68 citations · 98 across the 10 of their papers we have counts for
7 papers · 1 filter
Value-at-Risk Prediction in R with the GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GA…
Generalized Autoregressive Score Models in R: The GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The disti…
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…
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…
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…
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…
Portfolio Optimisation Under Flexible Dynamic Dependence Modelling
Mauro Bernardi, Leopoldo Catania
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors t…