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 3 6 25 439
A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices 0 0 0 6 2 2 10 33
A GARCH (1,1) estimator with (almost) no moment conditions on the error term 0 0 0 44 1 1 8 143
A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES 0 0 0 308 0 0 12 546
A component GARCH model with time varying weights 0 0 0 0 0 1 19 1,075
A component GARCH model with time varying weights 0 0 0 87 0 0 5 292
A component GARCH model with time varying weights 0 0 0 14 1 1 12 76
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 0 0 1 7 50
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 68 1 1 14 163
A multivariate semi-parametric portfolio risk optimization and forecasting framework 0 0 1 19 0 0 16 26
A semi-parametric dynamic conditional correlation framework for risk forecasting 0 0 0 20 1 1 13 29
Combination of multivariate volatility forecasts 0 0 0 98 0 0 7 180
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set 0 0 1 4 1 2 26 38
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 2 0 0 7 36
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 34 2 3 14 114
Dynamic conditional correlation models for realized covariance matrices 0 1 6 135 1 3 25 399
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? 0 0 0 7 2 5 26 32
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? 0 0 0 4 0 0 17 31
Estimating the R-Star in the US: A Score-Driven State-Space Model with Time-Varying Volatility Persistence 0 1 7 26 1 4 47 69
Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data 0 0 0 17 1 2 15 93
Financial Volatility and Risk Forecasting Incorporating a Larger Number of Realized Measures 0 0 1 8 0 1 24 39
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 0 0 0 11 32
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 39 0 1 10 96
Heterogeneous component multiplicative error models for forecasting trading volumes 0 0 0 39 1 2 12 71
Least squares estimation for GARCH (1,1) model with heavy tailed errors 0 0 1 38 0 0 6 78
Least squares estimation for GARCH (1,1) model with heavy tailed errors 0 1 2 56 0 2 9 92
Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach 0 0 0 21 0 1 11 37
Multiplicative Conditional Correlation Models for Realized Covariance Matrices 0 0 1 38 1 1 14 120
Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles 0 0 0 18 2 2 9 30
The combination of volatility forecasts 0 0 0 0 0 0 12 267
Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting 0 0 0 16 0 0 11 41
Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting 0 0 0 48 0 1 16 67
Using quantile time series and historical simulation to forecast financial risk multiple steps ahead 0 0 3 11 1 4 18 23
Total Working Papers 0 3 23 1,421 22 48 488 4,857

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 0 1 1 1 0 3 3 3
A Component GARCH Model with Time Varying Weights 0 0 0 96 0 4 22 341
A GMM procedure for combining volatility forecasts 0 0 0 56 0 1 10 145
A Model Confidence Set approach to the combination of multivariate volatility forecasts 0 1 2 26 0 4 12 87
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 1 17 0 1 14 114
A non-linear time series approach to modelling asymmetry in stock market indexes 0 0 0 2 0 0 12 28
A semi-parametric dynamic conditional correlation framework for risk forecasting 0 0 1 2 1 1 12 14
BL-GARCH models and asymmetries in volatility 0 2 2 2 0 3 11 35
Corporate Governance, Investment, Profitability and Insolvency Risk: Evidence from Italy 0 0 0 14 1 2 15 58
Financial Time Series: Methods and Models 0 0 0 15 1 2 16 50
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices 0 1 1 13 1 3 11 100
Forecasting Volatility and Tail Risk in Electricity Markets 0 0 1 8 1 2 12 32
Heterogeneous component multiplicative error models for forecasting trading volumes 0 0 0 6 1 3 11 39
Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters 0 0 0 2 1 1 12 51
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators 0 0 0 14 2 3 18 49
Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors 0 0 0 5 0 0 10 32
Likelihood inference in BL-GARCH models 0 0 3 5 0 1 14 36
Measuring cross-country technological catch-up through variable-parameter FDH 0 0 0 8 0 0 9 28
Minimum distance estimation of GARCH(1,1) models 0 0 0 50 0 0 5 126
Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction 0 0 0 17 0 1 9 73
Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach 0 1 2 4 0 1 19 25
Nonparametric expected shortfall forecasting incorporating weighted quantiles 0 0 0 12 0 0 21 57
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics 0 0 0 1 0 2 13 21
Total Journal Articles 0 6 14 376 9 38 291 1,544

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 1 1 10 15
Combining Multivariate Volatility Models 0 0 0 0 0 0 4 4
Scaling the Tails: Intraday Quantiles for Forecasting Value-at-Risk and Expected Shortfall 0 0 1 1 0 3 6 6
The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting 0 0 0 0 0 0 3 3
Total Chapters 0 0 1 1 1 4 23 28

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Statistics updated 2026-09-10