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

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12,714

SSRN CITATIONS
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Top 15,934

in Total Papers Citations

33

CROSSREF CITATIONS

38

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 5,138 (1,917)
Citation 20

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 1,737 (11,970)
Citation 4

Abstract:

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

3.
Downloads 1,653 ( 12,975)
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 1,340 (17,692)
Citation 16

Abstract:

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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 313 (118,818)
Citation 7

Abstract:

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

4.

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: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
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 1,620 (13,352)
Citation 9

Abstract:

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

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 817 (36,713)

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 Padua and Aarhus University - School of Business and Social Sciences
Downloads 204 (183,105)
Citation 15

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 128 (271,771)

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 69 (406,540)
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 189 (197,200)
Citation 3

Abstract:

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9.

Economic Vulnerability Is State Dependent

Number of pages: 38 Posted: 20 Apr 2021
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 151 (237,722)

Abstract:

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Economic Vulnerability, Macro-Financial Linkages, Growth-at-Risk, Score Driven Models

10.

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 128 (270,720)

Abstract:

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

11.

Semiparametric Modeling of Multiple Quantiles

Number of pages: 33 Posted: 16 Dec 2019 Last Revised: 05 May 2021
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and University of Bologna - Department of Statistics
Downloads 99 (324,078)
Citation 1

Abstract:

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Dynamic Quantiles, Score Driven Models, Risk Management

12.

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 78 (375,228)
Citation 1

Abstract:

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Leverage effect, volatility modelling, asymmetric GARCH

13.

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 77 (377,986)
Citation 2

Abstract:

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

14.

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Number of pages: 23 Posted: 29 Mar 2021 Last Revised: 04 May 2021
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and University of Bologna - Department of Statistics
Downloads 76 (380,754)

Abstract:

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

15.

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 76 (380,754)
Citation 1

Abstract:

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

16.

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 74 (386,552)
Citation 5

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

17.

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 73 (389,436)

Abstract:

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Hidden Markov Models, Multiple Markov Chains, Expectation Conditional Maximization

18.

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 72 (392,449)
Citation 1

Abstract:

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Asymmetric Stochastic Volatility, Leverage Effect, Volatility Prediction

19.

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 69 (401,638)
Citation 1

Abstract:

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Bitcoin, realized volatility, HAR, high frequency

20.

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 66 (411,212)
Citation 7

Abstract:

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

21.

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 54 (453,235)

Abstract:

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

22.

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 48 (476,802)

Abstract:

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

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 18 (642,167)

Abstract:

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Robust statistics, Hogg function, M-estimator