Leopoldo Catania
Biographic Data
| ID | 8920969 |
|---|---|
| NAME | Leopoldo Catania |
| GIVEN NAMES | Leopoldo |
| FAMILY NAME | Catania |
| SIGNATURE | CATANIA L |
| AFFILIATIONS | Aarhus University |
| ORCID | 0000-0002-0981-1921 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
A Stochastic Volatility Model With a General Leverage Specification
We introduce a new stochastic volatility model that postulates a general correlation structure between the shocks of the measurement and log volatility equations at different temporal lags. The resulting specification is able to better characterize the leverage effect and propagation in financial time series. Furthermore, it nests other asymmetric volatility models and can be used for testing and diagnostics. We derive the simulated maximum likel…
Dynamic Discrete Mixtures for High-Frequency Prices
The tick structure of the financial markets entails discreteness of stock price changes. Based on this empirical evidence, we develop a multivariate model for discrete price changes featuring a mechanism to account for the large share of zero returns at high frequency. We assume that the observed price changes are independent conditional on the realization of two hidden Markov chains determining the dynamics and the distribution of the multivaria…
No prominent works on this page.
A Stochastic Volatility Model With a General Leverage Specification
We introduce a new stochastic volatility model that postulates a general correlation structure between the shocks of the measurement and log volatility equations at different temporal lags. The resulting specification is able to better characterize the leverage effect and propagation in financial time series. Furthermore, it nests other asymmetric volatility models and can be used for testing and diagnostics. We derive the simulated maximum likel…
Dynamic Discrete Mixtures for High-Frequency Prices
The tick structure of the financial markets entails discreteness of stock price changes. Based on this empirical evidence, we develop a multivariate model for discrete price changes featuring a mechanism to account for the large share of zero returns at high frequency. We assume that the observed price changes are independent conditional on the realization of two hidden Markov chains determining the dynamics and the distribution of the multivaria…
Complex Systems and Time Series Analysis (2 works) · Computer Science (2 works) · Econometrics (2 works) · Financial Risk and Volatility Modeling (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works) · Statistics (2 works) · Autoregressive conditional heteroskedasticity (1 work) · Economics (1 work) · Estimator (1 work)