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 | 206 | 2018 |
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 | 178 | 2019 |
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 | 114 | 2018 |
Generalized autoregressive score models in R: The GAS package D Ardia, K Boudt, L Catania Journal of Statistical Software 88, 1-28, 2019 | 97 | 2019 |
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 | 77 | 2017 |
Comparison of Value-at-Risk models using the MCS approach M Bernardi, L Catania Computational Statistics 31 (2), 579-608, 2016 | 56 | 2016 |
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 | 43 | 2019 |
Portfolio optimisation under flexible dynamic dependence modelling M Bernardi, L Catania Journal of Empirical Finance 48, 1-18, 2018 | 36 | 2018 |
Dynamic model averaging for practitioners in economics and finance: The eDMA package L Catania, N Nonejad Journal of Statistical Software 84, 1-39, 2018 | 36 | 2018 |
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 | 31 | 2020 |
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 | 23 | 2020 |
Semiparametric modeling of multiple quantiles L Catania, A Luati Journal of Econometrics 237 (2), 105365, 2023 | 18 | 2023 |
A stochastic volatility model with a general leverage specification L Catania Journal of Business & Economic Statistics 40 (2), 678-689, 2022 | 17 | 2022 |