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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), Aarhus Universitet (University of Aarhus), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (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

2017

  1. Modelling Crypto-Currencies Financial Time-Series
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (28)

2016

  1. Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models
    Papers, arXiv.org Downloads
  2. Dynamic Adaptive Mixture Models
    Papers, arXiv.org Downloads View citations (1)
  3. Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Papers, arXiv.org (2016) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2017)
  4. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org Downloads View citations (1)
  5. Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
    Papers, arXiv.org Downloads View citations (12)
  6. Switching-GAS Copula Models With Application to Systemic Risk
    Papers, arXiv.org Downloads View citations (2)
  7. Value-at-Risk Prediction in R with the GAS Package
    Papers, arXiv.org Downloads View citations (1)

2015

  1. The Model Confidence Set package for R
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (12)
    Also in Papers, arXiv.org (2014) Downloads View citations (11)

2014

  1. Are news important to predict large losses?
    Papers, arXiv.org Downloads View citations (4)

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 (3)
  2. Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
    Journal of Applied Econometrics, 2017, 32, (6), 1178-1196 Downloads View citations (6)
    See also Working Paper (2016)

2016

  1. Comparison of Value-at-Risk models using the MCS approach
    Computational Statistics, 2016, 31, (2), 579-608 Downloads View citations (7)
 
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