Leopoldo Catania

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Person:115385

Available identifiers

zbMath Open boudt.krisDBLP04/8427WikidataQ90384939 ScholiaQ90384939MaRDI QIDQ115385

List of research outcomes





PublicationDate of PublicationType
Dynamic core-satellite investing using higher order moments: an explicit solution2024-04-12Paper
highfrequency2023-10-04Software
ETF basket-adjusted covariance estimation2023-06-29Paper
Interpretability of composite indicators based on principal components2022-11-15Paper
The optimal payoff for a Yaari investor2022-10-14Paper
Estimation and decomposition of food price inflation risk2022-07-07Paper
GAS2022-02-04Software
Analyzing Intraday Financial Data in R: The highfrequency Package2022-01-01Paper
Robust interactive fixed effects2022-01-01Paper
sentometrics2021-08-18Software
The R Package sentometrics to Compute, Aggregate, and Predict with Textual Sentiment2021-01-01Paper
Analyzing intraday financial data in R: The highfrequency package2021-01-01Paper
Multivariate GARCH models for large-scale applications: A survey2020-08-18Paper
Nearest comoment estimation with unobserved factors2020-06-18Paper
The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization2020-04-27Paper
The minimum regularized covariance determinant estimator2020-02-26Paper
The minimum regularized covariance determinant estimator2019-04-02Paper
Generalized Autoregressive Score Models in R: The GAS Package2019-01-01Paper
Jump robust two time scale covariance estimation and realized volatility budgets2018-09-19Paper
Block rearranging elements within matrix columns to minimize the variability of the row sums2018-04-13Paper
The impact of covariance misspecification in risk-based portfolios2017-08-25Paper
The impact of covariance misspecification in risk-based portfolios2017-03-22Paper
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity2017-01-13Paper
The Gaussian rank correlation estimator: robustness properties2015-10-16Paper
Robust M-estimation of multivariate GARCH models2014-04-14Paper
The impact of a sustainability constraint on the mean-tracking error efficient frontier2014-03-17Paper
Jump robust daily covariance estimation by disentangling variance and correlation components2012-12-30Paper
Robust explicit estimators of Weibull parameters2011-02-18Paper

Research outcomes over time

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