Giuseppe Storti : Citation Profile


Are you Giuseppe Storti?

Università degli Studi di Salerno

7

H index

4

i10 index

111

Citations

RESEARCH PRODUCTION:

10

Articles

20

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 6
   Journals where Giuseppe Storti has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 10 (8.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst454
   Updated: 2020-05-23    RAS profile: 2019-06-03    
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Relations with other researchers


Works with:

Bauwens, Luc (7)

Braione, Manuela (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Giuseppe Storti.

Is cited by:

Maheu, John (7)

Caporin, Massimiliano (6)

McAleer, Michael (6)

bouoiyour, jamal (6)

Selmi, Refk (5)

Hafner, Christian (5)

Laurent, Sébastien (4)

Haas, Markus (4)

Weigand, Roland (4)

Bauwens, Luc (4)

Asgharian, Hossein (3)

Cites to:

Engle, Robert (25)

Bollerslev, Tim (22)

Shephard, Neil (20)

Sheppard, Kevin (10)

Bauwens, Luc (10)

Andersen, Torben (9)

Zakoian, Jean-Michel (8)

Patton, Andrew (8)

Hansen, Peter (7)

Barndorff-Nielsen, Ole (7)

Jagannathan, Ravi (6)

Main data


Where Giuseppe Storti has published?


Journals with more than one article published# docs
Statistical Methods & Applications3
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany3
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Giuseppe Storti (2018 and 2017)


YearTitle of citing document
2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2019Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro. In: Working Papers. RePEc:bny:wpaper:0073.

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2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. (2020). NG, KOK HAUR ; Chan, Jennifer ; Tan, Shay-Kee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305105.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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2018Testing for misspecification in the short-run component of GARCH-type models. (2018). Flachaire, Emmanuel ; Chuffart, Thomas ; Peguin-Feissolle, Anne. In: Post-Print. RePEc:hal:journl:hal-02083772.

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2017Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. (2017). Elst, Harry Vander ; Veredas, David. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:1:p:106-138..

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:96272.

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2018Combining Multivariate Volatility Forecasts using Weighted Losses. (2018). Clements, Adam ; Doolan, M. In: NCER Working Paper Series. RePEc:qut:auncer:2018_02.

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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Working Paper series. RePEc:rim:rimwps:18-02.

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2017On the influence of US monetary policy on crude oil price volatility. (2017). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1069-5.

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2018A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

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2017The role of fund size in the performance of mutual funds assessed with DEA models. (2017). Basso, Antonella ; Funari, Stefania. In: The European Journal of Finance. RePEc:taf:eurjfi:v:23:y:2017:i:6:p:457-473.

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2019Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Liu, LI ; Wei, YU ; Zhang, Yaojie. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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2018Inference for structural impulse responses in SVAR-GARCH models. (2018). Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:281.

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Works by Giuseppe Storti:


YearTitleTypeCited
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
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2007A component GARCH model with time varying weights.(2007) In: CORE Discussion Papers.
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2009A component GARCH model with time varying weights.(2009) In: CORE Discussion Papers RP.
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2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 26
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2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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2006A GARCH (1,1) estimator with (almost) no moment conditions on the error term In: CORE Discussion Papers.
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paper1
2012Computationally efficient inference procedures for vast dimensional realized covariance models In: CORE Discussion Papers.
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paper1
2013Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 1
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2012Dynamic conditional correlation models for realized covariance matrices In: CORE Discussion Papers.
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2014Forecasting comparison of long term component dynamic models for realized covariance matrices In: CORE Discussion Papers.
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paper12
2016Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: CORE Discussion Papers RP.
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2016A dynamic component model for forecasting high-dimensional realized covariance matrices In: CORE Discussion Papers.
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2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 9
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2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics.
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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: CORE Discussion Papers.
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paper2
2017Least squares estimation for GARCH (1,1) model with heavy tailed errors In: CORE Discussion Papers.
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2014Least squares estimation for GARCH (1,1) model with heavy tailed errors.(2014) In: MPRA Paper.
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2006Minimum distance estimation of GARCH(1,1) models In: Computational Statistics & Data Analysis.
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2008A GMM procedure for combining volatility forecasts In: Computational Statistics & Data Analysis.
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2009Combination of multivariate volatility forecasts In: SFB 649 Discussion Papers.
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2005Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data In: MPRA Paper.
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2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting In: MPRA Paper.
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2000A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES In: Computing in Economics and Finance 2000.
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2002A non-linear time series approach to modelling asymmetry in stock market indexes.(2002) In: Statistical Methods & Applications.
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2006The combination of volatility forecasts In: Computing in Economics and Finance 2006.
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2003Likelihood inference in BL-GARCH models In: Computational Statistics.
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2002Measuring cross-country technological catch-up through variable-parameter FDH In: Statistical Methods & Applications.
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2003BL-GARCH models and asymmetries in volatility In: Statistical Methods & Applications.
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2017Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors In: Econometrics Journal.
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2015Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction In: Journal of Forecasting.
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