Leopoldo Catania

Aarhus University - School of Business and Social Sciences

Assistant Professor

Fuglesangs Allé 4

Aarhus V, DK-8210

Denmark

http://pure.au.dk/portal/en/leopoldo.catania@econ.au.dk

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 3,889

SSRN RANKINGS

Top 3,889

in Total Papers Downloads

12,044

SSRN CITATIONS
Rank 15,660

SSRN RANKINGS

Top 15,660

in Total Papers Citations

30

CROSSREF CITATIONS

40

Scholarly Papers (23)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 4,985 (1,936)
Citation 21

Abstract:

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Generalized Autoregressive Score Models in R: The GAS Package

Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28 Posted: 21 Aug 2016 Last Revised: 04 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,646 (12,485)
Citation 4

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, R Software

3.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36 Posted: 16 Feb 2017 Last Revised: 28 Mar 2019
David Ardia, Keven Bluteau, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,588 (13,214)
Citation 10

Abstract:

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GARCH, MSGARCH, forecasting performance, large-scale study, Value-at-Risk, Expected Shortfall, risk management

4.
Downloads 1,542 ( 13,797)
Citation 14

Modelling Crypto-Currencies Financial Time-Series

Number of pages: 40 Posted: 01 Sep 2017 Last Revised: 28 Oct 2019
Leopoldo Catania and Stefano Grassi
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance
Downloads 1,233 (19,156)
Citation 16

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Crypto-Currency, Bitcoin, Score-Driven Model, Leverage Effect, Long Memory, Higher Order Moments

Modelling Crypto-Currencies Financial Time-Series

CEIS Working Paper No. 417
Number of pages: 39 Posted: 11 Dec 2017 Last Revised: 17 Dec 2017
Leopoldo Catania and Stefano Grassi
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance
Downloads 309 (116,530)
Citation 7

Abstract:

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Crypto-currency; Bitcoin, Score-Driven model; Leverage effect; Long memory; Higher Order Moments

5.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 803 (36,091)

Abstract:

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, Risk Management, VaR, R Software

6.

The Model Confidence Set Package for R

CEIS Working Paper No. 362
Number of pages: 23 Posted: 20 Nov 2015
Mauro Bernardi and Leopoldo Catania
University of Padova and Aarhus University - School of Business and Social Sciences
Downloads 193 (186,534)
Citation 14

Abstract:

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Hypothesis testing, Model Confidence Set, Value-at-Risk, VaR combination, ARCH-Models, R-CRAN

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

Number of pages: 26 Posted: 19 Dec 2018
Leopoldo Catania and Tommaso Proietti
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
Downloads 125 (268,316)

Abstract:

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realized volatility, forecasting, leverage effect, volatility in volatility

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

CEIS Working Paper No. 450
Number of pages: 29 Posted: 07 Feb 2019
Leopoldo Catania and Tommaso Proietti
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
Downloads 66 (404,430)
Citation 1

Abstract:

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realized volatility, forecasting, leverage effect, volatility in volatility

8.

Dynamic Spatial Autoregressive Models with Time-Varying Spatial Weighting Matrices

Number of pages: 46 Posted: 14 Sep 2018 Last Revised: 29 Oct 2020
Anna Gloria Billé, Francisco Blasques and Leopoldo Catania
University of Padua, VU University Amsterdam and Aarhus University - School of Business and Social Sciences
Downloads 173 (205,448)
Citation 2

Abstract:

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9.

Managing Volumetric Risk of Long-term Power Purchase Agreements

Number of pages: 42 Posted: 29 Nov 2018 Last Revised: 23 Jan 2019
Bo Tranberg, Rasmus Thrane Hansen and Leopoldo Catania
Department of Engineering, Jyske Bank A/S and Aarhus University - School of Business and Social Sciences
Downloads 118 (280,558)

Abstract:

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Volumetric risk, Time-varying copula model, Score-driven model, Power purchase agreement, Electricity market

10.

Economic vulnerability is state dependent

Number of pages: 38
Leopoldo Catania, Alessandra Luati and Pierluigi Vallarino
Aarhus University - School of Business and Social Sciences, University of Bologna - Department of Statistics and Aarhus University - School of Business and Social Sciences
Downloads 88

Abstract:

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Economic vulnerability, macro-financial linkages, Growth-at-Risk, score driven models

11.

Semiparametric Modeling of Multiple Quantiles

Number of pages: 30 Posted: 16 Dec 2019
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and University of Bologna - Department of Statistics
Downloads 82 (353,814)
Citation 1

Abstract:

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Dynamic Quantiles, Score Driven Models, Risk Management

12.

Dynamic Discrete Mixtures for High Frequency Prices

Number of pages: 39 Posted: 01 Apr 2019
Aarhus University - School of Business and Social Sciences, University of Catania - Department of Economics and Quantitative Methods and Luiss Guido Carli University
Downloads 73 (378,220)
Citation 1

Abstract:

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Dynamic Mixtures, Skellam Distribution, Zero-Inflated Series, EM Algorithm, High Frequency Prices, Volatility

13.

Hierarchical Markov-Switching Models for Multivariate Integer-valued Time-series

Number of pages: 29 Posted: 16 Dec 2017 Last Revised: 05 Dec 2019
Leopoldo Catania and Roberto Di Mari
Aarhus University - School of Business and Social Sciences and University of Catania - Department of Economics and Quantitative Methods
Downloads 68 (393,081)
Citation 3

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Hidden Markov Model, Mixture Model, Hierarchical Model, NSW Crime Data

14.

Bitcoin at High Frequency

Number of pages: 20 Posted: 12 Jan 2019
Leopoldo Catania and Mads Sandholdt
Aarhus University - School of Business and Social Sciences and Tvilum A/S
Downloads 65 (402,571)
Citation 1

Abstract:

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Bitcoin, realized volatility, HAR, high frequency

15.

Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

CEIS Working Paper No. 375
Number of pages: 36 Posted: 05 Apr 2016
Leopoldo Catania and Anna Gloria Billé
Aarhus University - School of Business and Social Sciences and University of Padua
Downloads 64 (405,664)
Citation 7

Abstract:

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SARAR, time varying parameters, spatio-temporal data, score driven models

16.

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk

Number of pages: 32 Posted: 14 May 2019
Leopoldo Catania
Aarhus University - School of Business and Social Sciences
Downloads 63 (409,081)
Citation 2

Abstract:

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Dynamic Mixture Models, Score--Driven models, Adaptive Models, Quantitative Risk Management

17.

A Stochastic Volatility Model with a General Leverage Specification

Number of pages: 30 Posted: 16 Aug 2020 Last Revised: 16 Nov 2020
Leopoldo Catania
Aarhus University - School of Business and Social Sciences
Downloads 59 (429,511)
Citation 1

Abstract:

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Asymmetric Stochastic Volatility, Leverage Effect, Volatility Prediction

18.

Multiple Chains Hidden Markov Models for Bivariate Dynamical Systems

Number of pages: 34 Posted: 09 Sep 2020 Last Revised: 19 Mar 2021
Leopoldo Catania
Aarhus University - School of Business and Social Sciences
Downloads 56 (433,053)

Abstract:

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Hidden Markov Models, Multiple Markov Chains, Expectation Conditional Maximization

19.

The Leverage Effect and Propagation

Number of pages: 39 Posted: 04 Jun 2020 Last Revised: 06 Mar 2021
Leopoldo Catania
Aarhus University - School of Business and Social Sciences
Downloads 49 (459,204)
Citation 2

Abstract:

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Leverage effect, volatility modelling, asymmetric GARCH

20.

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Number of pages: 22 Posted: 29 Mar 2021
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and University of Bologna - Department of Statistics
Downloads 47 (471,546)

Abstract:

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Asymmetric Laplace distribution, Scoring rules, Quantiles, Elicitability, Risk measures

21.

Extreme Overdispersion and Persistence in Time-Series of Counts

Number of pages: 46 Posted: 04 Sep 2020
Aarhus University - School of Business and Social Sciences, Department of Economics and Management and Luiss Guido Carli University
Downloads 39 (502,318)

Abstract:

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Integer number autoregressive, counts, hidden-Markov, overdispersion, high-frequency, trading volume

22.

Dynamic Multiple Quantile Models

Number of pages: 30 Posted: 15 Jan 2021
Leopoldo Catania, Alessandra Luati and Emil Bach Mikkelsen
Aarhus University - School of Business and Social Sciences, University of Bologna - Department of Statistics and affiliation not provided to SSRN
Downloads 38 (506,870)

Abstract:

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Score driven models; leverage effect; risk management; two stage estimation

23.

Robust Estimation of a Location Parameter with the Integrated Hogg Function

Number of pages: 15 Posted: 13 Jan 2020
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and University of Bologna - Department of Statistics
Downloads 14 (651,615)

Abstract:

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Robust statistics, Hogg function, M-estimator