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Leopoldo Catania

Personal Details

First Name:Leopoldo
Middle Name:
Last Name:Catania
Suffix:
RePEc Short-ID:pca1160
http://www.economia.uniroma2.it/phd/ef/default.asp?a=216

Affiliation

(50%) Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://econ.au.dk/
RePEc:edi:ifoaudk (more details at EDIRC)

(50%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Leopoldo Catania & Stefano Grassi, 2017. "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper 417, Tor Vergata University, CEIS, revised 11 Dec 2017.
  2. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  3. David Ardia & Kris Boudt & Leopoldo Catania, 2016. "Generalized Autoregressive Score Models in R: The GAS Package," Papers 1609.02354, arXiv.org.
  4. Leopoldo Catania & Anna Gloria Bill'e, 2016. "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," Papers 1602.02542, arXiv.org, revised Jan 2023.
  5. David Ardia & Kris Boudt & Leopoldo Catania, 2016. "Value-at-Risk Prediction in R with the GAS Package," Papers 1611.06010, arXiv.org.
  6. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
  7. Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
  8. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
  9. Mauro Bernardi & Leopoldo Catania, 2014. "The Model Confidence Set package for R," Papers 1410.8504, arXiv.org.
  10. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.

Articles

  1. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2017. "Are news important to predict the Value-at-Risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 535-572, May.
  2. Leopoldo Catania & Anna Gloria Billé, 2017. "Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1178-1196, September.
  3. Mauro Bernardi & Leopoldo Catania, 2016. "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, vol. 31(2), pages 579-608, June.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2015-04-19 2016-01-29 2016-03-29 2016-04-16 2016-05-08 2018-01-01. Author is listed
  2. NEP-FOR: Forecasting (5) 2014-11-12 2014-11-12 2015-11-21 2016-05-08 2016-11-27. Author is listed
  3. NEP-RMG: Risk Management (5) 2014-11-12 2015-04-19 2016-05-08 2016-11-27 2018-01-01. Author is listed
  4. NEP-ETS: Econometric Time Series (4) 2014-11-12 2016-02-23 2016-04-16 2016-05-08
  5. NEP-URE: Urban and Real Estate Economics (2) 2016-02-23 2016-04-16
  6. NEP-BAN: Banking (1) 2018-01-01
  7. NEP-DCM: Discrete Choice Models (1) 2016-03-29
  8. NEP-GEO: Economic Geography (1) 2016-02-23
  9. NEP-ORE: Operations Research (1) 2018-01-01
  10. NEP-PAY: Payment Systems and Financial Technology (1) 2018-01-01
  11. NEP-PKE: Post Keynesian Economics (1) 2016-05-08
  12. NEP-UPT: Utility Models and Prospect Theory (1) 2016-01-29

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