Models, methods
& applications.

Autoregressive Models with Non-Causal ARCH Volatility

Catania, L. and Mingoli, G.

Working paper on SSRN ↗

A Generalized Filter for Regime Switching Models

Catania, L., Harvey, A. C., and Krabbe, F.

Working paper on SSRN ↗

The Leverage Effect and Propagation

Catania, L.

Working paper on SSRN ↗

Noise Cancelling Observation-Driven Models

Catania, L. and Steenbergen, J.

Working paper on SSRN ↗

Dynamic Spatial Autoregressive Models with Time-Varying Spatial Weighting Matrices

Billé, A. G., Blasques, F., and Catania, L.

Working paper on SSRN ↗

Dynamic Multiple Quantile Models

Catania, L., Luati, A., and Mikkelsen, E. B.

Working paper on SSRN ↗

Multiple Chains Markov Switching Vector Autoregression

Catania, L.

Journal of Time Series Analysis

Journal article ↗

Economic vulnerability is state dependent

Catania, L., Luati, A., and Vallarino, P.

The Econometrics Journal

Journal article ↗

Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models

Catania, L., D’Innocenzo, E., and Luati, A.

Journal of Econometrics

Journal article ↗

Robust CDF-Filtering of a Location Parameter

Catania, L., Harvey, A., and Luati, A.

Journal of Time Series Analysis

Journal article ↗

Switching Regime Integer Autoregressions

Catania, L., Rossi, E., and Santucci de Magistris, P.

Econometric Theory

Journal article ↗

Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings

Belotti, F., Casini, A., Catania, L., Grassi, S., and Perron, P.

Econometric Reviews

Journal article ↗

Semiparametric Modeling of Multiple Quantiles

Catania, L. and Luati, A.

Journal of Econometrics

Journal article ↗

A Stochastic Volatility Model with a General Leverage Specification

Catania, L.

Journal of Business & Economic Statistics

Journal article ↗

Dynamic Discrete Mixtures for High Frequency Prices

Catania, L., Di Mari, R., and Santucci de Magistris, P.

Journal of Business & Economic Statistics

Journal article ↗

Forecasting cryptocurrency volatility

Catania, L. and Grassi, S.

International Journal of Forecasting

Journal article ↗

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Catania, L. and Luati, A.

Econometrics and Statistics

Journal article ↗

Hierarchical Hidden Markov Models for Multivariate Integer-valued Time-series

Catania, L. and Di Mari, R.

Journal of Econometrics

Journal article ↗

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk

Catania, L.

Journal of Financial Econometrics

Journal article ↗

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

Catania, L. and Proietti, T.

International Journal of Forecasting

Journal article ↗

Managing Volumetric Risk of Long-term Power Purchase Agreements

Tranberg, B., Hansen, R. T., and Catania, L.

Energy Economics

Journal article ↗

Robust Estimation of a Location Parameter with the Integrated Hogg Function

Catania, L. and Luati, A.

Statistics & Probability Letters

Journal article ↗

Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models

Catania, L. and Nonejad, N.

The European Journal of Finance

Journal article ↗

Switching Generalised Autoregressive Score Copula Models with Application to Systemic Risk

Bernardi, M. and Catania, L.

Journal of Applied Econometrics

Journal article ↗

Forecasting Cryptocurrencies Under Model and Parameter Instability

Catania, L., Grassi, S., and Ravazzolo, F.

International Journal of Forecasting

Journal article ↗

Bitcoin at High Frequency

Catania, L. and Sandholdt, M.

Journal of Risk and Financial Management

Journal article ↗

Markov-Switching GARCH Models in R: The MSGARCH Package

Ardia, D., Bluteau, K., Boudt, K., Catania, L., and Trottier, D. A.

Journal of Statistical Software

Journal article ↗

Generalized Autoregressive Score Models in R: The GAS Package

Ardia, D., Boudt, K., and Catania, L.

Journal of Statistical Software

Journal article ↗

Forecasting Risk with Markov-Switching GARCH Models

Ardia, D., Bluteau, K., Boudt, K., and Catania, L.

International Journal of Forecasting

Journal article ↗

Portfolio Optimisation Under Flexible Dynamic Dependence Modelling

Bernardi, M. and Catania, L.

Journal of Empirical Finance

Journal article ↗

Downside Risk Evaluation with the R Package GAS

Ardia, D., Boudt, K., and Catania, L.

The R Journal

Journal article ↗

Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package

Catania, L. and Nonejad, N.

Journal of Statistical Software

Journal article ↗

The Model Confidence Set Package for R

Bernardi, M. and Catania, L.

International Journal of Computational Economics and Econometrics

Journal article ↗

Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

Catania, L. and Billé, A. G.

Journal of Applied Econometrics

Journal article ↗

Are News Important to Predict the Value-at-Risk?

Bernardi, M., Catania, L., and Petrella, L.

The European Journal of Finance

Journal article ↗

Comparison of Value-at-Risk Models Using the MCS Approach

Bernardi, M. and Catania, L.

Computational Statistics

Journal article ↗