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Details about Gianluca Cubadda

E-mail:
Homepage:http://directory.uniroma2.it/cv/CV_3916_EN.pdf
Phone:+39 06 7259 5847
Postal address:Via Columbia 2, 00133 Roma - Italy
Workplace:Dipartimento di Economia e Finanza (Department of Economics and Finance), Facoltà di Economia (Faculty of Economics), Università degli Studi di Roma "Tor Vergata" (Tor Vergata University of Rome), (more information at EDIRC)

Access statistics for papers by Gianluca Cubadda.

Last updated 2017-04-13. Update your information in the RePEc Author Service.

Short-id: pcu1


Jump to Journal Articles

Working Papers

2017

  1. Detecting Co-Movements in Noncausal Time Series
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model
    CEIS Research Paper, Tor Vergata University, CEIS Downloads

2016

  1. A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (1)

    See also Journal Article in International Journal of Forecasting (2017)

2015

  1. Common Feature Analysis of Economic Time Series: An Overview and Recent Developments
    CEIS Research Paper, Tor Vergata University, CEIS Downloads

2013

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

2012

  1. A General to Specific Approach for Constructing Composite Business Cycle Indicators
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
    See also Journal Article in Economic Modelling (2013)

2011

  1. An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
    See also Journal Article in Economic Modelling (2011)
  2. Modelling Comovements of Economic Time Series: A Selective Survey
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (3)
    See also Journal Article in Statistica (2011)

2010

  1. A Medium-N Approach to Macroeconomic Forecasting
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    See also Journal Article in Economic Modelling (2012)

2009

  1. Testing for Common Autocorrelation in Data Rich Environments
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
    See also Journal Article in Journal of Forecasting (2011)
  2. Testing for cointegration in high-dimensional systems
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)

2008

  1. Common Shocks, Common Dynamics, and the International Business Cycle
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (8)
    Also in Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI (2003) Downloads View citations (8)

    See also Journal Article in Economic Modelling (2007)
  2. Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    See also Journal Article in Journal of Econometrics (2009)

2007

  1. A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (15)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
  2. Macro-panels and Reality
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
    See also Journal Article in Economics Letters (2008)
  3. Studying Co-movements in Large Multivariate Models Without Multivariate Modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (5)
  4. Technology shocks, structural breaks and the effects on the business cycle
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI (2007) Downloads View citations (1)

    See also Journal Article in Economics Letters (2008)

2006

  1. Measuring the Sources of Cyclical Fluctuations in the G7 Economies
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (2)
  2. Testing for Parameter Stability in Dynamic Models Across Frequencies
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2005) Downloads

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2004

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

2003

  1. Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2005)
  2. The Role of Common Cyclical Features for Coincident and Leading Indexes Building
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (1)

2000

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

1997

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

1994

  1. Is Money Neutral? Some Evidence for Italy
    International Finance, EconWPA Downloads

Journal Articles

2017

  1. A vector heterogeneous autoregressive index model for realized volatility measures
    International Journal of Forecasting, 2017, 33, (2), 337-344 Downloads View citations (1)
    See also Working Paper (2016)

2015

  1. Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
    International Journal of Forecasting, 2015, 31, (3), 682-691 Downloads View citations (6)
    See also Working Paper (2013)

2013

  1. A general to specific approach for constructing composite business cycle indicators
    Economic Modelling, 2013, 33, (C), 367-374 Downloads View citations (2)
    See also Working Paper (2012)

2012

  1. A medium-N approach to macroeconomic forecasting
    Economic Modelling, 2012, 29, (4), 1099-1105 Downloads View citations (9)
    See also Working Paper (2010)

2011

  1. An alternative solution to the Autoregressivity Paradox in time series analysis
    Economic Modelling, 2011, 28, (3), 1451-1454 Downloads View citations (2)
    See also Working Paper (2011)
  2. Modelling comovements of economic time series: a selective survey
    Statistica, 2011, 71, (2), 267-294 View citations (3)
    See also Working Paper (2011)
  3. Testing for common autocorrelation in data‐rich environments
    Journal of Forecasting, 2011, 30, (3), 325-335 Downloads View citations (16)
    See also Working Paper (2009)

2009

  1. Studying co-movements in large multivariate data prior to multivariate modelling
    Journal of Econometrics, 2009, 148, (1), 25-35 Downloads View citations (13)
    See also Working Paper (2008)

2008

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

2007

  1. A Reduced Rank Regression Approach to Coincident and Leading Indexes Building
    Oxford Bulletin of Economics and Statistics, 2007, 69, (2), 271-292 Downloads View citations (5)
    See also Working Paper (2004)
  2. A unifying framework for analysing common cyclical features in cointegrated time series
    Computational Statistics & Data Analysis, 2007, 52, (2), 896-906 Downloads View citations (9)
    See also Working Paper (2007)
  3. Common shocks, common dynamics, and the international business cycle
    Economic Modelling, 2007, 24, (1), 149-166 Downloads View citations (14)
    See also Working Paper (2008)

2006

  1. Testing for Parameter Stability in Dynamic Models across Frequencies
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 741-760 Downloads View citations (1)
    See also Working Paper (2006)

2005

  1. Small-sample improvements in the statistical analysis of seasonally cointegrated systems
    Computational Statistics & Data Analysis, 2005, 49, (2), 333-348 Downloads View citations (7)
    See also Working Paper (2003)

2003

  1. Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
    Economics Letters, 2003, 80, (1), 45-51 Downloads View citations (15)

2002

  1. SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY
    Macroeconomic Dynamics, 2002, 6, (03), 337-356 Downloads View citations (1)

2001

  1. COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
    Econometric Reviews, 2001, 20, (2), 201-216 Downloads View citations (7)
  2. Complex Reduced Rank Models for Seasonally Cointegrated Time Series
    Oxford Bulletin of Economics and Statistics, 2001, 63, (4), 497-511 Downloads View citations (12)
    See also Working Paper (2000)
  3. On non-contemporaneous short-run co-movements
    Economics Letters, 2001, 73, (3), 389-397 Downloads View citations (37)

1999

  1. Common Cycles in Seasonal Non-stationary Time Series
    Journal of Applied Econometrics, 1999, 14, (3), 273-91 Downloads View citations (36)
  2. Common serial correlation and common business cycles: A cautious note
    Empirical Economics, 1999, 24, (3), 529-535 Downloads View citations (8)
 
Page updated 2017-10-13