Department of Economics and Business Economics

Leopoldo Catania

Associate professor

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Leopoldo Catania

Associate professor

  • Department of Economics and Business Economics
  • Department of Economics and Business Economics - CREATES
Postal address:
Fuglesangs Allé 4
2621, 5a
8210
Aarhus V
Denmark
Postal address:
Fuglesangs Allé 4
8210
Aarhus V
Denmark

Email: leopoldo.catania@econ.au.dk

Phone: +4587165536

Employment

Associate professor

Department of Economics and Business Economics

Aarhus University

Aarhus V, Denmark

6 May 2020 → present

Department of Economics and Business Economics - CREATES

Aarhus University

Aarhus V, Denmark

1 Sep 2017 → present

Assistant Professor

Department of Economics and Business Economics

Aarhus University

Aarhus V, Denmark

27 May 20201 Jun 2020

Assistant Professor

Department of Economics and Business Economics

Aarhus University

Aarhus V, Denmark

26 Aug 201724 May 2020

Publications

Robust Estimation of a Location Parameter with the Integrated Hogg Function

Catania, L. & Luati, A., Sep 2020, In : Statistics & Probability Letters. 164, 108812.

Density Forecasts and the Leverage Effect: Evidence from Observation and Parameter–Driven Volatility Models

Catania, L. & Nonejad, N., 11 Feb 2020, In : The European Journal of Finance. 26, 2-3, p. 100-118 19 p.

A Stochastic Volatility Model with a General Leverage Specification

Catania, L., 2020, (Submitted).

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

Catania, L. & Proietti, T., 2020, (Accepted/In press) In : International Journal of Forecasting.

Hierarchical Markov-Switching Models for Multivariate Integer-valued Time-series

Catania, L. & Di Mari, R., 2020, (Accepted/In press) In : Journal of Econometrics.

Managing Volumetric Risk of Long-term Power Purchase Agreements

Tranberg, B., Hansen, R. T. & Catania, L., 2020, In : Energy Economics. 85, 13 p., 104567.

The Leverage Effect and Propagation

Catania, L., 2020, (Submitted).

Bitcoin at High Frequency

Catania, L. & Sandholdt, M., 2019, In : Journal of Risk and Financial Management. 12, 1, 20 p., 36.

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk

Catania, L., 2019, (Accepted/In press) In : Journal of Financial Econometrics. nbz018.

Dynamic Discrete Mixtures for High Frequency Prices

Catania, L., Di Mari, R. & Santucci de Magistris, P., 2019, Social Science Research Network (SSRN).

Forecasting Cryptocurrencies Under Model and Parameter Instability

Catania, L., Grassi, S. & Ravazzolo, F., 2019, In : International Journal of Forecasting. 35, 2, p. 485-501 17 p.

Generalized Autoregressive Score Models in R: The GAS Package

Catania, L., Ardia, D. & Boudt, K., 2019, In : Journal of Statistical Software. 88, 6, 28 p.

Markov–Switching GARCH Models in R: The MSGARCH Package

Ardia, D., Bluteau, K., Boudt, K., Catania, L. & Trottier, D-A., 2019, In : Journal of Statistical Software. 91, 4, 38 p.

Semiparametric Modeling of Multiple Quantiles

Catania, L. & Luati, A., 2019.

Switching generalized autoregressive score copula models with application to systemic risk

Bernardi, M. & Catania, L., 2019, In : Journal of Applied Econometrics. 34, 1, p. 43-65

Downside Risk Evaluation with the R Package GAS

Ardia, D., Boudt, K. & Catania, L., 2018, In : The R Journal. 10, 2, p. 410-421

Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package

Catania, L. & Nonejad, N., 2018, In : Journal of Statistical Software. 84, 11, 39 p.

Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices

Billé, A. G. & Catania, L., 2018, (Submitted).

Forecasting Risk with Markov-Switching GARCH Models: A large-scale performance study

Ardia, D., Bluteau, K., Boudt, K. & Catania, L., 2018, In : International Journal of Forecasting. 34, 4, p. 733-747

Portfolio Optimisation Under Flexible Dynamic Dependence Modelling

Catania, L. & Bernardi, M., 2018, In : Journal of Empirical Finance. 48, September, p. 1-18

Predicting the Volatility of Cryptocurrency Time–Series

Catania, L., Grassi, S. & Ravazzolo, F., 2018, Mathematical and Statistical Methods for Actuarial Sciences and Finance. Corazza, M., Durbán, M., Grané, A., Perna, C. & Sibillo, M. (eds.). Springer, p. 203-207 5 p.

The Model Confidence Set package for R

Bernardi, M. & Catania, L., 2018, In : International Journal of Computational Economics and Econometrics. 8, 2, p. 144 - 158

Are News Important to Predict the Value–at–Risk?

Bernardi, M., Catania, L. & Petrella, L., 2017, In : European Journal of Finance. 23, 6, p. 535-572

Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

Catania, L. & Billé, A. G., 2017, In : Journal of Applied Econometrics. 32, 6, p. 1178–1196

Modelling Crypto–Currencies Financial Time–Series

Catania, L. & Grassi, S., 2017.

Comparison of Value-at-Risk models using the MCS approach

Bernardi, M. & Catania, L., Jun 2016, In : Computational Statistics. 31, 2, p. 579-608