Leopoldo Catania : Citation Profile


Are you Leopoldo Catania?

Aarhus Universitet (50% share)
Aarhus Universitet (50% share)

2

H index

1

i10 index

25

Citations

RESEARCH PRODUCTION:

3

Articles

12

Papers

RESEARCH ACTIVITY:

   3 years (2014 - 2017). See details.
   Cites by year: 8
   Journals where Leopoldo Catania has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 7 (21.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca1160
   Updated: 2018-08-11    RAS profile: 2018-02-06    
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Relations with other researchers


Works with:

Billé, Anna Gloria (3)

Ardia, David (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Leopoldo Catania.

Is cited by:

Ravazzolo, Francesco (5)

Molnár, Peter (5)

Lyócsa, Štefan (5)

Walther, Thomas (2)

Gil-Alana, Luis (2)

Lucas, Andre (2)

Plastun, Alex (2)

Caporale, Guglielmo Maria (2)

masciandaro, donato (2)

Schwaab, Bernd (1)

Foroni, Claudia (1)

Cites to:

Engle, Robert (36)

Lucas, Andre (33)

Koopman, Siem Jan (31)

Bollerslev, Tim (21)

Blasques, Francisco (18)

Hansen, Peter (11)

Harvey, Andrew (10)

Creal, Drew (9)

Rockinger, Michael (8)

Lunde, Asger (8)

Diebold, Francis (7)

Main data


Where Leopoldo Catania has published?


Working Papers Series with more than one paper published# docs
Papers / arXiv.org9
CEIS Research Paper / Tor Vergata University, CEIS3

Recent works citing Leopoldo Catania (2018 and 2017)


YearTitle of citing document
2017BEYOND BITCOIN AND CASH: DO WE LIKE A CENTRAL BANK DIGITAL CURRENCY? A FINANCIAL AND POLITICAL ECONOMICS APPROACH. (2017). masciandaro, donato ; Cillo, Alessandra ; Caselli, Stefano ; Borgonovo, Emanuele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1765.

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2018BETWEEN CASH, DEPOSIT AND BITCOIN: WOULD WE LIKE A CENTRAL BANK DIGITAL CURRENCY? MONEY DEMAND AND EXPERIMENTAL ECONOMICS. (2018). masciandaro, donato ; Cillo, Alessandra ; Caselli, Stefano ; Borgonovo, Emanuele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1875.

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2018Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061.

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2018Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063.

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2017Quasi-ML estimation, Marginal Effects and Asymptotics for Spatial Autoregressive Nonlinear Models. (2017). Leorato, Samantha ; Billé, Anna Gloria ; Bille, Anna Gloria. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps44.

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2017Persistence in the Cryptocurrency Market. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6811.

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2017Persistence in the Cryptocurrency Market. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1703.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017VARX-L: Structured regularization for large vector autoregressions with exogenous variables. (2017). Nicholson, William B ; Bien, Jacob ; Matteson, David S. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:627-651.

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2018Assessing the predictive ability of sovereign default risk on exchange rate returns. (2018). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:242-264.

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2018Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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2017Model Averaging and its Use in Economics. (2017). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:81568.

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2017Finite Sample Optimality of Score-Driven Volatility Models. (2017). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170111.

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2018Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:12.

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2018Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting. (2018). Walther, Thomas ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:15.

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Works by Leopoldo Catania:


YearTitleTypeCited
2014Are news important to predict large losses? In: Papers.
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paper0
2014The Model Confidence Set package for R In: Papers.
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paper11
2015The Model Confidence Set package for R.(2015) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 11
paper
2016Switching-GAS Copula Models With Application to Systemic Risk In: Papers.
[Full Text][Citation analysis]
paper1
2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling In: Papers.
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paper1
2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances In: Papers.
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paper2
2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances.(2016) In: CEIS Research Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2017Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances.(2017) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2016Dynamic Adaptive Mixture Models In: Papers.
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paper1
2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models In: Papers.
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paper0
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
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paper0
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
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paper0
2017Modelling Crypto-Currencies Financial Time-Series In: CEIS Research Paper.
[Full Text][Citation analysis]
paper8
2016Comparison of Value-at-Risk models using the MCS approach In: Computational Statistics.
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article1
2017Are news important to predict the Value-at-Risk? In: The European Journal of Finance.
[Full Text][Citation analysis]
article0

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