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Leopoldo Catania
Leopoldo Catania
Associate Professor, Aarhus University and CREATES
Verified email at econ.au.dk - Homepage
Title
Cited by
Cited by
Year
Forecasting risk with Markov-switching GARCH models: A large-scale performance study
D Ardia, K Bluteau, K Boudt, L Catania
International Journal of Forecasting 34 (4), 733-747, 2018
2062018
Forecasting cryptocurrencies under model and parameter instability
L Catania, S Grassi, F Ravazzolo
International Journal of Forecasting 35 (2), 485-501, 2019
195*2019
The model confidence set package for R
M Bernardi, L Catania
International Journal of Computational Economics and Econometrics 8 (2), 144-158, 2018
185*2018
Markov-switching GARCH models in R: The MSGARCH package
D Ardia, K Bluteau, K Boudt, L Catania, DA Trottier
Journal of Statistical Software 91 (4), 2019
1782019
Forecasting cryptocurrency volatility
L Catania, S Grassi
International Journal of Forecasting 38 (3), 878-894, 2022
159*2022
Predicting the volatility of cryptocurrency time-series
L Catania, S Grassi, F Ravazzolo
Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF …, 2018
1142018
Generalized autoregressive score models in R: The GAS package
D Ardia, K Boudt, L Catania
Journal of Statistical Software 88, 1-28, 2019
972019
Switching generalized autoregressive score copula models with application to systemic risk
M Bernardi, L Catania
Journal of Applied Econometrics 34 (1), 43-65, 2019
91*2019
Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
L Catania, AG Billé
Journal of Applied Econometrics 32 (6), 1178-1196, 2017
772017
Comparison of Value-at-Risk models using the MCS approach
M Bernardi, L Catania
Computational Statistics 31 (2), 579-608, 2016
562016
Dynamic adaptive mixture models with an application to volatility and risk
L Catania
Journal of Financial Econometrics 19 (4), 531-564, 2021
43*2021
Bitcoin at high frequency
L Catania, M Sandholdt
Journal of Risk and Financial Management 12 (1), 36, 2019
432019
Portfolio optimisation under flexible dynamic dependence modelling
M Bernardi, L Catania
Journal of Empirical Finance 48, 1-18, 2018
362018
Dynamic model averaging for practitioners in economics and finance: The eDMA package
L Catania, N Nonejad
Journal of Statistical Software 84, 1-39, 2018
362018
Downside risk evaluation with the R package GAS
D Ardia, K Boudt, L Catania
R journal 10 (2), 410-421, 2018
35*2018
Managing volumetric risk of long-term power purchase agreements
B Tranberg, RT Hansen, L Catania
Energy Economics 85, 104567, 2020
312020
Are news important to predict the Value-at-Risk?
M Bernardi, L Catania, L Petrella
The European Journal of Finance 23 (6), 535-572, 2017
24*2017
Forecasting volatility with time-varying leverage and volatility of volatility effects
L Catania, T Proietti
International Journal of Forecasting 36 (4), 1301-1317, 2020
232020
Semiparametric modeling of multiple quantiles
L Catania, A Luati
Journal of Econometrics 237 (2), 105365, 2023
182023
A stochastic volatility model with a general leverage specification
L Catania
Journal of Business & Economic Statistics 40 (2), 678-689, 2022
172022
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