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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
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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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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Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
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Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc; Braione, Manuela; Storti, Giuseppe - 2016
Persistent link: https://www.econbiz.de/10011894432