Giuseppe STORTI | Curriculum
Giuseppe STORTI Curriculum
Since January 2004 Giuseppe Storti has been Associate Professor of Economic Statistics at the University of Salerno, Department of Economic and Statistical Sciences. He has been Assistant Professor of Economic Statistics since February 2001 up to December 2003.
In 1995 he took a Laurea in Economics (cum laude) at the University of Salerno, in 1997 he was awarded a Master of Science in Environmental Statistics and Systems by the University of Lancaster (with Distinction), in 1999 he took a PhD in Statistics at the University of Chieti "G. d.Annunzio". His main research interests are related to the analysis of financial time series.
He has published several papers on this topic in international journals such as Journal of Forecasting, Computational Statistics & Data Analysis, Computational Statistics, Studies in Nonlinear Dynamics and Econometrics and Statistical Methods and Applications. He has refereed papers for many top level international journals such as Computational Statistics & Data Analysis, Journal of Financial Econometrics and Journal of Applied Econometrics.
CURRENT POSITIONAssociate Professor of Economic Statistics, University of Salerno, Italy (since 01/2004)
PREVIOUS POSITIONSLecturer of Economic Statistics, University of Salerno (02/2001 to 12/2003)
EDUCATIONMarch 1995: Laurea in Economics, University of Salerno, Summa cum Laude.October 1997: Master of Science (M.Sc.) with Distinction in Environmental Statistics and Systems, Lancaster University (UK).March 1999: PhD in Statistics, University "G. d'Annunzio", Chieti, Italy. Thesis: Conditional Heteroskedastic Time Series Models: a State Space Approach. MAIN RESEARCH INTERESTSUnivariate and multivariate volatility modeling. Models and inference for high dimensional portfolios.
MAIN PUBLICATIONSBauwens L., Storti G. (2009) A component GARCH model with time varying weights, Studies in Nonlinear Dynamics and Econometrics, vol. 13.2, article 1, Spring 2009. Amendola A., Storti G. (2008) A GMM procedure for combining volatility forecasts, Computational Statistics & Data Analysis, vol. 52/6, 3047-3060 (doi:10.1016/j.csda.2007.10.001). Storti G. (2008) Modelling Asymmetries in Conditional Correlations by Multivariate BL-GARCH models, Statistical Methods & Applications, 17, 2, 251-274 (doi:10.1007/s10260-007-0066-4). Storti G. (2006) Minimum Distance Estimation of GARCH(1,1) models (2006) Computational Statistics and Data Analysis, Vol 51/3, 1803-1821. Storti G., Vitale C. (2003) Likelihood inference in BL-GARCH models, Computational Statistics, vol. 18, 3, 387-400. Storti G., Vitale C. (2003) BL-GARCH Models and Asymmetries in Volatility, Statistical Methods & Applications, vol. 12, 1, 19-40. EDITORIAL DUTIESReferee for: Journal of Financial Econometrics, Journal of Applied Econometrics, Computational Statistics, Computational Statistics and Data Analysis, Statistical Methods and Applications, Italian Journal of Applied Statistics, Journal of International Money and Finance.