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Leopoldo Catania

aarhus university

20H-index
85Paper Count
1.4KCitation Count
Published Papers 14
Publication Date
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Economic vulnerability is state dependent
errThe Econometrics Journal
IF0
err2026-03-11
err0
PREAI
errLeopoldo Catania; Alessandra Luati; Pierluigi Vallarino
errShare
errSave
Unobserved component models, approximate filters and dynamic adaptive mixture models
errJournal of Econometrics
IF4
err2025-11-28
err0
errOAAI
errLeopoldo Catania; Enzo D’Innocenzo; Alessandra Luati
errShare
errSave
Robust CDF-Filtering of a Location Parameter
errJournal of Time Series Analysis
IF1
err2025-11-01
err0
errOAAI
errCatania, Leopoldo; Harvey, Andrew C.; Luati, Alessandra
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errSave
SWITCHING REGIME INTEGER AUTOREGRESSIONS
errEconometric Theory
IF1
err2025-10-01
err0
errOAAI
errCatania, Leopoldo; Rossi, Eduardo; Santucci de Magistris, Paolo
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errSave
Semiparametric modeling of multiple quantiles
errJOURNAL OF ECONOMETRICS
IF4
err2023-12-01
err2
PREAI
errCatania, Leopoldo; Luati, Alessandra
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errSave
Forecasting cryptocurrency volatility
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2022-07-01
err28
PREAI
errCatania, Leopoldo; Grassi, Stefano
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errSave
Hierarchical Markov-switching models for multivariate integer-valued time-series
errJOURNAL OF ECONOMETRICS
IF4
err2021-03-01
err5
errOAAI
errCatania, Leopoldo; Di Mari, Roberto
errShare
errSave
Forecasting volatility with time-varying leverage and volatility of volatility effects
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2020-10-01
err14
PREAI
errCatania, Leopoldo; Proietti, Tommaso
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errSave
Managing volumetric risk of long-term power purchase agreements
errENERGY ECONOMICS
IF14.2
err2020-01-01
err14
PREAI
errTranberg, Bo; Hansen, Rasmus Thrane; Catania, Leopoldo
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errSave
Forecasting cryptocurrencies under model and parameter instability
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2019-04-01
err75
errOAAI
errCatania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco
errShare
errSave
Markov-Switching GARCH Models in R: The MSGARCH Package
errJOURNAL OF STATISTICAL SOFTWARE
IF8.1
err2019-01-01
err62
errOAAI
errArdia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo; Trottier, Denis-Alexandre
errShare
errSave
Generalized Autoregressive Score Models in R: The GAS Package
errJOURNAL OF STATISTICAL SOFTWARE
IF8.1
err2019-01-01
err43
errOAAI
errArdia, David; Boudt, Kris; Catania, Leopoldo
errShare
errSave
Forecasting risk with Markov-switching GARCH models: A large-scale performance study
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2018-10-01
err90
errOAAI
errArdia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo
errShare
errSave
Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package
errJOURNAL OF STATISTICAL SOFTWARE
IF8.1
err2018-01-01
err12
errOAAI
errCatania, Leopoldo; Nonejad, Nima
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errSave

Research Directions

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Co-authors
Cooperation Journals
A
Andrew Harvey
H-index: 70 · Papers: 327
F
Francesco Ravazzolo
H-index: 33 · Papers: 265
K
Kris Boudt
H-index: 32 · Papers: 234
T
Tommaso Proietti
H-index: 25 · Papers: 206
S
Stefano Grassi
H-index: 16 · Papers: 122
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