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Details about Giuseppe Storti

E-mail:
Homepage:http://www.unisa.it//Facolta/Economia/docenti/Storti/homepage.php
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 2019-06-03. Update your information in the RePEc Author Service.

Short-id: pst454


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Working Papers

2018

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

2017

  1. A dynamic component model for forecasting high-dimensional realized covariance matrices
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) Downloads View citations (5)

    See also Journal Article in Econometrics and Statistics (2017)
  2. Least squares estimation for GARCH (1,1) model with heavy tailed errors
    CORE Discussion Papers, 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
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads View citations (7)

    See also Journal Article in Annals of Economics and Statistics (2016)
  2. Multiplicative Conditional Correlation Models for Realized Covariance Matrices
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

2013

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

2012

  1. Dynamic conditional correlation models for realized covariance matrices
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (14)

2009

  1. A component GARCH model with time varying weights
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (2)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (1)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)
  2. Combination of multivariate volatility forecasts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)

2006

  1. A GARCH (1,1) estimator with (almost) no moment conditions on the error term
    CORE Discussion Papers, 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 in Statistical Methods & Applications (2002)

Journal Articles

2017

  1. A dynamic component model for forecasting high-dimensional realized covariance matrices
    Econometrics and Statistics, 2017, 1, (C), 40-61 Downloads View citations (5)
    See also Working Paper (2017)
  2. Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
    Econometrics Journal, 2017, 20, (2), 221-258 Downloads View citations (1)

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 (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 (6)

2009

  1. A Component GARCH Model with Time Varying Weights
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 1-33 Downloads View citations (24)
    See also Working Paper (2009)

2008

  1. A GMM procedure for combining volatility forecasts
    Computational Statistics & Data Analysis, 2008, 52, (6), 3047-3060 Downloads View citations (5)

2006

  1. Minimum distance estimation of GARCH(1,1) models
    Computational Statistics & Data Analysis, 2006, 51, (3), 1803-1821 Downloads View citations (12)

2003

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

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 (1)
    See also Working Paper (2000)
  2. Measuring cross-country technological catch-up through variable-parameter FDH
    Statistical Methods & Applications, 2002, 11, (1), 109-125 Downloads View citations (5)
 
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