9
H index
8
i10 index
229
Citations
Giuseppe Storti : Citation Profile
Università degli Studi di Salerno | RESEARCH PRODUCTION: 22 Articles 34 Papers 4 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (2000 - 2026). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Giuseppe Storti. | Is cited by:
| Cites to:
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Main data
Where Giuseppe Storti has published?
| Journals with more than one article published | # docs |
|---|---|
| JRFM | 3 |
| Statistical Methods & Applications | 3 |
| International Journal of Forecasting | 3 |
| Journal of Forecasting | 2 |
| Quantitative Finance | 2 |
| Computational Statistics & Data Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 7 |
| MPRA Paper / University Library of Munich, Germany | 7 |
| Computing in Economics and Finance 2006 / Society for Computational Economics | 2 |
Recent works citing Giuseppe Storti (2026 and 2025)
| Year | Title of citing document |
|---|---|
| 2026 | Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235. Full description at Econpapers || Download paper |
| 2025 | Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919. Full description at Econpapers || Download paper |
| 2025 | Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988. Full description at Econpapers || Download paper |
| 2025 | Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall. (2025). Kruger, Ryan ; Toerien, Francois ; Gross, Eden. In: Papers. RePEc:arx:papers:2512.12334. Full description at Econpapers || Download paper |
| 2026 | Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2603.22569. Full description at Econpapers || Download paper |
| 2024 | Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach. (2024). van der Lecq, Max ; van Vuuren, Gary. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-1. Full description at Econpapers || Download paper |
| 2025 | A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797. Full description at Econpapers || Download paper |
| 2024 | On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. (2024). Wang, Shixuan ; Lazar, Emese ; Pan, Jingqi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102. Full description at Econpapers || Download paper |
| 2025 | Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166. Full description at Econpapers || Download paper |
| 2025 | Volume-driven time-of-day effects in intraday volatility models. (2025). Batista, Igor Ferreira ; Virbickait, Audron ; Nguyen, Hoang ; Lopes, Hedibert Freitas. In: Working Papers. RePEc:hhs:oruesi:2025_014. Full description at Econpapers || Download paper |
| 2025 | Regular Variable Returns to Scale Production Frontier and Efficiency Measurement. (2025). He, Xinju ; Lee, Shu Kam ; Tsang, Chun Kei ; Ko, Sung. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:5:p:2830-2848. Full description at Econpapers || Download paper |
| 2026 | Real-time return extensions of realized GARCH models for improved risk management in asset markets. (2026). Morimoto, Takayuki ; Tita, Faldy ; Susanto, Bambang ; Nugroho, Didit B. In: Journal of Asset Management. RePEc:pal:assmgt:v:27:y:2026:i:2:d:10.1057_s41260-026-00452-4. Full description at Econpapers || Download paper |
| 2025 | Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x. Full description at Econpapers || Download paper |
| 2025 | Stock return forecasting based on the proxy variables of category factors. (2025). Zhao, Yuan ; Gong, Xue ; Zhang, Weiguo ; Xu, Weijun. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00779-8. Full description at Econpapers || Download paper |
| 2025 | How to conduct effective risk culture assessments. (2025). Drst, Niclas ; Kunz, Jennifer. In: Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung. RePEc:spr:jmgtco:v:36:y:2025:i:2:d:10.1007_s00187-025-00402-y. Full description at Econpapers || Download paper |
| 2025 | Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423. Full description at Econpapers || Download paper |
Works by Giuseppe Storti:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2022 | Nonparametric expected shortfall forecasting incorporating weighted quantiles.(2022) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2021 | Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach.(2023) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2024 | A semi-parametric dynamic conditional correlation framework for risk forecasting In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2025 | A semi-parametric dynamic conditional correlation framework for risk forecasting.(2025) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2026 | Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add?.(2024) In: Working Paper CRENoS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Autoencoder Enhanced Realised GARCH on Volatility Forecasting In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Using quantile time series and historical simulation to forecast financial risk multiple steps ahead In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 36 |
| 2007 | A component GARCH model with time varying weights.(2007) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2009 | A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2007 | A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2006 | A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2006 | A GARCH (1,1) estimator with (almost) no moment conditions on the error term In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Computationally efficient inference procedures for vast dimensional realized covariance models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2012 | Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 24 |
| 2014 | Forecasting comparison of long term component dynamic models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
| 2016 | Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2016 | A dynamic component model for forecasting high-dimensional realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2016 | Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Least squares estimation for GARCH (1,1) model with heavy tailed errors In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Least squares estimation for GARCH (1,1) model with heavy tailed errors.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2006 | Minimum distance estimation of GARCH(1,1) models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 9 |
| 2008 | A GMM procedure for combining volatility forecasts In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 7 |
| 2022 | Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
| 2019 | Heterogeneous component multiplicative error models for forecasting trading volumes In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 2019 | Heterogeneous component multiplicative error models for forecasting trading volumes.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | A Model Confidence Set approach to the combination of multivariate volatility forecasts In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
| 2026 | A Comparative Analysis of Green and Brown Stocks: The Impact of Uncertainty Indices on Tail-Risk Forecasting In: Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2020 | Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters In: JRFM. [Full Text][Citation analysis] | article | 2 |
| 2020 | Financial Time Series: Methods and Models In: JRFM. [Full Text][Citation analysis] | article | 1 |
| 2021 | Forecasting Volatility and Tail Risk in Electricity Markets In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2009 | Combination of multivariate volatility forecasts In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2022 | A multivariate semi-parametric portfolio risk optimization and forecasting framework In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Estimating the R-Star in the US: A Score-Driven State-Space Model with Time-Varying Volatility Persistence In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2000 | A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] | paper | 2 |
| 2002 | A non-linear time series approach to modelling asymmetry in stock market indexes.(2002) In: Statistical Methods & Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2006 | The combination of volatility forecasts In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2003 | Likelihood inference in BL-GARCH models In: Computational Statistics. [Full Text][Citation analysis] | article | 4 |
| 2021 | A GARCH-Type Model with Cross-Sectional Volatility Clusters In: Springer Books. [Citation analysis] | chapter | 0 |
| 2022 | The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting In: Springer Books. [Citation analysis] | chapter | 0 |
| 2025 | Scaling the Tails: Intraday Quantiles for Forecasting Value-at-Risk and Expected Shortfall In: Springer Books. [Citation analysis] | chapter | 0 |
| 2018 | Combining Multivariate Volatility Models In: Springer Books. [Citation analysis] | chapter | 0 |
| 2002 | Measuring cross-country technological catch-up through variable-parameter FDH In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 6 |
| 2003 | BL-GARCH models and asymmetries in volatility In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 12 |
| 2020 | Corporate Governance, Investment, Profitability and Insolvency Risk: Evidence from Italy In: Advances in Management and Applied Economics. [Full Text][Citation analysis] | article | 3 |
| 2020 | Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2017 | Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors In: Econometrics Journal. [Full Text][Citation analysis] | article | 2 |
| 2015 | Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction In: Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
| 2009 | Combination of multivariate volatility forecasts In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated May, 3 2026. Contact: CitEc Team