must be agreed in advance with the professor via email.
Insegnamenti
QUANTITATIVE ASSET ALLOCATION, AA 2025 (SCQ5110303)
QUANTITATIVE RISK MANAGEMENT, AA 2025 (SCQ3102324)
QUANTITATIVE RISK MANAGEMENT, AA 2025 (INQ4105961)
ANALISI DEI DATI IN FINANZA, AA 2024 (SCP4063304)
QUANTITATIVE RISK MANAGEMENT, AA 2024 (SCQ3102324)
REGRESSION AND TIME SERIES MODELS, AA 2024 (SCQ3102243)
ANALISI DEI DATI IN FINANZA, AA 2023 (SCP4063304)
METODI STATISTICI PER LA FINANZA, AA 2023 (SCP4063664)
REGRESSION AND TIME SERIES MODELS, AA 2023 (SCQ3102243)
Pubblicazioni
Recent selected publications
- Caporin, M., Corazzini, L., and Costola, M., 2018, Measuring the Behavioural Component of the S&P 500 and Its Relationship to Financial Stress and Aggregated Earnings Surprises, British Journal of Management, forthcoming;
- Blasi, S., Caporin, M., and Fontini, F., 2018, A multidimensional analysis of the relationship between firms’ Corporate Social Responsibility activities and their economic performance, Ecological Economics, doi:10.1016/j.ecolecon.2018.01.014;
- Caporin, M., Pelizzon, L., Ravazzolo, F., and Rigobon, R., 2018, Sovereign contagion in Europe, Journal of Financial Stability, doi:10.1016/j.jfs.2017.12.004;
- Bonaccolto, G., Caporin, M., and Paterlini, S., 2018, Asset allocation with penalized quantile regression, Computational Management Science, doi:10.1007/s10287-017-0288-3;
- Caporin, M., Costola, M, Jannin, J., and Maillet, B., 2018, On the (Ab)Use of Omega?, Journal of Empirical Finance, doi:10.1016/j.jempfin.2017.11.007;
- Caporin, M., Kolokolov, A., and Renò, R., 2017, Systemic co-jumps, Journal of Financial Economics, doi:10.1016/j.jfineco.2017.06.016;
- Caporin, M., and Fontini, F., 2017, The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution, Energy Economics, 64, 511-519, doi:10.1016/j.eneco.2016.07.024;
- Caporin, M., Rossi, E, and Santucci de Magistris, P., 2017, Chasing volatility: a persistent multiplicative error component model with jumps, Journal of Econometrics, 198-1, 122-145, doi:10.1016/j.jeconom.2017.01.005;
- Caporin, M., Khalifa, A., and Hammoudeh, S., 2017, The relationship between oil prices and rig counts: The importance of lags, Energy Economics, 63, 213-226, doi:10.1016/j.eneco.2017.01.015;
- Caporin, M., Rossi, E., and Santucci de Magistris, P., 2016, Volatility jumps and their economic determinants, Journal of Financial Econometrics, 14-1, 29-80, doi:10.1093/jjfinec/nbu028;
- Billio, M., Caporin, M., and Costola, M., 2015, Backward/Forward optimal combination of performance measures, North American Journal of Economics and Finance, 34, C, 63-83, doi:10.1016/j.najef.2015.08.002;
- Asai, M., Caporin, M., and McAleer, M., 2015, Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models, International Review of Economics and Finance, 40, C, 40-50, doi:10.1016/j.iref.2015.02.004;
- Caporin, M., and Velo, G., 2015, Forecasting realized range volatility: dynamic features and predictive variables, International Review of Economics and Finance, 40, C, 98-112 doi:10.1016/j.iref.2015.02.021;
- Caporin, M., Hammoudeh, S., and Khalifa, A., 2015, Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle, Energy Policy, 87, 72-82, doi:10.1016/j.enpol.2015.08.039;
- Baldovin, F., Caporin, M., Caraglio, M., Stella, A., and Zamparo, M., 2015, Option pricing with non-Gaussian scaling and infinite-state switching volatility, Journal of Econometrics, 187, 486-497, doi:10.1016/j.jeconom.2015.02.033.
Area di ricerca
My research interests belong to the broad topic of Financial Time Series and 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;
- Energy Finance;
- Weather and energy derivatives: dynamic modelling and model-based pricing.
Tesi proposte
For master students (Laurea Magistrale)
- Modeling irregularly sampled financial time series for applications in trading
- Comparing approaches for the estimation of intra-day periodicity in financial data (toward HF seasonal adjustment)
- Principal Volatility Components: applications for asset allocation and risk monitoring
- Stochastic volatility models with simple estimation, univariate and multivariate analyses
- Tail Pairwise Dependence Matrices: empirical application and a challenge to dynamic evolution
- Matrix-valued autoregression on HF data for algorithmic trading using Bollinger bands;
- Matrix-valued autoregression for the extraction of factors from asset characteristics and the application in factor models and in cross-sectional factor extractions (the MAR-based factors are the "compressed" characteristics used for the cross-sectional factor estimation);
- quantum methods in finance, where do we stand? survey and, if possible, small application
- quantum asset allocation: can we legerage quantum computing to solve complex asset allocation problems?
- quantum and ALM for pension plan management;
- Realized interdependences: i) simulation on the iterated OLS approach; ii) multiple Gamma measures
- Analysis of durations: day-by-day ACD models and unconditional duration tail index
- realized skewness and kurtosis: PCA on high frequency data; modelling for detecting higher order interdependence;
- OK (candlestick) estimator of volatility in the presence of jumps and staleness
- Multivariate Marked Hawkes processes for signed best quote movements
- Dynamic models for Interval Valued time series and applications in finance
- A comparison of current implementations of Multivariate GARCH models: contrasting Python, R and Matlab
