Giuseppe Storti
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Giuseppe |
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Storti |
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Università degli Studi di Salerno
/ Dipartimento di Scienze Economiche e Statistiche (DISES)
Research profile
author of:
- Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices (RePEc:adr:anecst:y:2016:i:123-124:p:103-134)
by Luc Bauwens & Manuela Braione & Giuseppe Storti - Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles (RePEc:arx:papers:2005.04868)
by Giuseppe Storti & Chao Wang - Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach (RePEc:arx:papers:2104.04918)
by Giuseppe Storti & Chao Wang - A semi-parametric marginalized dynamic conditional correlation framework (RePEc:arx:papers:2207.04595)
by Giuseppe Storti & Chao Wang - A Component GARCH Model with Time Varying Weights (RePEc:bpj:sndecm:v:13:y:2009:i:2:n:1)
by Bauwens Luc & Storti Giuseppe - A GARCH (1,1) estimator with (almost) no moment conditions on the error term (RePEc:cor:louvco:2006068)
by PREMINGER, Arie & STORTI, Giuseppe - A component GARCH model with time varying weights (RePEc:cor:louvco:2007019)
by BAUWENS, Luc & STORTI, Giuseppe - Computationally efficient inference procedures for vast dimensional realized covariance models (RePEc:cor:louvco:2012028)
by BAUWENS, Luc & STORTI, Giuseppe - Dynamic conditional correlation models for realized covariance matrices (RePEc:cor:louvco:2012060)
by BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco - Forecasting comparison of long term component dynamic models for realized covariance matrices (RePEc:cor:louvco:2014053)
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe - A dynamic component model for forecasting high-dimensional realized covariance matrices (RePEc:cor:louvco:2016001)
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe - Multiplicative Conditional Correlation Models for Realized Covariance Matrices (RePEc:cor:louvco:2016041)
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe - Least squares estimation for GARCH (1,1) model with heavy tailed errors (RePEc:cor:louvco:2017015)
by PREMINGER Arie & STORTI Giuseppe - A component GARCH model with time varying weights (RePEc:cor:louvrp:2125)
by BAUWENS, Luc & STORTI, Giuseppe - Computationally efficient inference procedures for vast dimensional realized covariance models (RePEc:cor:louvrp:2469)
by BAUWENS, Luc & STORTI, Giuseppe - A dynamic component model for forecasting high-dimensional realized covariance matrices (RePEc:cor:louvrp:2812)
by Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI - Forecasting comparison of long term component dynamic models for realized covariance matrices (RePEc:cor:louvrp:2923)
by Luc Bauwens & Manuela Braione & Giuseppe Storti - A Component GARCH Model with Time Varying Weights (RePEc:ctl:louvec:2007012)
by Luc, BAUWENS & G., STORTI - Minimum distance estimation of GARCH(1,1) models (RePEc:eee:csdana:v:51:y:2006:i:3:p:1803-1821)
by Storti, G. - A GMM procedure for combining volatility forecasts (RePEc:eee:csdana:v:52:y:2008:i:6:p:3047-3060)
by Amendola, Alessandra & Storti, Giuseppe - Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators (RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x)
by Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe - A dynamic component model for forecasting high-dimensional realized covariance matrices (RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61)
by Bauwens, Luc & Braione, Manuela & Storti, Giuseppe - Heterogeneous component multiplicative error models for forecasting trading volumes (RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355)
by Naimoli, Antonio & Storti, Giuseppe - A Model Confidence Set approach to the combination of multivariate volatility forecasts (RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891)
by Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe - Nonparametric expected shortfall forecasting incorporating weighted quantiles (RePEc:eee:intfor:v:38:y:2022:i:1:p:224-239)
by Storti, Giuseppe & Wang, Chao - Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters (RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:64-:d:338390)
by Pietro Coretto & Michele La Rocca & Giuseppe Storti - Financial Time Series: Methods and Models (RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:86-:d:351267)
by Massimiliano Caporin & Giuseppe Storti - Forecasting Volatility and Tail Risk in Electricity Markets (RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:294-:d:582734)
by Antonio Naimoli & Giuseppe Storti - Combination of multivariate volatility forecasts (RePEc:hum:wpaper:sfb649dp2009-007)
by Alessandra Amendola & Giuseppe Storti - Least squares estimation for GARCH (1,1) model with heavy tailed errors (RePEc:pra:mprapa:59082)
by Preminger, Arie & Storti, Giuseppe - Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data (RePEc:pra:mprapa:62336)
by Destefanis, Sergio & Storti, Giuseppe - Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting (RePEc:pra:mprapa:83893)
by Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe - Heterogeneous component multiplicative error models for forecasting trading volumes (RePEc:pra:mprapa:93802)
by Naimoli, Antonio & Storti, Giuseppe - Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting (RePEc:pra:mprapa:94289)
by Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe - A Non Linear Time Series Approach To Modelling Asymmetry In Stock Market Indexes (RePEc:sce:scecf0:97)
by Giuseppe Storti & Alessandra Amendola - A component GARCH model with time varying weights (RePEc:sce:scecfa:388)
by Giuseppe Storti & Luc Bauwens - The combination of volatility forecasts (RePEc:sce:scecfa:496)
by Alessandra Amendola & Giuseppe Storti - A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices (RePEc:sep:wpaper:3_234)
by Luc Bauwens & Manuela Braione & Giuseppe Storti - Likelihood inference in BL-GARCH models (RePEc:spr:compst:v:18:y:2003:i:3:p:387-400)
by Giuseppe Storti & Cosimo Vitale - A GARCH-Type Model with Cross-Sectional Volatility Clusters (RePEc:spr:sprchp:978-3-030-78965-7_25)
by Pietro Coretto & Michele La Rocca & Giuseppe Storti - Measuring cross-country technological catch-up through variable-parameter FDH (RePEc:spr:stmapp:v:11:y:2002:i:1:d:10.1007_bf02511449)
by Sergio Destefanis & Giuseppe Storti - A non-linear time series approach to modelling asymmetry in stock market indexes (RePEc:spr:stmapp:v:11:y:2002:i:2:d:10.1007_bf02511487)
by Alessandra Amendola & Giuseppe Storti - BL-GARCH models and asymmetries in volatility (RePEc:spr:stmapp:v:12:y:2003:i:1:d:10.1007_bf02511581)
by Giuseppe Storti & Cosimo Vitale - Corporate Governance, Investment, Profitability and Insolvency Risk: Evidence from Italy (RePEc:spt:admaec:v:10:y:2020:i:4:f:10_4_10)
by Alessandra Amendola & Vincenzo Candila & Luca Sensini & Giuseppe Storti - Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (RePEc:taf:quantf:v:20:y:2020:i:11:p:1849-1878)
by Richard Gerlach & Antonio Naimoli & Giuseppe Storti - Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors (RePEc:wly:emjrnl:v:20:y:2017:i:2:p:221-258)
by Arie Preminger & Giuseppe Storti - Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction (RePEc:wly:jforec:v:34:y:2015:i:2:p:83-91)
by Alessandra Amendola & Giuseppe Storti - Combination of multivariate volatility forecasts (RePEc:zbw:sfb649:sfb649dp2009-007)
by Amendola, Alessandra & Storti, Giuseppe