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Leopoldo Catania · Study
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Author
Leopoldo Catania
14 works
· latest 2021
· 3 institutions
cluster: provisional
ORCID 0000-0002-0981-1921
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Citations
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Most cited in this library
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
2018 · 167 citations
Forecasting cryptocurrencies under model and parameter instability
2018 · 153 citations
Markov-Switching GARCH Models in R : The MSGARCH Package
2016 · 145 citations
The model confidence set package for R
2018 · 82 citations
Predicting the Volatility of Cryptocurrency Time-Series
2018 · 72 citations
Works
14 shown
Forecasting cryptocurrency volatility
International Journal of Forecasting
·
2021
·
2 authors
69
citations
Managing volumetric risk of long-term power purchase agreements
Energy Economics
·
2019
·
3 authors
·
Open access
32
citations
Generalized Autoregressive Score Models in R: The GAS Package
Journal of Statistical Software
·
2019
·
3 authors
·
Open access
65
citations
Bitcoin at High Frequency
Journal of risk and financial management
·
2019
·
2 authors
·
Open access
33
citations
Forecasting cryptocurrencies under model and parameter instability
International Journal of Forecasting
·
2018
·
3 authors
·
Open access
153
citations
Switching generalized autoregressive score copula models with application to systemic risk
Journal of Applied Econometrics
·
2018
·
2 authors
·
Open access
62
citations
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
International Journal of Forecasting
·
2018
·
4 authors
·
Open access
167
citations
The model confidence set package for R
International Journal of Computational Economics and Econometrics
·
2018
·
2 authors
·
Open access
82
citations
Predicting the Volatility of Cryptocurrency Time-Series
Springer eBooks
·
2018
·
3 authors
·
chapter
·
Open access
72
citations
Modelling Crypto-Currencies Financial Time-Series
SSRN Electronic Journal
·
2017
·
2 authors
·
preprint
·
Open access
58
citations
Comparison of Value-at-Risk models using the MCS approach
Computational Statistics
·
2016
·
2 authors
52
citations
Markov-Switching GARCH Models in R : The MSGARCH Package
Journal of Statistical Software
·
2016
·
5 authors
·
Open access
145
citations
Generalized Autoregressive Score Models in R: The GAS Package
SSRN Electronic Journal
·
2016
·
3 authors
·
preprint
·
Open access
35
citations
The Model Confidence Set Package for R
SSRN Electronic Journal
·
2015
·
2 authors
·
preprint
·
Open access
36
citations