My research interests belong to the broad topic of 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;
- Weather and energy derivatives: dynamic modelling and model-based pricing.

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.