Address book

Contacts

Staff Structures

MASSIMILIANO CAPORIN

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Position

Professore Ordinario

Structure

Dipartimento di Scienze Statistiche

Address

VIA CESARE BATTISTI, 241/243 - PADOVA

Telephone

0498274199

E-mail

massimiliano.caporin@unipd.it

Notices

Students are invited to control for possible notices and communications on the Moodle STEM https://stem.elearning.unipd.it/ before showing up during office hours.

Office hours

  • Monday from 10:00 to 12:00
    at Dipartimento di Scienze Statistiche - Via Battisti 241 - Stanza 133
    L'orario di ricevimento è valido durante il periodo didattico. Per ricevimenti in altri periodi, o in altro orario, contattare prima il docente via email. Verificare gli avvisi sul Moodle di Scienze Statistiche per eventuali variazioni.

  • Friday from 10:00 to 12:00
    at Dipartimento di Scienze Statistiche - Via Battisti 241 - Stanza 133
    L'orario di ricevimento è valido durante il periodo didattico. Per ricevimenti in altri periodi, o in altro orario, contattare prima il docente via email. Verificare gli avvisi sul Moodle di Scienze Statistiche per eventuali variazioni.

Teachings

Publications

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.

Thesis proposals

For master students (Laurea Magistrale)
- A comparison of current implementations of GARCH models: contrasting Python, R and Matlab
- Realized interdependences: i) simulation on the iterated OLS approach; ii) multiple Gamma measures
- Matrix-valued autoregression on HF data: 1) comparison to tensor-based factor models; 2) cointegration in matrix-valued autoregression
- Analysis of durations: day-by-day ACD models and unconditional duration tail index
- Testing misspecification in DCC-MGARCH models by simulations
- High frequency realized eigenvectors and eigenvalues, the construciton of biplots, and the development of market monitoring indicators based on polar coordinates of the movement of biplots in a rolling scheme with the aid of clustering methods;
- 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
- Principal portfolios and an application to European Markets
- Quantile regression methods and applications in finance for style analysis and market timing
- Systemic co-jumps in the currency market around the clock
- Dynamic Network models for applications in finance
- Dynamic models for Interval Valued time series and applications in finance