Leopoldo Catania

Forecasting risk with Markov-switching GARCH models:A large-scale performance study

David Ardia, Keven Bluteau, Kris Boudt et al. · International Journal of Forecasting · 2018 · 158 citations · Full text

Forecasting Methodology, Volatility Modeling, Economic Forecasting +14

Forecasting cryptocurrencies under model and parameter instability

Leopoldo Catania, Stefano Grassi, Francesco Ravazzolo · International Journal of Forecasting · 2018 · 149 citations · Full text

Economics, Economic Forecasting, Business +5

Markov-Switching GARCH Models in <i>R</i>: The <b>MSGARCH</b> Package

David Ardia, Keven Bluteau, Kris Boudt et al. · Journal of Statistical Software · 2019 · 102 citations · Full text

Volatility Modeling, Msgarch Package, Engineering +20

The model confidence set package for R

Mauro Bernardi, Leopoldo Catania · International Journal of Computational Economics and Econometrics · 2018 · 78 citations · Full text

Volatility Modeling, Engineering, Mcs Procedure +17

Generalized Autoregressive Score Models in <i>R</i>: The <b>GAS</b> Package

David Ardia, Kris Boudt, Leopoldo Catania · Journal of Statistical Software · 2019 · 63 citations · Full text

Engineering, Macroeconomic Forecasting, Time Series Econometrics +19