3 citations · 4 across the 4 of their papers we have counts for
Showing q-fin.RMShow all
3 papers · 1 filter
q-fin.RM2022★ 1 cited
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…
q-fin.RM2021
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.…
q-fin.RM2020★ 3 cited
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…