Details about Gianluca Cubadda

Access statistics for papers by Gianluca Cubadda.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pcu1

Working Papers

2024

1. Optimization of the Generalized Covariance Estimator in Noncausal Processes
   Papers, arXiv.org View citations (2)
   Also in CEIS Research Paper, Tor Vergata University, CEIS (2024) View citations (1)
2. The Time-Varying Multivariate Autoregressive Index Model
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in Papers, arXiv.org (2022)
   See also Journal Article The time-varying Multivariate Autoregressive Index model, International Journal of Forecasting, Elsevier (2025) View citations (1) (2025)
3. VAR models with an index structure: A survey with new results
   Papers, arXiv.org

2023

4. Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models
   CEIS Research Paper, Tor Vergata University, CEIS View citations (3)
   Also in Papers, arXiv.org (2022)
   See also Journal Article Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models, Econometrics, MDPI (2023) View citations (3) (2023)
5. The Vector Error Correction Index Model: Representation, Estimation and Identification
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
   See also Journal Article The vector error correction index model: representation, estimation and identification, The Econometrics Journal, Royal Economic Society (2024) View citations (2) (2024)

2022

6. Dimension Reduction for High Dimensional Vector Autoregressive Models
   Papers, arXiv.org View citations (8)
   Also in CEIS Research Paper, Tor Vergata University, CEIS (2022) View citations (7)
   See also Journal Article Dimension Reduction for High‐Dimensional Vector Autoregressive Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2022) View citations (2) (2022)

2021

7. Reduced Rank Regression Models in Economics and Finance
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)

2020

8. On Cointegration for Processes Integrated at Different Frequencies
   CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (2)
   See also Journal Article On cointegration for processes integrated at different frequencies, Journal of Time Series Analysis, Wiley Blackwell (2022) View citations (3) (2022)

2018

9. Detecting Co-Movements in Noncausal Time Series
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in MPRA Paper, University Library of Munich, Germany (2017)
   See also Journal Article Detecting Co‐Movements in Non‐Causal Time Series, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (5) (2019)
10. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
11. Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model
    CEIS Research Paper, Tor Vergata University, CEIS View citations (4)
    See also Journal Article Representation, estimation and forecasting of the multivariate index-augmented autoregressive model, International Journal of Forecasting, Elsevier (2019) View citations (14) (2019)

2016

12. A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (3)
    See also Journal Article A vector heterogeneous autoregressive index model for realized volatility measures, International Journal of Forecasting, Elsevier (2017) View citations (24) (2017)

2015

13. Common Feature Analysis of Economic Time Series: An Overview and Recent Developments
    CEIS Research Paper, Tor Vergata University, CEIS View citations (10)

2013

14. Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    See also Journal Article Macroeconomic forecasting and structural analysis through regularized reduced-rank regression, International Journal of Forecasting, Elsevier (2015) View citations (19) (2015)

2012

15. A General to Specific Approach for Constructing Composite Business Cycle Indicators
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article A general to specific approach for constructing composite business cycle indicators, Economic Modelling, Elsevier (2013) View citations (4) (2013)

2011

16. An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article An alternative solution to the Autoregressivity Paradox in time series analysis, Economic Modelling, Elsevier (2011) View citations (1) (2011)
17. Modelling Comovements of Economic Time Series: A Selective Survey
    CEIS Research Paper, Tor Vergata University, CEIS View citations (5)
    See also Journal Article Modelling comovements of economic time series: a selective survey, Statistica, Department of Statistics, University of Bologna (2011) View citations (5) (2011)

2010

18. A Medium-N Approach to Macroeconomic Forecasting
    CEIS Research Paper, Tor Vergata University, CEIS
    See also Journal Article A medium-N approach to macroeconomic forecasting, Economic Modelling, Elsevier (2012) View citations (16) (2012)

2009

19. Testing for Common Autocorrelation in Data Rich Environments
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    See also Journal Article Testing for common autocorrelation in data‐rich environments, Journal of Forecasting, John Wiley & Sons, Ltd. (2011) View citations (25) (2011)
20. Testing for cointegration in high-dimensional systems
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)

2008

21. Common Shocks, Common Dynamics, and the International Business Cycle
    CEIS Research Paper, Tor Vergata University, CEIS View citations (8)
    Also in Economics & Statistics Discussion Papers, University of Molise, Department of Economics (2003) View citations (8)
    See also Journal Article Common shocks, common dynamics, and the international business cycle, Economic Modelling, Elsevier (2007) View citations (24) (2007)
22. Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article Studying co-movements in large multivariate data prior to multivariate modelling, Journal of Econometrics, Elsevier (2009) View citations (30) (2009)

2007

23. A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series
    CEIS Research Paper, Tor Vergata University, CEIS View citations (23)
    See also Journal Article A unifying framework for analysing common cyclical features in cointegrated time series, Computational Statistics & Data Analysis, Elsevier (2007) View citations (24) (2007)
24. Macro-panels and reality
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
    See also Journal Article Macro-panels and reality, Economics Letters, Elsevier (2008) View citations (5) (2008)
25. Studying co-movements in large multivariate models without multivariate modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (8)
26. Technology shocks, structural breaks and the effects on the business cycle
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2007) View citations (1)
    See also Journal Article Technology shocks, structural breaks and the effects on the business cycle, Economics Letters, Elsevier (2008) View citations (2) (2008)

2006

27. Measuring the Sources of Cyclical Fluctuations in the G7 Economies
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)
28. Testing for Parameter Stability in Dynamic Models Across Frequencies
    CEIS Research Paper, Tor Vergata University, CEIS View citations (3)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2005)
    See also Journal Article Testing for Parameter Stability in Dynamic Models across Frequencies*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (3) (2006)

2004

29. A Reduced Rank Regression Approach to Coincident and Leading Indexes Building
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
    See also Journal Article A Reduced Rank Regression Approach to Coincident and Leading Indexes Building*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2007) View citations (6) (2007)

2003

30. Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)
    See also Journal Article Small-sample improvements in the statistical analysis of seasonally cointegrated systems, Computational Statistics & Data Analysis, Elsevier (2005) View citations (11) (2005)
31. The Role of Common Cyclical Features for Coincident and Leading Indexes Building
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)

2000

32. Complex Reduced Rank Models for Seasonally Cointegrated Time Series
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    See also Journal Article Complex Reduced Rank Models For Seasonally Cointegrated Time Series, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2001) View citations (18) (2001)

1997

33. The Seasonality of the Italian Cost-of-Living Index
    Working Papers, Banca Italia - Servizio di Studi View citations (2)

1994

34. Is Money Neutral? Some Evidence for Italy
    International Finance, University Library of Munich, Germany

Journal Articles

2025

1. The time-varying Multivariate Autoregressive Index model
   International Journal of Forecasting, 2025, 41, (1), 175-190 View citations (1)
   See also Working Paper The Time-Varying Multivariate Autoregressive Index Model, CEIS Research Paper (2024) (2024)

2024

2. The vector error correction index model: representation, estimation and identification
   The Econometrics Journal, 2024, 27, (1), 126-150 View citations (2)
   See also Working Paper The Vector Error Correction Index Model: Representation, Estimation and Identification, CEIS Research Paper (2023) View citations (1) (2023)

2023

3. Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models
   Econometrics, 2023, 11, (1), 1-16 View citations (3)
   See also Working Paper Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models, CEIS Research Paper (2023) View citations (3) (2023)

2022

4. Dimension Reduction for High‐Dimensional Vector Autoregressive Models
   Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 1123-1152 View citations (2)
   See also Working Paper Dimension Reduction for High Dimensional Vector Autoregressive Models, Papers (2022) View citations (8) (2022)
5. On cointegration for processes integrated at different frequencies
   Journal of Time Series Analysis, 2022, 43, (3), 412-435 View citations (3)
   See also Working Paper On Cointegration for Processes Integrated at Different Frequencies, CEIS Research Paper (2020) View citations (2) (2020)

2019

6. Detecting Co‐Movements in Non‐Causal Time Series
   Oxford Bulletin of Economics and Statistics, 2019, 81, (3), 697-715 View citations (5)
   See also Working Paper Detecting Co-Movements in Noncausal Time Series, CEIS Research Paper (2018) (2018)
7. Representation, estimation and forecasting of the multivariate index-augmented autoregressive model
   International Journal of Forecasting, 2019, 35, (1), 67-79 View citations (14)
   See also Working Paper Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model, CEIS Research Paper (2018) View citations (4) (2018)

2017

8. A vector heterogeneous autoregressive index model for realized volatility measures
   International Journal of Forecasting, 2017, 33, (2), 337-344 View citations (24)
   See also Working Paper A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures, CEIS Research Paper (2016) (2016)

2015

9. Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
   International Journal of Forecasting, 2015, 31, (3), 682-691 View citations (19)
   See also Working Paper Macroeconomic forecasting and structural analysis through regularized reduced-rank regression, CEIS Research Paper (2013) View citations (2) (2013)

2013

10. A general to specific approach for constructing composite business cycle indicators
    Economic Modelling, 2013, 33, (C), 367-374 View citations (4)
    See also Working Paper A General to Specific Approach for Constructing Composite Business Cycle Indicators, CEIS Research Paper (2012) View citations (1) (2012)

2012

11. A medium-N approach to macroeconomic forecasting
    Economic Modelling, 2012, 29, (4), 1099-1105 View citations (16)
    See also Working Paper A Medium-N Approach to Macroeconomic Forecasting, CEIS Research Paper (2010) (2010)

2011

12. An alternative solution to the Autoregressivity Paradox in time series analysis
    Economic Modelling, 2011, 28, (3), 1451-1454 View citations (1)
    See also Working Paper An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis, CEIS Research Paper (2011) View citations (1) (2011)
13. Modelling comovements of economic time series: a selective survey
    Statistica, 2011, 71, (2), 267-294 View citations (5)
    See also Working Paper Modelling Comovements of Economic Time Series: A Selective Survey, CEIS Research Paper (2011) View citations (5) (2011)
14. Testing for common autocorrelation in data‐rich environments
    Journal of Forecasting, 2011, 30, (3), 325-335 View citations (25)
    See also Working Paper Testing for Common Autocorrelation in Data Rich Environments, CEIS Research Paper (2009) View citations (2) (2009)

2009

15. Studying co-movements in large multivariate data prior to multivariate modelling
    Journal of Econometrics, 2009, 148, (1), 25-35 View citations (30)
    See also Working Paper Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling, CEIS Research Paper (2008) View citations (1) (2008)

2008

16. Macro-panels and reality
    Economics Letters, 2008, 99, (3), 537-540 View citations (5)
    See also Working Paper Macro-panels and reality, Research Memorandum (2007) (2007)
17. Technology shocks, structural breaks and the effects on the business cycle
    Economics Letters, 2008, 100, (3), 392-395 View citations (2)
    See also Working Paper Technology shocks, structural breaks and the effects on the business cycle, Economics & Statistics Discussion Papers (2007) View citations (1) (2007)

2007

18. A Reduced Rank Regression Approach to Coincident and Leading Indexes Building*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (2), 271-292 View citations (6)
    See also Working Paper A Reduced Rank Regression Approach to Coincident and Leading Indexes Building, Economics & Statistics Discussion Papers (2004) View citations (1) (2004)
19. A unifying framework for analysing common cyclical features in cointegrated time series
    Computational Statistics & Data Analysis, 2007, 52, (2), 896-906 View citations (24)
    See also Working Paper A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series, CEIS Research Paper (2007) View citations (23) (2007)
20. Common shocks, common dynamics, and the international business cycle
    Economic Modelling, 2007, 24, (1), 149-166 View citations (24)
    See also Working Paper Common Shocks, Common Dynamics, and the International Business Cycle, CEIS Research Paper (2008) View citations (8) (2008)

2006

21. Testing for Parameter Stability in Dynamic Models across Frequencies*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 741-760 View citations (3)
    See also Working Paper Testing for Parameter Stability in Dynamic Models Across Frequencies, CEIS Research Paper (2006) View citations (3) (2006)

2005

22. Small-sample improvements in the statistical analysis of seasonally cointegrated systems
    Computational Statistics & Data Analysis, 2005, 49, (2), 333-348 View citations (11)
    See also Working Paper Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems, Economics & Statistics Discussion Papers (2003) View citations (2) (2003)

2003

23. Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
    Economics Letters, 2003, 80, (1), 45-51 View citations (32)

2002

24. SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY
    Macroeconomic Dynamics, 2002, 6, (3), 337-356 View citations (5)

2001

25. COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
    Econometric Reviews, 2001, 20, (2), 201-216 View citations (8)
26. Complex Reduced Rank Models For Seasonally Cointegrated Time Series
    Oxford Bulletin of Economics and Statistics, 2001, 63, (4), 497-511 View citations (18)
    See also Working Paper Complex Reduced Rank Models for Seasonally Cointegrated Time Series, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (1) (2000)
27. On non-contemporaneous short-run co-movements
    Economics Letters, 2001, 73, (3), 389-397 View citations (44)

1999

28. Common Cycles in Seasonal Non-stationary Time Series
    Journal of Applied Econometrics, 1999, 14, (3), 273-91 View citations (45)
    Also in Journal of Applied Econometrics, 1999, 14, (3), 273-291 (1999) View citations (4)
29. Common serial correlation and common business cycles: A cautious note
    Empirical Economics, 1999, 24, (3), 529-535 View citations (8)

1995

30. A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN
    Journal of Time Series Analysis, 1995, 16, (5), 499-508 View citations (3)