| Year of Publication | Title | Author(s) |
| 2011 | Comparing and selecting performance measures using rank correlations | Caporin, Massimiliano; Lisi, Francesco |
| 2011 | Comparing and selecting performance measures using rank correlations | Caporin, Massimiliano; Lisi, Francesco |
| 2012 | Measuring Sovereign Contagion in Europe | Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto |
| 2013 | Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models | Asai, Manabu; Caporin, Massimiliano; McAleer, Michael |
| 2013 | Ten Things you should know about the Dynamic Conditional Correlation Representation | Caporin, Massimiliano; McAleer, Michael |
| 2013 | Ten things you should know about the dynamic conditional correlation representation | Caporin, Massimiliano; McAleer, Michael |
| 2013 | Ten Things you should know about DCC | Caporin, Massimiliano; McAleer, Michael |
| 2015 | Measuring sovereign contagion in Europe | Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto |
| 2016 | The determinants of equity risk and their forecasting implications: A quantile regression perspective | Bonaccolto, Giovanni; Caporin, Massimiliano |
| 2016 | Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? | Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael |
| 2016 | Systemic co-jumps | Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto |
| 2017 | Systemic risk for financial institutions of major petroleum-based economies: The role of oil | Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat |
| 2017 | The impact of network connectivity on factor exposures, asset pricing and portfolio diversification | Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana |
| 2017 | Estimation and model-based combination of causality networks | Bonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero |
| 2017 | Building news measures from textual data and an application to volatility forecasting | Caporin, Massimiliano; Poli, Francesco |
| 2018 | Networks in risk spillovers: A multivariate GARCH perspective | Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana |
| 2020 | Does monetary policy impact international market co-movements? | Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto |
| 2020 | Analytical gradients of dynamic conditional correlation models | Caporin, Massimiliano; Lucchetti, Riccardo; Palomba, Giulio |
| 2020 | Financial time series: Methods and models | Caporin, Massimiliano; Storti, Giuseppe |
| 2021 | Has the EU-ETS financed the energy transition of the Italian power system? | Caporin, Massimiliano; Fontini, Fulvio; Segato, Samuele |
