Research

Head of Research – Leopoldo Catania, Msc

– PhD Finance Candidate
Head of Research – Sapienza Finance Student Association
Linkedin CV/Resume

Department of Economics and Finance, University of Rome, ‘Tor Vergata’.
Via Columbia 2, 00133, Rome.
Phone +39 06 7259 5941. Email: leopoldo.catania@uniroma2.it
Website: http://economia.uniroma2.it/phd/ef/leopoldo-catania/

Skype: leopoldo.catania

 Publications:

  • Catania, L. and Billé, A.G. (2016), “Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances”Journal of Applied Econometrics (forthcoming), CEIS Working Paper 14 (5) No. 375 Preprint arXiv:1602.02542 [stat.ME],
  • Bernardi, M. and Catania, L. (2016), “Comparison of Value-at-Risk models using the MCS approach”, Computational Statistics, DOI:10.1007/s00180-016-0646-6, Preprint arXiv:1502.04472 [stat.CO],
  • Bernardi, M. and Catania, L. and Petrella, L. (2016), “Are News Important to Predict the Value-at-Risk ?”, The European Journal of Finance, DOI:10.1080/1351847X.2015.1106959 . Preprint arXiv:1410.6898 [stat.AP], .
  • Bernardi, M. and Catania, L. (2016), “The Model Confidence Set package for R”, International Journal of Computational Economics and Econometrics (Forthcoming), Preprint arXiv:1410.8504 [q-fin.ST],

Papers submitted to journals:

  • Ardia, D., Boudt, K. and Catania, L. (2016). “Generalized Autoregressive Score Models in R: The GAS Package.” Available at SSRN: http://ssrn.com/abstract=2825380 .
  • Catania, L. and Nonejad, N. (2016), “Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package”, (submitted), Preprint arXiv:1606.05656 [stat.CO],
  • Catania, L. and Nonejad, N. (2016), “Density forecasting comparison of volatility models”, (submitted), Preprint arXiv:1605.00230 [stat.AP],
  • Catania, L. (2016), “Dynamic Adaptive Mixture Models”, (submitted), Preprint arXiv:1603.01308 [stat.ME],
  • Bernardi, M. and Catania, L. (2015), “Switching GAS Copula models for systemic risk assessment”, (submitted), Preprint arXiv:1504.03733 [stat.ME],
  • Bernardi, M. and Catania, L. (2015), “Portfolio Optimisation Under Flexible Dynamic Dependence Modelling”, (submitted), Preprint arXiv:1601.05199 [qf.PM],

Working Papers:

  • Catania, L. and Proietti T. (2016), “Adaptive Combination Schemes for Point and Density Forecasts”, Working Paper.
  • Catania, L. and Gorgi P. (2016), “Clustered Switching Predictive Density Combinations”, Working Paper.
  • Billé, A.G. and Catania, L. (2016), “Dynamic Spatial Weighting Matrices”, Working Paper.
  • Billé, A.G. and Catania, L. (2016), “The Dynamics of CO2 Emissions in the European Union Countries. ”, Working Paper.
  • Bernardi, M. and Catania, L. (2015), “Portfolio optimization under Dynamic Asymmetric Laplace Hidden Markov models”, Working Paper.
  • Catania, L. (2014), “Dynamic Conditional Volatility Models for Risk Assessment”, Unpublished manuscript.