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Massimiliano Caporin

Institution: Università degli Studi di Padova - Dipartimento di Scienze Statistiche

Primary Field: Energy (weighted toward more recent publications)

First Publication: 2010

Most Recent: 2024

RePEc ID: pca441 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 4.72 2.35 0.34 7.41 -
Last 10 Years 0.00 12.12 4.37 0.84 17.33 -
All Time 0.00 14.27 5.72 2.61 22.60 -

Publication Statistics

Raw Publications 27
Coauthorship-Adjusted Count 18.08

Publications (27)

Year Article Journal Tier Authors
2024 Nonstandard Errors Journal of Finance A 343
2024 Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment Energy Economics A 3
2024 Measuring Climate Transition Risk Spillovers Review of Finance B 3
2024 The Asymmetric Relationship between Conventional/Shale Rig Counts and WTI Oil Prices The Energy Journal B 3
2023 The systemic risk of US oil and natural gas companies Energy Economics A 3
2022 The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland Energy Economics A 3
2022 Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test Energy Economics A 2
2022 Systemic risk and severe economic downturns: A targeted and sparse analysis Journal of Banking & Finance B 4
2022 What drives the expansion of research on banking crises? Cross-country evidence Applied Economics C 3
2021 Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil The Energy Journal B 4
2019 Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock Energy Economics A 3
2019 Scenario-based forecast for the electricity demand in Qatar and the role of energy efficiency improvements Energy Policy B 3
2019 Decomposing and backtesting a flexible specification for CoVaR Journal of Banking & Finance B 3
2019 Asymmetry and leverage in GARCH models: a News Impact Curve perspective Applied Economics C 2
2018 A Multidimensional Analysis of the Relationship Between Corporate Social Responsibility and Firms' Economic Performance Ecological Economics B 3
2017 Chasing volatility Journal of Econometrics A 3
2017 The relationship between oil prices and rig counts: The importance of lags Energy Economics A 3
2017 The long-run oil–natural gas price relationship and the shale gas revolution Energy Economics A 2
2017 Systemic co-jumps Journal of Financial Economics A 3
2015 Option pricing with non-Gaussian scaling and infinite-state switching volatility Journal of Econometrics A 5
2015 Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle Energy Policy B 3
2014 A Survey on the Four Families of Performance Measures Journal of Economic Surveys C 4
2013 On the predictability of stock prices: A case for high and low prices Journal of Banking & Finance B 3
2012 Do We Really Need Both Bekk and Dcc? a Tale of Two Multivariate Garch Models Journal of Economic Surveys C 2
2012 Model based Monte Carlo pricing of energy and temperature Quanto options Energy Economics A 3
2010 A Scientific Classification of Volatility Models Journal of Economic Surveys C 2
2010 The Ten Commandments for Managing Investments Journal of Economic Surveys C 2