  Collapsing massive stars lead to a broad range of astrophysical transients,
whose multi-wavelength emission is powered by a variety of processes including
radioactive decay, activity of the central engine, and interaction of the
outflows with a dense circumstellar medium. These transients are also candidate
factories of neutrinos with energy up to hundreds of PeV. We review the energy
released by such astrophysical objects across the electromagnetic wavebands as
well as neutrinos, in order to outline a strategy to optimize multi-messenger
follow-up programs. We find that, while a significant fraction of the explosion
energy can be emitted in the infrared-optical-ultraviolet (UVOIR) band, the
optical signal alone is not optimal for neutrino searches. Rather, the neutrino
emission is strongly correlated with the one in the radio band, if a dense
circumstellar medium surrounds the transient, and with X-rays tracking the
activity of the central engine. Joint observations of transients in radio,
X-rays, and neutrinos will crucially complement those in the UVOIR band,
breaking degeneracies in the transient parameter space. Our findings call for
heightened surveys in the radio and X-ray bands to warrant multi-messenger
detections.
