← All authors Giuseppe Storti University of Salerno (from arXiv:2411.17136, 2024) · ORCID · OpenAlex
31 papers in scope · 29 published · 2 on the econ.EM arXiv · 359 citations · h-index 12 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Mark Podolskij Kim Christensen Yuta Kurose Qianli Zhao Lingxiang Zhang Fred Espen Benth Thomas K. Kloster Tetsuya Takabatake Chen Zhang Shifan Yu Yasin Şimşek Aleksey Kolokolov Richard Gerlach Jun Yu Chan Kim Wade Kimbrough Peter Reinhard Hansen Chao Wang Laleh Tafakori Matias Quiroz Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 31)
A Comparative Analysis of Green and Brown Stocks: The Impact of Uncertainty Indices on Tail-Risk Forecasting
published 2026 · Forecasting
with Antonio Naimoli
A semi-parametric dynamic conditional correlation framework for risk forecasting
published 2025 · Quantitative Finance · 1 citations · first circulated 2022
working paper 2024 · arXiv
working paper 2024 · arXiv
Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach
published 2023 · Journal of Forecasting · 8 citations · first circulated 2021
Capturing Measurement Error Bias in Volatility Forecasting by Realized GARCH Models
published 2023 · Springer proceedings in mathematics & statistics
Deep learning for volatility forecasting in asset management
published 2022 · Soft Computing · 47 citations
with Alessio Petrozziello, Luigi Troiano, Angela Serra, Ivan Jordanov, Roberto Tagliaferri, Michele La Rocca
Multiple Measures Realized GARCH Models
published 2022 · Springer proceedings in mathematics & statistics
with Antonio Naimoli
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
published 2021 · Economic Modelling · 14 citations
Forecasting Volatility and Tail Risk in Electricity Markets
published 2021 · Journal of risk and financial management · 5 citations
with Antonio Naimoli
Nonparametric expected shortfall forecasting incorporating weighted quantiles
published 2021 · International Journal of Forecasting · 12 citations · first circulated 2020
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
published 2020 · Quantitative Finance · 10 citations
Financial Time Series: Methods and Models
published 2020 · Journal of risk and financial management · 4 citations
with Massimiliano Caporin
Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters
published 2020 · Journal of risk and financial management · 3 citations
with Pietro Coretto, Michele La Rocca
A Model Confidence Set approach to the combination of multivariate volatility forecasts
published 2020 · International Journal of Forecasting · 23 citations
with Alessandra Amendola, Manuela Braione, Vincenzo Candila
A Component Multiplicative Error Model for Realized Volatility Measures
published 2020 · Springer proceedings in mathematics & statistics
with Antonio Naimoli
Heterogeneous component multiplicative error models for forecasting trading volumes
published 2019 · International Journal of Forecasting · 7 citations
with Antonio Naimoli
Extended Realized GARCH Models
published 2018 · Springer proceedings in mathematics & statistics · 1 citations
Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
published 2017 · Econometrics Journal · 10 citations · first circulated 2014
with Arie Preminger
A dynamic component model for forecasting high-dimensional realized covariance matrices
published 2016 · Econometrics and Statistics · 27 citations
with Luc Bauwens, Manuela Braione
Flexible Realized GARCH Models
published 2016 · 48th Scientific Meeting of the Italian Statistical Society
no link
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
published 2016 · Annals of Economics and Statistics · 22 citations · first circulated 2014
with Luc Bauwens, Manuela Braione
Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction
published 2015 · Journal of Forecasting · 22 citations
with Alessandra Amendola
A Component GARCH Model with Time Varying Weights
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 40 citations · first circulated 2007
with Luc Bauwens
A GMM procedure for combining volatility forecasts
published 2007 · Computational Statistics & Data Analysis · 28 citations
with Alessandra Amendola
Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
published 2007 · Statistical Methods & Applications · 3 citations · first circulated 2006
Minimum distance estimation of GARCH() models
published 2005 · Computational Statistics & Data Analysis · 14 citations · first circulated 2003
Likelihood inference in BL-GARCH models
published 2003 · Computational Statistics · 8 citations
with Cosimo Damiano Vitale
BL-GARCH models and asymmetries in volatility
published 2003 · Statistical Methods & Applications · 27 citations
with Cosimo Damiano Vitale
A non-linear time series approach to modelling asymmetry in stock market indexes
published 2002 · Statistical Methods & Applications · 12 citations · first circulated 2000
with Alessandra Amendola
Measuring cross-country technological catch-up through variable-parameter FDH
published 2002 · Statistical Methods & Applications · 11 citations
with Sergio Destefanis
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