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ResearcherID: O-9636-2015
Scopus Author ID: 56518360000

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Employment (1)

Università degli studi di Salerno: Fisciano, SA, IT

2016-05-02 to present | Professore Ordinario di Statistica Economica (Dipartimento di Scienze Economiche e Statistiche)
Employment
Source: Self-asserted source
Giuseppe Storti

Education and qualifications (2)

Università degli Studi G. d'Annunzio Chieti - Pescara: Chieti, Abruzzo, IT

1995-11-01 to 1999-03-03 | Dottorato di Ricerca in Statistica
Education
Source: Self-asserted source
Giuseppe Storti

Lancaster University: Lancaster, Lancashire, GB

1996-10-01 to 1997-09-30 | MSc in Environmental Statistics and Systems (Mathematics and Statistics)
Education
Source: Self-asserted source
Giuseppe Storti

Works (42)

Boosting Credit Risk Data Quality Using Machine Learning and eXplainable AI Techniques

2025 | Book chapter
DOI: 10.1007/978-3-031-74643-7_30
Contributors: Elena Tiukhova; Adriano Salcuni; Can Oguz; Marcella Niglio; Giuseppe Storti; Fabio Forte; Bart Baesens; Monique Snoeck
Source: check_circle
Crossref

A semi-parametric dynamic conditional correlation framework for risk forecasting

Quantitative Finance
2025-01-02 | Journal article
DOI: 10.1080/14697688.2024.2446740
Contributors: Giuseppe Storti; Chao Wang
Source: check_circle
Crossref

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

Journal of Forecasting
2023-11 | Journal article
DOI: 10.1002/for.2972
Contributors: Giuseppe Storti; Chao Wang
Source: check_circle
Crossref

A multivariate semi-parametric portfolio risk optimization and forecasting framework

arXiv
2022 | Other
DOI: 10.48550/arXiv.2207.04595
EID:

2-s2.0-85134734533

Part of ISSN: 23318422
Contributors: Storti, G.; Wang, C.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Deep learning for volatility forecasting in asset management

Soft Computing
2022 | Journal article
DOI: 10.1007/s00500-022-07161-1
EID:

2-s2.0-85134375872

Part of ISSN: 14337479 14327643
Contributors: Petrozziello, A.; Troiano, L.; Serra, A.; Jordanov, I.; Storti, G.; Tagliaferri, R.; La Rocca, M.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Nonparametric expected shortfall forecasting incorporating weighted quantiles

International Journal of Forecasting
2022 | Journal article
DOI: 10.1016/j.ijforecast.2021.04.004
EID:

2-s2.0-85106091744

Part of ISSN: 01692070
Contributors: Storti, G.; Wang, C.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Economic Modelling
2022-02 | Journal article
DOI: 10.1016/j.econmod.2021.105701
Contributors: Antonio Naimoli; Richard Gerlach; Giuseppe Storti
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Modelling uncertainty in financial tail risk: A forecast combination and weighted quantile approach

arXiv
2021 | Other
EID:

2-s2.0-85112193988

Part of ISSN: 23318422
Contributors: Storti, G.; Wang, C.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Forecasting Volatility and Tail Risk in Electricity Markets

Journal of Risk and Financial Management
2021-06-26 | Journal article
DOI: 10.3390/jrfm14070294
Contributors: Antonio Naimoli; Giuseppe Storti
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

A Component Multiplicative Error Model for Realized Volatility Measures

Springer Proceedings in Mathematics and Statistics
2020 | Conference paper
DOI: 10.1007/978-3-030-57306-5_35
EID:

2-s2.0-85097270286

Part of ISSN: 21941017 21941009
Contributors: Naimoli, A.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

A Model Confidence Set approach to the combination of multivariate volatility forecasts

International Journal of Forecasting
2020 | Journal article
DOI: 10.1016/j.ijforecast.2019.10.001
EID:

2-s2.0-85079527132

Part of ISSN: 01692070
Contributors: Amendola, A.; Braione, M.; Candila, V.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Multiplicative Conditional Correlation Models for Realized Covariance Matrices

SSRN
2020 | Other
DOI: 10.2139/ssrn.3527455
EID:

2-s2.0-85109574825

Part of ISSN: 15565068
Contributors: Bauwens, L.; Braione, M.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Nonparametric expected shortfall forecasting incorporating weighted quantiles

arXiv
2020 | Other
EID:

2-s2.0-85094070742

Part of ISSN: 23318422
Contributors: Storti, G.; Wang, C.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting

SSRN
2020 | Other
DOI: 10.2139/ssrn.3553270
EID:

2-s2.0-85109821542

Part of ISSN: 15565068
Contributors: Gerlach, R.H.; Naimoli, A.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Quantitative Finance
2020-11-01 | Journal article
DOI: 10.1080/14697688.2020.1751257
Contributors: Richard Gerlach; Antonio Naimoli; Giuseppe Storti
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Financial Time Series: Methods and Models

Journal of Risk and Financial Management
2020-04-28 | Journal article
DOI: 10.3390/jrfm13050086
Contributors: Massimiliano Caporin; Giuseppe Storti
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters

Journal of Risk and Financial Management
2020-03-29 | Journal article
DOI: 10.3390/jrfm13040064
Contributors: Pietro Coretto; Michele La Rocca; Giuseppe Storti
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Heterogeneous component multiplicative error models for forecasting trading volumes

International Journal of Forecasting
2019 | Journal article
DOI: 10.1016/j.ijforecast.2019.06.002
EID:

2-s2.0-85070924023
Contributors: Naimoli, A.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Combining multivariate volatility models

Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018
2018 | Book chapter
DOI: 10.1007/978-3-319-89824-7_7
EID:

2-s2.0-85104133390
Contributors: Amendola, A.; Braione, M.; Candila, V.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Extended realized GARCH models

Springer Proceedings in Mathematics and Statistics
2018 | Conference paper
DOI: 10.1007/978-3-319-73906-9_14
EID:

2-s2.0-85045298993
Contributors: Gerlach, R.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Least-squares estimation of GARCH(1,1) models with heavy-tailed errors

Econometrics Journal
2017 | Journal article
DOI: 10.1111/ectj.12089
EID:

2-s2.0-85026742587
Contributors: Preminger, A.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

A dynamic component model for forecasting high-dimensional realized covariance matrices

Econometrics and Statistics
2017-01 | Journal article
DOI: 10.1016/j.ecosta.2016.09.003
Contributors: Luc Bauwens; Manuela Braione; Giuseppe Storti
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

A comparison of different procedures for combining high-dimensional multivariate volatility forecasts

Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies
2016 | Book
DOI: 10.1007/978-3-319-27274-0_23
EID:

2-s2.0-85060308538
Contributors: Amendola, A.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

A comparison of different procedures for combining high-dimensional multivariate volatility forecasts

Topics in Theoretical and Applied Statistics
2016 | Book chapter
ISBN: ISBN 978-3-319-27274-0
Source: Self-asserted source
Giuseppe Storti

Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction

Journal of Forecasting
2015 | Journal article
DOI: 10.1002/for.2322
WOSUID:

WOS:000351955700001
Contributors: Amendola, Alessandra; Storti, Giuseppe
Source: Self-asserted source
Giuseppe Storti via ResearcherID
grade
Preferred source (of 2)‎

A Thick Modeling Approach to Multivariate Volatility Prediction

Advances in Latent Variables
2014 | Book chapter
DOI: 10.1007/10104_2014_18
Source: Self-asserted source
Giuseppe Storti
grade
Preferred source (of 3)‎

Combining information at different frequencies in multivariate volatility prediction

Proceedings of Compstat 2014, Invited Paper
2014 | Book chapter
HANDLE: https://www.iris.unisa.it/handle/11386/4472857
Source: Self-asserted source
Giuseppe Storti

Computationally Efficient Inference Procedures for Vast Dimensional Realized Covariance Models

Complex Models and Computational Methods in Statistics
2012 | Journal article
DOI: 10.1007/978-88-470-2871-5_4
Source: Self-asserted source
Giuseppe Storti
grade
Preferred source (of 2)‎

Group structured volatility

Studies in Classification, Data Analysis, and Knowledge Organization
2011 | Conference paper
DOI: 10.1007/978-3-642-11363-5_37
EID:

2-s2.0-84888246552
Contributors: Coretto, P.; La Rocca, M.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

A component garch model with time varying weights

Studies in Nonlinear Dynamics and Econometrics
2009 | Journal article
EID:

2-s2.0-67650896051
Contributors: Bauwens, L.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

A Component GARCH Model with Time Varying Weights

Studies in Nonlinear Dynamics and Econometrics
2009 | Journal article
WOSUID:

WOS:000266529300001
Contributors: Bauwens, Luc; Storti, Giuseppe
Source: Self-asserted source
Giuseppe Storti via ResearcherID

A Fast Procedure for Calibrating VaR Models (Procedures Rapides de Calibration pour modeles VaR)

Bulletin of the International Statistical Institute, vol LXII, pp 659-666.
2008 | Journal article
Source: Self-asserted source
Giuseppe Storti

A GMM procedure for combining volatility forecasts

Computational Statistics & Data Analysis
2008 | Journal article
DOI: 10.1016/j.csda.2007.10.001
WOSUID:

WOS:000254422400013
Contributors: Amendola, Alessandra; Storti, Giuseppe
Source: Self-asserted source
Giuseppe Storti via ResearcherID
grade
Preferred source (of 2)‎

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

Statistical Methods and Applications
2008 | Journal article
DOI: 10.1007/s10260-007-0066-4
WOSUID:

WOS:000255095200008
Contributors: Storti, Giuseppe
Source: Self-asserted source
Giuseppe Storti via ResearcherID
grade
Preferred source (of 2)‎

Minimum distance estimation of GARCH(1,1) models

Computational Statistics & Data Analysis
2006 | Journal article
DOI: 10.1016/j.csda.2005.11.020
WOSUID:

WOS:000242704300027
Contributors: Storti, G.
Source: Self-asserted source
Giuseppe Storti via ResearcherID
grade
Preferred source (of 2)‎

Non-linear dynamics in the industrial Production Index

Advances in Multivariate Data Analysis
2004 | Book chapter
WOSUID:

WOS:000224587900012
Contributors: Amendola, A; Storti, G; Bock, HH; Chiodi, M; Mineo, A
Source: Self-asserted source
Giuseppe Storti via ResearcherID

BL-GARCH models and asymmetries in volatility

Statistical Methods and Applications
2003 | Journal article
DOI: 10.1007/s10260-003-0048-0
EID:

2-s2.0-0041720002
Contributors: Storti, G.; Vitale, C.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Likelihood inference in BL-GARCH models

Computational Statistics
2003 | Journal article
DOI: 10.1007/BF03354605
EID:

2-s2.0-0041474553
Contributors: Storti, G.; Vitale, C.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Likelihood inference in BL-GARCH models

Computational Statistics
2003 | Journal article
WOSUID:

WOS:000184926100005
Contributors: Storti, G; Vitale, C
Source: Self-asserted source
Giuseppe Storti via ResearcherID

A non-linear time series approach to modelling asymmetry in stock market indexes

Statistical Methods and Applications
2002 | Journal article
DOI: 10.1007/BF02511487
EID:

2-s2.0-0041720003
Contributors: Amendola, A.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

Measuring cross-country technological catch-up through variable-parameter FDH

Statistical Methods and Applications
2002 | Journal article
EID:

2-s2.0-33544461933
Contributors: Destefanis, S.; Storti, G.
Source: Self-asserted source
Giuseppe Storti via Scopus - Elsevier

A simulation study for the evaluation of the seasonal adjustment and forecasting performances of the TESS system

Italian Journal of Applied Statistics
2000 | Journal article
ISSN: 1125-1964
HANDLE: http://hdl.handle.net/11386/1002164
Source: Self-asserted source
Giuseppe Storti

Peer review (56 reviews for 24 publications/grants)

Review activity for Applied statistics. (1)
Review activity for AStA. (1)
Review activity for AStA. (2)
Review activity for Atmosphere. (1)
Review activity for Bulletin of economic research. (1)
Review activity for Communications in statistics. (2)
Review activity for Computational statistics. (1)
Review activity for Decisions in economics and finance. (1)
Review activity for Econometrics and statistics. (1)
Review activity for Economic modelling. (3)
Review activity for Empirical economics. (1)
Review activity for Empirical economics. (1)
Review activity for IEEE transactions on cybernetics. (3)
Review activity for International journal of forecasting. (7)
Review activity for International review of financial analysis. (1)
Review activity for Journal of business & economic statistics. (3)
Review activity for Journal of forecasting. (5)
Review activity for Journal of nonparametric statistics. (1)
Review activity for Journal of risk and financial management. (3)
Review activity for Journal of the Royal Statistical Society. (1)
Review activity for Mathematics. (1)
Review activity for Quantitative finance. (5)
Review activity for Statistical methods & applications. (4)
Review activity for The European journal of finance. (6)
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