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Giuseppe Storti

Personal Details

First Name:Giuseppe
Middle Name:
Last Name:Storti
Suffix:
RePEc Short-ID:pst454
[This author has chosen not to make the email address public]
https://docenti.unisa.it/005005/en/home

Affiliation

Dipartimento di Scienze Economiche e Statistiche (DISES)
Università degli Studi di Salerno

Fisciano, Italy
http://www.dises.unisa.it/
RePEc:edi:dssalit (more details at EDIRC)

Research output

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Jump to: Working papers Articles Chapters

Working papers

  1. Giuseppe Storti & Chao Wang, 2022. "A semi-parametric dynamic conditional correlation framework for risk forecasting," Papers 2207.04595, arXiv.org, revised Dec 2024.
  2. Giuseppe Storti & Chao Wang, 2021. "Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach," Papers 2104.04918, arXiv.org, revised Jul 2021.
  3. Giuseppe Storti & Chao Wang, 2020. "Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles," Papers 2005.04868, arXiv.org, revised Mar 2021.
  4. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," MPRA Paper 93802, University Library of Munich, Germany.
  5. Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
  6. PREMINGER Arie & STORTI Giuseppe, 2017. "Least squares estimation for GARCH (1,1) model with heavy tailed errors," LIDAM Discussion Papers CORE 2017015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Discussion Papers CORE 2016001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2014. "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Discussion Papers CORE 2014053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. BAUWENS, Luc & STORTI, Giuseppe, 2012. "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Discussion Papers CORE 2012028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. Amendola, Alessandra & Storti, Giuseppe, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers 2009-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Amendola, Alessandra & Storti, Giuseppe, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers 2009-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. BAUWENS, Luc & STORTI, Giuseppe, 2007. "A component GARCH model with time varying weights," LIDAM Discussion Papers CORE 2007019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. Alessandra Amendola & Giuseppe Storti, 2006. "The combination of volatility forecasts," Computing in Economics and Finance 2006 496, Society for Computational Economics.
  16. PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," LIDAM Discussion Papers CORE 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Destefanis, Sergio & Storti, Giuseppe, 2005. "Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data," MPRA Paper 62336, University Library of Munich, Germany.
  18. Giuseppe Storti & Alessandra Amendola, 2000. "A Non Linear Time Series Approach To Modelling Asymmetry In Stock Market Indexes," Computing in Economics and Finance 2000 97, Society for Computational Economics.

Articles

  1. Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
  2. Storti, Giuseppe & Wang, Chao, 2022. "Nonparametric expected shortfall forecasting incorporating weighted quantiles," International Journal of Forecasting, Elsevier, vol. 38(1), pages 224-239.
  3. Antonio Naimoli & Giuseppe Storti, 2021. "Forecasting Volatility and Tail Risk in Electricity Markets," JRFM, MDPI, vol. 14(7), pages 1-17, June.
  4. Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.
  5. Alessandra Amendola & Vincenzo Candila & Luca Sensini & Giuseppe Storti, 2020. "Corporate Governance, Investment, Profitability and Insolvency Risk: Evidence from Italy," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(4), pages 1-10.
  6. Richard Gerlach & Antonio Naimoli & Giuseppe Storti, 2020. "Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 20(11), pages 1849-1878, November.
  7. Massimiliano Caporin & Giuseppe Storti, 2020. "Financial Time Series: Methods and Models," JRFM, MDPI, vol. 13(5), pages 1-3, April.
  8. Pietro Coretto & Michele La Rocca & Giuseppe Storti, 2020. "Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters," JRFM, MDPI, vol. 13(4), pages 1-23, March.
  9. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
  10. Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
  11. Arie Preminger & Giuseppe Storti, 2017. "Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors," Econometrics Journal, Royal Economic Society, vol. 20(2), pages 221-258, June.
  12. Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134.
  13. Alessandra Amendola & Giuseppe Storti, 2015. "Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 83-91, March.
  14. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
  15. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
  16. Storti, G., 2006. "Minimum distance estimation of GARCH(1,1) models," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1803-1821, December.
  17. Giuseppe Storti & Cosimo Vitale, 2003. "Likelihood inference in BL-GARCH models," Computational Statistics, Springer, vol. 18(3), pages 387-400, September.
  18. Giuseppe Storti & Cosimo Vitale, 2003. "BL-GARCH models and asymmetries in volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(1), pages 19-39, February.
  19. Alessandra Amendola & Giuseppe Storti, 2002. "A non-linear time series approach to modelling asymmetry in stock market indexes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(2), pages 201-216, June.
  20. Sergio Destefanis & Giuseppe Storti, 2002. "Measuring cross-country technological catch-up through variable-parameter FDH," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 109-125, February.

Chapters

  1. Pietro Coretto & Michele La Rocca & Giuseppe Storti, 2021. "A GARCH-Type Model with Cross-Sectional Volatility Clusters," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 169-174, Springer.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (9) 2009-04-18 2015-04-11 2016-03-10 2018-02-19 2019-05-20 2019-06-24 2020-06-08 2021-04-19 2022-08-22. Author is listed
  2. NEP-ECM: Econometrics (8) 2007-08-14 2014-11-12 2015-04-11 2016-03-10 2017-02-12 2018-02-19 2019-05-20 2020-06-08. Author is listed
  3. NEP-ETS: Econometric Time Series (8) 2007-08-14 2009-04-18 2014-11-12 2016-03-10 2017-02-12 2018-01-15 2018-02-19 2019-05-20. Author is listed
  4. NEP-ORE: Operations Research (6) 2009-04-18 2015-04-11 2018-01-15 2018-02-19 2019-05-20 2019-06-24. Author is listed
  5. NEP-RMG: Risk Management (6) 2007-08-14 2018-02-19 2019-06-24 2020-06-08 2021-04-19 2022-08-22. Author is listed
  6. NEP-BEC: Business Economics (1) 2019-05-20
  7. NEP-MST: Market Microstructure (1) 2019-05-20

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