68 citations · 98 across the 10 of their papers we have counts for
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stat.ME2016
Dynamic Adaptive Mixture Models
Leopoldo Catania
In this paper we propose a new class of Dynamic Mixture Models (DAMMs) being able to sequentially adapt the mixture components as well as the mixture composition using information…
stat.ME2016
Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Leopoldo Catania, Anna Gloria Billé
We propose a new class of models specifically tailored for spatio-temporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and hetero…
stat.ME2015★ 3 cited
Switching-GAS Copula Models With Application to Systemic Risk
Mauro Bernardi, Leopoldo Catania
Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market…