Access Statistics for Giuseppe Storti

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Component GARCH Model with Time Varying Weights 0 0 0 196 1 5 20 434
A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices 0 0 0 6 0 1 9 31
A GARCH (1,1) estimator with (almost) no moment conditions on the error term 0 0 0 44 0 4 7 142
A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES 0 0 0 308 0 5 12 546
A component GARCH model with time varying weights 0 0 0 14 0 3 11 75
A component GARCH model with time varying weights 0 0 0 87 0 3 5 292
A component GARCH model with time varying weights 0 0 0 0 0 5 20 1,074
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 68 0 5 14 162
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 0 1 3 8 50
A multivariate semi-parametric portfolio risk optimization and forecasting framework 0 0 1 19 0 5 17 26
A semi-parametric dynamic conditional correlation framework for risk forecasting 0 0 0 20 0 5 13 28
Autoencoder Enhanced Realised GARCH on Volatility Forecasting 0 0 1 8 0 7 25 38
Combination of multivariate volatility forecasts 0 0 0 98 0 2 7 180
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set 0 1 1 4 1 7 26 37
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 2 0 2 7 36
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 34 1 6 12 112
Dynamic conditional correlation models for realized covariance matrices 1 5 7 135 2 11 28 398
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? 0 0 0 4 0 1 17 31
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? 0 0 0 7 2 10 23 29
Estimating the R-Star in the US: A Score-Driven State-Space Model with Time-Varying Volatility Persistence 1 2 26 26 2 10 67 67
Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data 0 0 0 17 1 3 14 92
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 0 0 6 11 32
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 39 1 2 10 96
Heterogeneous component multiplicative error models for forecasting trading volumes 0 0 0 39 1 3 11 70
Least squares estimation for GARCH (1,1) model with heavy tailed errors 0 1 1 55 1 4 9 91
Least squares estimation for GARCH (1,1) model with heavy tailed errors 0 0 2 38 0 2 7 78
Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach 0 0 0 21 0 7 10 36
Multiplicative Conditional Correlation Models for Realized Covariance Matrices 0 0 1 38 0 3 15 119
Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles 0 0 0 18 0 2 7 28
The combination of volatility forecasts 0 0 0 0 0 3 12 267
Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting 0 0 0 16 0 3 11 41
Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting 0 0 0 48 1 2 16 67
Using quantile time series and historical simulation to forecast financial risk multiple steps ahead 0 0 3 11 0 2 14 19
Total Working Papers 2 9 43 1,420 15 142 495 4,824

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Analysis of Green and Brown Stocks: The Impact of Uncertainty Indices on Tail-Risk Forecasting 1 1 1 1 2 2 2 2
A Component GARCH Model with Time Varying Weights 0 0 1 96 3 7 24 340
A GMM procedure for combining volatility forecasts 0 0 0 56 0 1 9 144
A Model Confidence Set approach to the combination of multivariate volatility forecasts 1 1 2 26 4 4 13 87
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 1 17 1 9 14 114
A non-linear time series approach to modelling asymmetry in stock market indexes 0 0 0 2 0 3 12 28
A semi-parametric dynamic conditional correlation framework for risk forecasting 0 0 1 2 0 5 12 13
BL-GARCH models and asymmetries in volatility 0 0 0 0 0 2 8 32
Corporate Governance, Investment, Profitability and Insolvency Risk: Evidence from Italy 0 0 0 14 0 5 15 56
Financial Time Series: Methods and Models 0 0 3 15 0 4 17 48
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices 1 1 1 13 1 3 11 98
Forecasting Volatility and Tail Risk in Electricity Markets 0 0 1 8 1 4 11 31
Heterogeneous component multiplicative error models for forecasting trading volumes 0 0 0 6 1 5 9 37
Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters 0 0 0 2 0 1 11 50
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators 0 0 0 14 1 7 17 47
Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors 0 0 0 5 0 3 10 32
Likelihood inference in BL-GARCH models 0 0 3 5 0 2 13 35
Measuring cross-country technological catch-up through variable-parameter FDH 0 0 0 8 0 2 9 28
Minimum distance estimation of GARCH(1,1) models 0 0 0 50 0 3 5 126
Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction 0 0 0 17 0 3 8 72
Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach 1 1 2 4 1 5 20 25
Nonparametric expected shortfall forecasting incorporating weighted quantiles 0 0 0 12 0 5 21 57
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics 0 0 0 1 1 3 13 20
Total Journal Articles 4 4 16 374 16 88 284 1,522

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A GARCH-Type Model with Cross-Sectional Volatility Clusters 0 0 0 0 0 4 9 14
Combining Multivariate Volatility Models 0 0 0 0 0 2 4 4
Scaling the Tails: Intraday Quantiles for Forecasting Value-at-Risk and Expected Shortfall 0 0 1 1 1 2 4 4
The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting 0 0 0 0 0 1 3 3
Total Chapters 0 0 1 1 1 9 20 25

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Statistics updated 2026-07-10