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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18,049

SSRN CITATIONS
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Top 11,907

in Total Papers Citations

93

CROSSREF CITATIONS

39

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, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 6,822 (2,031)
Citation 32

Abstract:

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

2.
Downloads 2,460 (10,992)
Citation 16

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 2,102 (13,944)
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 358 (155,323)
Citation 12

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

3.

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 2,330 (12,043)
Citation 4

Abstract:

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

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, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,825 (17,677)
Citation 17

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 932 (47,500)
Citation 3

Abstract:

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

6.

Dynamic Spatial Autoregressive Models with Time-Varying Spatial Weighting Matrices

Number of pages: 46 Posted: 14 Sep 2018 Last Revised: 29 Oct 2020
University of Padua, VU University AmsterdamTinbergen Institute and Aarhus University - School of Business and Social Sciences
Downloads 448 (121,268)
Citation 7

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7.

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 351 (159,893)

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Leverage effect, volatility modelling, asymmetric GARCH

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 320 (176,556)
Citation 3

Abstract:

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

9.

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 319 (177,114)
Citation 26

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

10.

Economic Vulnerability Is State Dependent

Number of pages: 31 Posted: 20 Apr 2021 Last Revised: 06 Mar 2024
Leopoldo Catania, Alessandra Luati and Pierluigi Vallarino
Aarhus University - School of Business and Social Sciences, Imperial College London - Department of Mathematics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 302 (187,624)

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Macro-Finance, Growth-at-Risk, Score-driven models, Dynamic quantiles

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 167 (329,265)
Citation 1

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 102 (486,040)
Citation 1

Abstract:

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realized volatility, forecasting, leverage effect, volatility in volatility

12.

Semiparametric Modeling of Multiple Quantiles

Number of pages: 27 Posted: 16 Dec 2019 Last Revised: 28 Nov 2022
Leopoldo Catania and Alessandra Luati
Aarhus University - School of Business and Social Sciences and Imperial College London - Department of Mathematics
Downloads 266 (213,740)
Citation 2

Abstract:

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Dynamic Quantiles, Score Driven Models, Risk Management

13.

Multiple Chains Markov Switching Vector Autoregression

Number of pages: 40 Posted: 09 Sep 2020 Last Revised: 15 Nov 2022
Leopoldo Catania
Aarhus University - School of Business and Social Sciences
Downloads 207 (272,086)

Abstract:

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Hidden Markov Models, Multiple Markov Chains, Expectation Conditional Maximization

14.

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 184 (302,501)
Citation 5

Abstract:

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

15.

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 174 (317,970)
Citation 2

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Asymmetric Stochastic Volatility, Leverage Effect, Volatility Prediction

16.

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 Imperial College London - Department of Mathematics
Downloads 151 (358,529)

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

17.

Switching Regime Integer Autoregressions

Number of pages: 37 Posted: 04 Sep 2020 Last Revised: 05 Oct 2023
Aarhus University - School of Business and Social Sciences, Department of Economics and Management and Luiss Guido Carli University
Downloads 146 (370,552)

Abstract:

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

18.

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 124 (418,273)
Citation 3

Abstract:

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Bitcoin, realized volatility, HAR, high frequency

19.

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 121 (426,031)
Citation 3

Abstract:

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

20.

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 119 (431,356)
Citation 4

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

21.

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 100 (489,183)
Citation 7

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

22.

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 Imperial College London - Department of Mathematics
Downloads 57 (672,603)

Abstract:

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Robust statistics, Hogg function, M-estimator

23.

Bayesian Flexible Local Projections

Number of pages: 35 Posted: 20 Dec 2023
affiliation not provided to SSRN, Aarhus University - School of Business and Social Sciences and Luiss Guido Carli University
Downloads 22 (933,897)

Abstract:

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Impulse response functions, vector autoregressions, local projections, monetary policy