Browse by Authors

59082

Preminger, Arie and Storti, Giuseppe (2014): Least squares estimation for GARCH (1,1) model with heavy tailed errors.

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Destefanis, Sergio and Storti, Giuseppe (2005): Evaluating Business Incentives Through DEA. An Analysis on Capitalia Firm Data. Published in: DISES Working Papers No. 3.173 (14 November 2005): pp. 1-29.

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Gerlach, Richard and Naimoli, Antonio and Storti, Giuseppe (2018): Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting.

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Naimoli, Antonio and Storti, Giuseppe (2019): Heterogeneous component multiplicative error models for forecasting trading volumes.

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Gerlach, Richard and Naimoli, Antonio and Storti, Giuseppe (2020): Time-varying parameters Realized GARCH models for tracking attenuation bias in volatility dynamics. Forthcoming in: Quantitative Finance (2020)

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Storti, Giuseppe and Wang, Chao (2022): A multivariate semi-parametric portfolio risk optimization and forecasting framework.