3 citations · 4 across the 4 of their papers we have counts for
4 papers
A semi-parametric dynamic conditional correlation framework for risk forecasting
Giuseppe Storti, Chao Wang
We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametri…
Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach
Giuseppe Storti, Chao Wang
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting.…
Predictive model of polymer reaction kinetics and coagulation behavior in seeded emulsion co- and ter-polymerizations
Luca Banetta, Giuseppe Storti, George Hoogard +2
A mathematical model to describe the emulsion polymerization kinetics of co- and ter-polymerizations is developed. The model is based on the classical Smith-Ewart (SE) equations, w…
Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles
Giuseppe Storti, Chao Wang
A new semi-parametric Expected Shortfall (ES) estimation and forecasting framework is proposed. The proposed approach is based on a two-step estimation procedure. The first step in…