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

15

DOWNLOADS
Rank 4,664

SSRN RANKINGS

Top 4,664

in Total Papers Downloads

8,925

SSRN CITATIONS
Rank 16,319

SSRN RANKINGS

Top 16,319

in Total Papers Citations

12

CROSSREF CITATIONS

40

Scholarly Papers (15)

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, 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

Abstract:

Loading...

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

Abstract:

Loading...

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

3.
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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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 87 (298,714)

Abstract:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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)

Abstract:

Loading...

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
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)

Abstract:

Loading...

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

Abstract:

Loading...

Dynamic quantiles, Score Driven models, Risk Management