Department of Economics and Business Economics

Leopoldo Catania

  1. 2020
  2. Published

    Robust Estimation of a Location Parameter with the Integrated Hogg Function. / Catania, Leopoldo; Luati, Alessandra.

    In: Statistics & Probability Letters, Vol. 164, 108812, 09.2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Density Forecasts and the Leverage Effect : Evidence from Observation and Parameter–Driven Volatility Models. / Catania, Leopoldo; Nonejad, Nima.

    In: The European Journal of Finance, Vol. 26, No. 2-3, 11.02.2020, p. 100-118.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperConference articleResearchpeer-review

  4. Submitted
  5. Accepted/In press

    Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. / Catania, Leopoldo; Proietti, Tommaso.

    In: International Journal of Forecasting, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Accepted/In press

    Hierarchical Markov-Switching Models for Multivariate Integer-valued Time-series. / Catania, Leopoldo; Di Mari, Roberto.

    In: Journal of Econometrics, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  7. Published

    Managing Volumetric Risk of Long-term Power Purchase Agreements. / Tranberg, Bo; Hansen, Rasmus Thrane ; Catania, Leopoldo.

    In: Energy Economics, Vol. 85, 104567, 2020.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. Submitted

    The Leverage Effect and Propagation. / Catania, Leopoldo.

    2020.

    Research output: Working paperResearch

  9. 2019
  10. Published

    Bitcoin at High Frequency. / Catania, Leopoldo; Sandholdt, Mads.

    In: Journal of Risk and Financial Management, Vol. 12, No. 1, 36, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Accepted/In press

    Dynamic Adaptive Mixture Models with an Application to Volatility and Risk. / Catania, Leopoldo.

    In: Journal of Financial Econometrics, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published

    Dynamic Discrete Mixtures for High Frequency Prices. / Catania, Leopoldo; Di Mari, Roberto; Santucci de Magistris, Paolo.

    Social Science Research Network (SSRN), 2019.

    Research output: Working paperResearch

  13. Published

    Forecasting Cryptocurrencies Under Model and Parameter Instability. / Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco.

    In: International Journal of Forecasting, Vol. 35, No. 2, 2019, p. 485-501.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    Generalized Autoregressive Score Models in R: The GAS Package. / Catania, Leopoldo; Ardia, David; Boudt, Kris.

    In: Journal of Statistical Software, Vol. 88, No. 6, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. Published

    Markov–Switching GARCH Models in R: The MSGARCH Package. / Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo; Trottier, Denis-Alexandre .

    In: Journal of Statistical Software, Vol. 91, No. 4, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  16. Published

    Semiparametric Modeling of Multiple Quantiles. / Catania, Leopoldo; Luati, Alessandra.

    2019.

    Research output: Working paperResearch

  17. Published

    Switching generalized autoregressive score copula models with application to systemic risk. / Bernardi, Mauro; Catania, Leopoldo.

    In: Journal of Applied Econometrics, Vol. 34, No. 1, 2019, p. 43-65.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. 2018
  19. Published

    Downside Risk Evaluation with the R Package GAS. / Ardia, David; Boudt, Kris; Catania, Leopoldo.

    In: The R Journal, Vol. 10, No. 2, 2018, p. 410-421.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  20. Published

    Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package. / Catania, Leopoldo; Nonejad, Nima.

    In: Journal of Statistical Software, Vol. 84, No. 11, 2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  21. Submitted

    Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices. / Billé, Anna Gloria; Catania, Leopoldo.

    2018.

    Research output: Working paperResearch

  22. Published

    Forecasting Risk with Markov-Switching GARCH Models: A large-scale performance study. / Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo.

    In: International Journal of Forecasting, Vol. 34, No. 4, 2018, p. 733-747.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. Published

    Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. / Catania, Leopoldo; Bernardi, Mauro.

    In: Journal of Empirical Finance, Vol. 48, No. September, 2018, p. 1-18.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. Published

    Predicting the Volatility of Cryptocurrency Time–Series. / Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco.

    Mathematical and Statistical Methods for Actuarial Sciences and Finance. ed. / Marco Corazza; María Durbán; Aurea Grané; Cira Perna; Marilena Sibillo. Springer, 2018. p. 203-207.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  25. Published

    The Model Confidence Set package for R. / Bernardi, Mauro; Catania, Leopoldo.

    In: International Journal of Computational Economics and Econometrics, Vol. 8, No. 2, 2018, p. 144 - 158.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. 2017
  27. Published

    Are News Important to Predict the Value–at–Risk? / Bernardi, Mauro; Catania, Leopoldo; Petrella, Lea.

    In: European Journal of Finance, Vol. 23, No. 6, 2017, p. 535-572.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  28. Published

    Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. / Catania, Leopoldo; Billé, Anna Gloria.

    In: Journal of Applied Econometrics, Vol. 32, No. 6, 2017, p. 1178–1196.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  29. Published
  30. 2016
  31. Published

    Comparison of Value-at-Risk models using the MCS approach. / Bernardi, Mauro; Catania, Leopoldo.

    In: Computational Statistics, Vol. 31, No. 2, 06.2016, p. 579-608.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review