Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. / Belotti, Federico; Casini, Alessandro; Catania, Leopoldo et al.
In: Econometric Reviews, 2023.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Conference article › Research
Forecasting cryptocurrency volatility. / Catania, Leopoldo; Grassi, Stefano.
In: International Journal of Forecasting, Vol. 38, No. 3, 07.2022, p. 878-894.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
A Stochastic Volatility Model with a General Leverage Specification. / Catania, Leopoldo.
In: Journal of Business and Economic Statistics, Vol. 40, No. 2, 2022, p. 678-689.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Dynamic Discrete Mixtures for High Frequency Prices. / Catania, Leopoldo; Di Mari, Roberto; Santucci de Magistris, Paolo.
In: Journal of Business and Economic Statistics, Vol. 40, No. 2, 2022, p. 559-577.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Semiparametric Modeling of Multiple Quantiles. / Catania, Leopoldo; Luati, Alessandra.
In: Journal of Econometrics, 2022.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Economic vulnerability is state dependent. / Catania, Leopoldo; Luati, Alessandra; Vallarino, Pierluigi.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2021.Research output: Working paper/Preprint › Working paper › Research
Hierarchical Markov-Switching Models for Multivariate Integer-valued Time-series. / Catania, Leopoldo; Di Mari, Roberto.
In: Journal of Econometrics, Vol. 221, No. 1, 03.2021, p. 118-137.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Dynamic Adaptive Mixture Models with an Application to Volatility and Risk. / Catania, Leopoldo.
In: Journal of Financial Econometrics, Vol. 19, No. 4, 2021, p. 531-564.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. / Catania, Leopoldo; Luati, Alessandra.
In: Econometrics and Statistics, 2021.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Conference article › Research › peer-review
Dynamic Multiple Quantile Models. / Catania, Leopoldo; Luati, Alessandra; Bach Mikkelsen, Emil.
2020.Research output: Working paper/Preprint › Working paper › Research
Extreme overdispersion and persistence in time-series of counts. / Catania, Leopoldo; Rossi, Eduardo; Santucci de Magistris, Paolo.
2020.Research output: Working paper/Preprint › Working paper › Research
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. / Catania, Leopoldo; Proietti, Tommaso.
In: International Journal of Forecasting, Vol. 36, No. 4, 2020, p. 1301-1317.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
Multiple Chains Markov Switching Vector Autoregression. / Catania, Leopoldo.
2020.Research output: Working paper/Preprint › Working paper › Research
The Leverage Effect and Propagation. / Catania, Leopoldo.
2020.Research output: Working paper/Preprint › Working paper › Research
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
Markov–Switching GARCH Models in R: The MSGARCH Package. / Ardia, David; Bluteau, Keven; Boudt, Kris et al.
In: Journal of Statistical Software, Vol. 91, No. 4, 2019.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices. / Billé, Anna Gloria; Catania, Leopoldo.
2018.Research output: Working paper/Preprint › Working paper › Research
Forecasting Risk with Markov-Switching GARCH Models: A large-scale performance study. / Ardia, David; Bluteau, Keven; Boudt, Kris et al.
In: International Journal of Forecasting, Vol. 34, No. 4, 2018, p. 733-747.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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/proceeding › Book chapter › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review