Blar i Scientific articles på forfatter "Caporin, Massimiliano"
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Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco (Peer reviewed; Journal article, 2021)We study contagion between Real Estate Investment Trusts (REITs) and the equity market in the U.S. over four sub-samples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile (QQ) ... -
The bank-sovereign nexus: Evidence from a non-bailout episode
Caporin, Massimiliano; Natvik, Gisle James; Ravazzolo, Francesco; Santucci de Magistris, Paolo (Journal article; Peer reviewed, 2019)We explore the interplay between sovereign and bank credit risk in a setting where Danish authorities first let two Danish banks default and then left the country’s largest bank, Danske Bank, to recapitalize privately. We ...