← All authors Leopoldo Catania Aarhus University (from arXiv:2103.00060, 2021) · ORCID · OpenAlex
31 papers in scope · 31 published · 2 on the econ.EM arXiv · 1,123 citations · h-index 18 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Alessandro Casini Pierre Perrón Taosong Deng Federico Belotti Lorenzo Trapani Lajos Horváth Luca Mattia Rolla Fabrizio Ghezzi Eduardo Rossi B. Cooper Boniece Anton Skrobotov Meng Li Zijian Zeng Yaein Baek Stefano Grassi Jörg Breitung Sven Otto Paul Kattuman Raimondo Pala Laura Sarno Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 31)
Robust CDF‐Filtering of a Location Parameter
published 2025 · Journal of Time Series Analysis
SWITCHING REGIME INTEGER AUTOREGRESSIONS
published 2025 · Econometric Theory
Bayesian Flexible Local Projections
published 2024 · Studies in Nonlinear Dynamics and Econometrics · first circulated 2023
with Luca Brugnolini, Pernille Hansen, Paolo Santucci de Magistris
published 2023 · Econometric Reviews · 4 citations · first circulated 2021
Semiparametric modeling of multiple quantiles
published 2022 · Journal of Econometrics · 11 citations · first circulated 2019
Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall
published 2021 · Econometrics and Statistics · 3 citations
Forecasting cryptocurrency volatility
published 2021 · International Journal of Forecasting · 62 citations
Economic Vulnerability Is State Dependent
published 2021 · Econometrics Journal
A Stochastic Volatility Model With a General Leverage Specification
published 2020 · Journal of Business and Economic Statistics · 16 citations
Dynamic Discrete Mixtures for High-Frequency Prices
published 2020 · Journal of Business and Economic Statistics · 21 citations · first circulated 2019
with Roberto Di Mari, Paolo Santucci de Magistris
Robust estimation of a location parameter with the integrated Hogg function
published 2020 · Statistics & Probability Letters · 5 citations · first circulated 2019
Hierarchical Markov-switching models for multivariate integer-valued time-series
published 2020 · Journal of Econometrics · 13 citations · first circulated 2017
with Roberto Di Mari
Forecasting volatility with time-varying leverage and volatility of volatility effects
published 2020 · International Journal of Forecasting · 25 citations · first circulated 2018
Multiple Chains Hidden Markov Models for Bivariate Dynamical Systems
published 2020 · Journal of Time Series Analysis
Managing volumetric risk of long-term power purchase agreements
published 2019 · Energy Economics · 29 citations · first circulated 2018
with Bo Tranberg, Rasmus Thrane Hansen
Unobserved component models, approximate filters and dynamic adaptive mixture models
published 2019 · Journal of Financial Econometrics · 22 citations · first circulated 2016
Density forecasts and the leverage effect: Evidence from Observation and parameter-Driven volatility models
published 2019 · European Journal of Finance · 5 citations · first circulated 2016
with Nima Nonejad
Bitcoin at High Frequency
published 2019 · Journal of risk and financial management · 30 citations
with Mads Sandholdt
Markov-Switching GARCH Models in R : The MSGARCH Package
published 2019 · Journal of Statistical Software · 107 citations · first circulated 2016
Generalized Autoregressive Score Models in R : The GAS Package
published 2019 · Journal of Statistical Software · 66 citations · first circulated 2016
Downside Risk Evaluation with the R Package GAS
published 2019 · The R Journal · 17 citations
Forecasting cryptocurrencies under model and parameter instability
published 2018 · International Journal of Forecasting · 153 citations
Switching generalized autoregressive score copula models with application to systemic risk
published 2018 · Journal of Applied Econometrics · 62 citations
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
published 2018 · International Journal of Forecasting · 164 citations · first circulated 2017
Portfolio optimisation under flexible dynamic dependence modelling
published 2018 · Journal of Empirical Finance · 21 citations · first circulated 2016
The model confidence set package for R
published 2018 · International Journal of Computational Economics and Econometrics · 79 citations · first circulated 2014
Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package
published 2018 · Journal of Statistical Software · 27 citations · first circulated 2016
with Nima Nonejad
Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
published 2017 · Journal of Applied Econometrics · 50 citations · first circulated 2016
Modelling Crypto-Currencies Financial Time-Series
published 2017 · CEIS Research Paper · 61 citations
Comparison of Value-at-Risk models using the MCS approach
published 2016 · Computational Statistics · 52 citations
Are news important to predict the Value-at-Risk?
published 2016 · European Journal of Finance · 18 citations
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