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

  • Aarhus University - School of Business and Social Sciences

  • Aarhus University - CREATES

SCHOLARLY PAPERS

15

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8,925

SSRN CITATIONS
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SSRN RANKINGS

Top 16,319

in Total Papers Citations

12

CROSSREF CITATIONS

40

Scholarly Papers (15)

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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
David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania and Denis-Alexandre Trottier
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 3,765 (2,563)
Citation 16

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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 1,337 (14,340)
Citation 3

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

3.

Modelling Crypto-Currencies Financial Time-Series

Downloads 1,247 ( 15,947)
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, Law and Institutions
Downloads 959 (23,165)
Citation 19

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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, Law and Institutions
Downloads 288 (107,164)
Citation 3

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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: 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, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,186 (17,230)
Citation 6

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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 712 (35,755)
Citation 1

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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 146 (204,298)
Citation 10

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

7.

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

Downloads 142 (208,919)

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 87 (298,714)

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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 55 (386,113)

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realized volatility, forecasting, leverage effect, volatility in volatility

8.

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 78 (316,481)

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

9.

Dynamic Spatial Autoregressive Models with Time-Varying Spatial Weighting Matrices

Number of pages: 54 Posted: 14 Sep 2018 Last Revised: 25 Sep 2019
Anna Gloria Billé, Francisco Blasques and Leopoldo Catania
Free University of Bolzano-Bozen, VU University Amsterdam and Aarhus University - School of Business and Social Sciences
Downloads 77 (318,874)
Citation 1

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10.

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 Free University of Bolzano-Bozen
Downloads 61 (361,585)
Citation 4

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

11.

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 52 (389,966)
Citation 1

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Bitcoin, realized volatility, HAR, high frequency

12.

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 43 (425,778)
Citation 1

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

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 40 (433,676)

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

14.

Dynamic Discrete Mixtures for High Frequency Prices

Number of pages: 39 Posted: 01 Apr 2019
Leopoldo Catania, Roberto Di Mari and Paolo Santucci de Magistris
Aarhus University - School of Business and Social Sciences, University of Catania - Department of Economics and Quantitative Methods and LUISS Guido Carli University
Downloads 34 (458,959)

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

15.

Semiparametric Modeling of Multiple Quantiles

Number of pages: 30
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and University of Bologna - Department of Statistics
Downloads 5

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Dynamic quantiles, Score Driven models, Risk Management