Here is a simple demonstration of how you can paint your own Caravaggio.
This technique is not very complicated and good to learn. It it really important to let the colour dry completely between the steps. If you don´t wait, the surface will smear or crack and will give you problems. You also don´t get that intense colour if you do it wet in wet. For a painting like this it can take clearly 5-10 sessions to finish, if you do more details you will need surely more sessions..
The palette, you need for this, is simple too: Leadwhite, Dark Ochre, Siena Nature and Burnt, Vermillion, Burnt Umber, Van Dyck Brown, Bone Black and a little bit of Lead Tin Yellow for the gloriole. If you don´t use leadpigments you can also try to take Zincwhite and Cadmiumyellow.
My painting medium is linseed oil varnish. It is a modern variation of black oil, that used to be done by cooking lead pigments in oil. It takes only short time to dry and most times, you can go on with painting after 1-2 d