Narrow search
Showing 1 - 5 of 5
Cover Image
Comparing multivariate volatility forecasts by direct and indirect approaches
Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57
Persistent link: https://www.econbiz.de/10011799128
Cover Image
A component GARCH model with time varying weights
Bauwens, Luc; Storti, Giuseppe - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
Cover Image
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
Cover Image
Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione
Persistent link: https://www.econbiz.de/10015099208
Cover Image
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470