Giuseppe Storti

University of Salerno - Department of Economics

Via John Paul II, 132

Fisciano (SA), 84084

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

726

SSRN CITATIONS
Rank 36,091

SSRN RANKINGS

Top 36,091

in Total Papers Citations

7

CROSSREF CITATIONS

15

Scholarly Papers (9)

1.

A Component GARCH Model With Time Varying Weights

CORE Discussion Paper No. 2007/19
Number of pages: 32 Posted: 16 Aug 2007
Luc Bauwens and Giuseppe Storti
Université catholique de Louvain and University of Salerno - Department of Economics
Downloads 305 (127,856)
Citation 1

Abstract:

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GARCH, persistence, volatility components, value-at-risk, expected shortfall

2.

A GARCH (1,1) Estimator with (Almost) No Moment Conditions on the Error Term

CORE Discussion Paper No. 2006/68
Number of pages: 25 Posted: 14 Nov 2006
Arie Preminger and Giuseppe Storti
University of Haifa - Department of Economics and University of Salerno - Department of Economics
Downloads 103 (327,605)
Citation 1

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GARCH (1,1), least squares estimation, consistency, asymptotic normality, law of the iterated logarithm

3.

Evaluating Business Incentives Through DEA: An Analysis on Capitalia Firm Data

University of Salerno Dipartimento di Scienze Economiche e Statistiche Working Paper No. 3.173
Number of pages: 43 Posted: 21 Feb 2010
Giuseppe Storti and Sergio Destefanis
University of Salerno - Department of Economics and University of Salerno
Downloads 76 (394,911)
Citation 2

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Business Incentives, Policy evaluation, DEA

4.

Convexity, Productivity Change and the Economic Performance of Countries

University of Salerno Dipartimento di Scienze Economiche e Statistiche Working Paper No. 3.126
Number of pages: 28 Posted: 21 Feb 2010
Giuseppe Storti and Sergio Destefanis
University of Salerno - Department of Economics and University of Salerno
Downloads 52 (477,590)

Abstract:

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Cross-Country Productivity Comparisons, Convexity, FDH

5.

Multiplicative Conditional Correlation Models for Realized Covariance Matrices

CORE DISCUSSION PAPER SERIES, 2020
Number of pages: 29 Posted: 25 Feb 2020
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, SOSE and University of Salerno - Department of Economics
Downloads 48 (494,207)
Citation 3

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6.

A Procedure for Detecting Outliers in Frontier Estimation

University of Salerno Dipartimento di Scienze Economiche e Statistiche Working Paper No. 3.172
Number of pages: 28 Posted: 21 Feb 2010
Giuseppe Storti and Sergio Destefanis
University of Salerno - Department of Economics and University of Salerno
Downloads 46 (503,008)

Abstract:

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Production Frontier, Nonparametric Estimation, Extreme Value Theory

7.

A Dynamic Component Model for Forecasting High-Dimensional Realized Covariance Matrices

Econometrics and Statistics, 1, 40-61, 2017
Number of pages: 24 Posted: 09 May 2017
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, SOSE and University of Salerno - Department of Economics
Downloads 36 (550,851)
Citation 3

Abstract:

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Realized covariance, dynamic component models, multi-step forecasting, iterative algorithm

8.

Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting

Number of pages: 37 Posted: 09 Apr 2020
Richard H. Gerlach, Antonio Naimoli and Giuseppe Storti
University of Sydney, affiliation not provided to SSRN and University of Salerno - Department of Economics
Downloads 31 (577,992)

Abstract:

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Realized GARCH, Realized Volatility, Realized Quarticity, Attenuation Bias, Measurement Error, Tail Risk Forecasting

9.

Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices

Annales d'Economie et de Statistique, 123-124,103-134, December, 2016
Number of pages: 33 Posted: 10 May 2017
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, SOSE and University of Salerno - Department of Economics
Downloads 29 (589,763)
Citation 2

Abstract:

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realized covariance, component dynamic models, MIDAS, minimum variance portfolio, Model Confidence Set, Value-at-Risk