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Details about Giuseppe Storti

Homepage:https://docenti.unisa.it/005005/en/home
Workplace:Dipartimento di Scienze Economiche e Statistiche (DISES) (Department of Economics and Statistics), Università degli Studi di Salerno (University of Salerno), (more information at EDIRC)

Access statistics for papers by Giuseppe Storti.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pst454


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Working Papers

2024

  1. A semi-parametric dynamic conditional correlation framework for risk forecasting
    Papers, arXiv.org Downloads

2021

  1. Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach
    Papers, arXiv.org Downloads
  2. Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Nonparametric expected shortfall forecasting incorporating weighted quantiles, International Journal of Forecasting, Elsevier (2022) Downloads View citations (5) (2022)

2020

  1. A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices
    Working Papers, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno Downloads
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (16)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) Downloads View citations (5)

    See also Journal Article A dynamic component model for forecasting high-dimensional realized covariance matrices, Econometrics and Statistics, Elsevier (2017) Downloads View citations (17) (2017)

2019

  1. Heterogeneous component multiplicative error models for forecasting trading volumes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Heterogeneous component multiplicative error models for forecasting trading volumes, International Journal of Forecasting, Elsevier (2019) Downloads View citations (1) (2019)

2018

  1. Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads

2017

  1. Least squares estimation for GARCH (1,1) model with heavy tailed errors
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads

2016

  1. Forecasting comparison of long term component dynamic models for realized covariance matrices
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (17)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads View citations (14)

    See also Journal Article Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices, Annals of Economics and Statistics, GENES (2016) Downloads View citations (3) (2016)
  2. Multiplicative Conditional Correlation Models for Realized Covariance Matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)

2013

  1. Computationally efficient inference procedures for vast dimensional realized covariance models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) Downloads View citations (4)

2012

  1. Dynamic conditional correlation models for realized covariance matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (26)

2009

  1. A component GARCH model with time varying weights
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (25)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (2)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006)

    See also Journal Article A Component GARCH Model with Time Varying Weights, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) Downloads View citations (31) (2009)
  2. Combination of multivariate volatility forecasts
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk Downloads

2006

  1. A GARCH (1,1) estimator with (almost) no moment conditions on the error term
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  2. The combination of volatility forecasts
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

  1. Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2000

  1. A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES
    Computing in Economics and Finance 2000, Society for Computational Economics Downloads View citations (3)
    See also Journal Article A non-linear time series approach to modelling asymmetry in stock market indexes, Statistical Methods & Applications, Springer (2002) Downloads View citations (4) (2002)

Journal Articles

2022

  1. Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
    Economic Modelling, 2022, 107, (C) Downloads View citations (7)
  2. Nonparametric expected shortfall forecasting incorporating weighted quantiles
    International Journal of Forecasting, 2022, 38, (1), 224-239 Downloads View citations (5)
    See also Working Paper Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles, Papers (2021) Downloads View citations (1) (2021)

2021

  1. Forecasting Volatility and Tail Risk in Electricity Markets
    JRFM, 2021, 14, (7), 1-17 Downloads View citations (3)

2020

  1. A Model Confidence Set approach to the combination of multivariate volatility forecasts
    International Journal of Forecasting, 2020, 36, (3), 873-891 Downloads View citations (10)
  2. Corporate Governance, Investment, Profitability and Insolvency Risk: Evidence from Italy
    Advances in Management and Applied Economics, 2020, 10, (4), 10 Downloads View citations (3)
  3. Financial Time Series: Methods and Models
    JRFM, 2020, 13, (5), 1-3 Downloads
  4. Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters
    JRFM, 2020, 13, (4), 1-23 Downloads View citations (3)
  5. Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
    Quantitative Finance, 2020, 20, (11), 1849-1878 Downloads View citations (5)

2019

  1. Heterogeneous component multiplicative error models for forecasting trading volumes
    International Journal of Forecasting, 2019, 35, (4), 1332-1355 Downloads View citations (1)
    See also Working Paper Heterogeneous component multiplicative error models for forecasting trading volumes, MPRA Paper (2019) Downloads View citations (1) (2019)

2017

  1. A dynamic component model for forecasting high-dimensional realized covariance matrices
    Econometrics and Statistics, 2017, 1, (C), 40-61 Downloads View citations (17)
    See also Working Paper A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices, Working Papers (2020) Downloads (2020)
  2. Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
    Econometrics Journal, 2017, 20, (2), 221-258 Downloads View citations (2)

2016

  1. Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
    Annals of Economics and Statistics, 2016, (123-124), 103-134 Downloads View citations (3)
    See also Working Paper Forecasting comparison of long term component dynamic models for realized covariance matrices, LIDAM Reprints CORE (2016) View citations (17) (2016)

2015

  1. Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction
    Journal of Forecasting, 2015, 34, (2), 83-91 Downloads View citations (11)

2009

  1. A Component GARCH Model with Time Varying Weights
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 33 Downloads View citations (31)
    See also Working Paper A component GARCH model with time varying weights, LIDAM Reprints CORE (2009) View citations (25) (2009)

2008

  1. A GMM procedure for combining volatility forecasts
    Computational Statistics & Data Analysis, 2008, 52, (6), 3047-3060 Downloads View citations (10)

2006

  1. Minimum distance estimation of GARCH(1,1) models
    Computational Statistics & Data Analysis, 2006, 51, (3), 1803-1821 Downloads View citations (13)

2003

  1. BL-GARCH models and asymmetries in volatility
    Statistical Methods & Applications, 2003, 12, (1), 19-39 Downloads View citations (13)
  2. Likelihood inference in BL-GARCH models
    Computational Statistics, 2003, 18, (3), 387-400 Downloads View citations (5)

2002

  1. A non-linear time series approach to modelling asymmetry in stock market indexes
    Statistical Methods & Applications, 2002, 11, (2), 201-216 Downloads View citations (4)
    See also Working Paper A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES, Computing in Economics and Finance 2000 (2000) Downloads View citations (3) (2000)
  2. Measuring cross-country technological catch-up through variable-parameter FDH
    Statistical Methods & Applications, 2002, 11, (1), 109-125 Downloads View citations (6)

Chapters

2021

  1. A GARCH-Type Model with Cross-Sectional Volatility Clusters
    Springer
 
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