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Forecasting volatility with time-varying leverage and volatility of volatility effects
Catania, Leopoldo; Proietti, Tommaso - In: International journal of forecasting 36 (2020) 4, pp. 1301-1317
Persistent link: https://www.econbiz.de/10012546666
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Density forecasts and the leverage effect : evidence from observation and parameter-driven volatility models
Catania, Leopoldo; Nonejad, Nima - In: The European journal of finance 26 (2020) 2/3, pp. 100-118
Persistent link: https://www.econbiz.de/10012207189
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A stochastic volatility model with a general leverage specification
Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
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Forecasting cryptocurrency volatility
Catania, Leopoldo; Grassi, Stefano - In: International journal of forecasting 38 (2022) 3, pp. 878-894
Persistent link: https://www.econbiz.de/10013349436