4 citations · 4 across the 2 of their papers we have counts for
2 papers
stat.CO2016★ 4 cited
Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package
Leopoldo Catania, Nima Nonejad
Raftery, Karny, and Ettler (2010) introduce an estimation technique, which they refer to as Dynamic Model Averaging (DMA). In their application, DMA is used to predict the output s…
stat.AP2016
Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models
Leopoldo Catania, Nima Nonejad
The leverage effect refers to the well-established relationship between returns and volatility. When returns fall, volatility increases. We examine the role of the leverage effect…