Research contributions developed with the CaPiRe data from the research group of the PRICE project or from users of CaPiRe. If you are interested in having your work listed below please get in touch with us by writing at capire@stat.unipd.it Note that for selected works, the user data (older versions of the CaPiRe dataset or specific dataset of realized variables) will be available through the Data Repository of the Department of Statistical Sciences of the University of Padova datarepository.stat.unipd.it. See the section Download for additional details.
Recent publications
Caporin, M., 2023, The role of jumps in realized volatility modeling and forecasting,
Journal of
Financial Econometrics, 21 (4), 1143-1168,
https://doi.org/10.1093/jjfinec/nbab030
Caporin, M., Di Fonzo, T., and Girolimetto, D., 2023, Exploiting Intraday Decompositions in Realized
Volatility Forecasting: A Forecast Reconciliation Approach, available at arXiv,
https://arxiv.org/abs/2306.02952