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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

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

Persistent link: https://www.econbiz.de/10014432743

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

Forecasting comparison of long term component dynamic models for realized covariance matrices

Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - In: Annals of economics and statistics 123/124 (2016), pp. 103-134

Persistent link: https://www.econbiz.de/10011592738

Forecasting volatility and tail risk in electricity markets

Naimoli, Antonio; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-17

This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility, Value-at-Risk, and Expected Shortfall in the Australian electricity markets of New South Wales, Queensland, and Victoria. We propose using Realized GARCH-type models with...

Persistent link: https://www.econbiz.de/10012622471

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

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

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

Nonparametric expected shortfall forecasting incorporating weighted quantiles

Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239

Persistent link: https://www.econbiz.de/10013347785