ECONOMETRICS · AARHUS UNIVERSITY
Leopoldo Catania.
Associate Professor of Econometrics
I work on time-series analysis, financial econometrics, latent class models, and quantitative risk management.
I am an Associate Professor in the Department of Economics and Business Economics at Aarhus University. My research develops models and methods for understanding changing distributions, volatility, and risk.
I serve as an Associate Editor of the Journal of Financial Econometrics, the International Journal of Forecasting, and Statistical Methods & Applications (Methods Section).
CURRENT RESEARCH
Working papers
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SELECTED WORK
Publications
2026
Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models
Journal of Econometrics
2025
2023
2022
A Stochastic Volatility Model with a General Leverage Specification
Journal of Business & Economic Statistics
RESEARCH SOFTWARE
Econometric tools in R.
MSGARCH · GAS · eDMA · MCS