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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
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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