4 citations · 4 across the 5 of their papers we have counts for
6 papers
Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
Massimiliano Caporin, Daniele Girolimetto, Emanuele Lopetuso
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge o…
The Cointegrated Matrix Autoregressive Model
Emanuele Lopetuso, Massimiliano Caporin
Traditional econometric analyzes represent observations as vectors despite the inherent complexity of empirical data structures. When data are organized along dual classification d…
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
Massimiliano Caporin, Tommaso Di Fonzo, Daniele Girolimetto
We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. By using data referred to the D…
Modelling and Forecasting the Realized Range Conditional Quantiles
Giovanni Bonaccolto, Massimiliano Caporin
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise a…
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio +2
Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have…
Ensemble properties of high frequency data and intraday trading rules
Fulvio Baldovin, Francesco Camana, Massimiliano Caporin +2
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of…