EconPapers    
Economics at your fingertips  

EconPapers Home
About EconPapers

Working Papers
Journal Articles
Books and Chapters
Software Components

Authors

JEL codes
New Economics Papers

Advanced Search


EconPapers FAQ
Archive maintainers FAQ
Cookies at EconPapers

The RePEc blog
The RePEc plagiarism page

 

Details about Leopoldo Catania

E-mail:
Homepage:http://www.economia.uniroma2.it/phd/ef/default.asp?a=216
Workplace:Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Leopoldo Catania.

Last updated 2018-02-06. Update your information in the RePEc Author Service.

Short-id: pca1160

Jump to Journal Articles

Working Papers

2023

  1. Dynamic Adaptive Mixture Models
    Papers, arXiv.org Downloads View citations (4)
  2. Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
    Papers, arXiv.org Downloads View citations (4)
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2016) Downloads
    See also Journal Article Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (21) (2017)

2017

  1. Modelling Crypto-Currencies Financial Time-Series
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (38)

2016

  1. Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models
    Papers, arXiv.org Downloads View citations (1)
  2. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org Downloads View citations (10)
  3. Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
    Papers, arXiv.org Downloads View citations (14)
  4. Switching-GAS Copula Models With Application to Systemic Risk
    Papers, arXiv.org Downloads View citations (5)
  5. Value-at-Risk Prediction in R with the GAS Package
    Papers, arXiv.org Downloads View citations (4)

2015

  1. The Model Confidence Set package for R
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (26)
    Also in Papers, arXiv.org (2014) Downloads View citations (19)

2014

  1. Are news important to predict large losses?
    Papers, arXiv.org Downloads View citations (7)

Journal Articles

2017

  1. Are news important to predict the Value-at-Risk?
    The European Journal of Finance, 2017, 23, (6), 535-572 Downloads View citations (7)
  2. Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
    Journal of Applied Econometrics, 2017, 32, (6), 1178-1196 Downloads View citations (21)
    See also Working Paper Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances, Papers (2023) Downloads View citations (4) (2023)

2016

  1. Comparison of Value-at-Risk models using the MCS approach
    Computational Statistics, 2016, 31, (2), 579-608 Downloads View citations (22)
The links between different versions of a paper are constructed automatically by matching on the titles.

Please contact if a link is incorrect.

Use this form to add links between versions where the titles do not match.

RePEc
This site is part of RePEc and all the data displayed here is part of the RePEc data set.

Is your work missing from RePEc? Here is how to contribute.

Questions or problems? Check the EconPapers FAQ or send mail to .

Örebro UniversityEconPapers is hosted by the School of Business at Örebro University.

 
Page updated 2025-04-01