Details about Giacomo Sbrana

Access statistics for papers by Giacomo Sbrana.

Last updated 2024-06-08. Update your information in the RePEc Author Service.

Short-id: psb12

Working Papers

2020

1. Estimating high dimensional multivariate stochastic volatility models
   Working Papers, University of Milano-Bicocca, Department of Economics

2018

2. Some Financial Implications of Global Warming: an Empirical Assessment
   CSI: Climate and Sustainable Innovation, Fondazione Eni Enrico Mattei (FEEM) View citations (5)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4)
   Working Papers, University of Milano-Bicocca, Department of Economics (2017) View citations (1)
   CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2018) View citations (4)
   Working Papers, Fondazione Eni Enrico Mattei (2018) View citations (5)

2017

3. Temperature Anomalies, Radiative Forcing and ENSO
   Working Papers, Fondazione Eni Enrico Mattei View citations (1)
   Also in MITP: Mitigation, Innovation and Transformation Pathways, Fondazione Eni Enrico Mattei (FEEM) (2017) View citations (1)
   Working Papers, University of Milano-Bicocca, Department of Economics (2017) View citations (1)
   Working Paper series, Rimini Centre for Economic Analysis (2017) View citations (1)

2015

4. Short term inflation forecasting: the M.E.T.A. approach
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
   See also Journal Article Short-term inflation forecasting: The M.E.T.A. approach, International Journal of Forecasting, Elsevier (2017) View citations (3) (2017)

2014

5. Random switching exponential smoothing and inventory forecasting
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)
   See also Journal Article Random switching exponential smoothing and inventory forecasting, International Journal of Production Economics, Elsevier (2014) View citations (6) (2014)

2013

6. Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (10)
   See also Journal Article Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework, International Journal of Production Economics, Elsevier (2013) View citations (8) (2013)
7. The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions
   Post-Print, HAL View citations (2)
   Also in Working Papers, Association Française de Cliométrie (AFC) (2010)
   See also Journal Article The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions, Economic Modelling, Elsevier (2013) View citations (2) (2013)

2012

8. Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
   Post-Print, HAL
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
   See also Journal Article Aggregation of exponential smoothing processes with an application to portfolio risk evaluation, Journal of Banking & Finance, Elsevier (2013) View citations (3) (2013)
9. Determinants and dynamics of schooling and child labor in Bolivia
   Post-Print, HAL
   Also in Policy Research Working Paper Series, The World Bank (2011) View citations (2)
   See also Journal Article DETERMINANTS AND DYNAMICS OF SCHOOLING AND CHILD LABOUR IN BOLIVIA, Bulletin of Economic Research, Wiley Blackwell (2013) View citations (4) (2013)
10. Temporal aggregation of cyclical models with business cycle applications
    Post-Print, HAL View citations (2)
    See also Journal Article Temporal aggregation of cyclical models with business cycle applications, Statistical Methods & Applications, Springer (2012) View citations (2) (2012)

2010

11. Forecasting damped trend exponential smoothing: an algebraic viewpoint
    Working Papers, Association Française de Cliométrie (AFC)

2009

12. What do we know about comparing aggregate and disaggregate forecasts?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)

Journal Articles

2024

1. Optimal hierarchical EWMA forecasting
   International Journal of Forecasting, 2024, 40, (2), 616-625

2023

2. Modelling intermittent time series and forecasting COVID-19 spread in the USA
   Journal of the Operational Research Society, 2023, 74, (2), 465-475
3. The RWDAR model: A novel state-space approach to forecasting
   International Journal of Forecasting, 2023, 39, (2), 922-937 View citations (1)

2022

4. Random coefficient state-space model: Estimation and performance in M3–M4 competitions
   International Journal of Forecasting, 2022, 38, (1), 352-366

2020

5. Forecasting with the damped trend model using the structural approach
   International Journal of Production Economics, 2020, 226, (C) View citations (4)

2019

6. Climate change implications for the catastrophe bonds market: An empirical analysis
   Economic Modelling, 2019, 81, (C), 274-294 View citations (29)
7. Closed-form results for vector moving average models with a univariate estimation approach
   Econometrics and Statistics, 2019, 10, (C), 27-52
8. Random switching exponential smoothing: A new estimation approach
   International Journal of Production Economics, 2019, 211, (C), 211-220 View citations (7)

2017

9. MULTIVARIATE TREND–CYCLE EXTRACTION WITH THE HODRICK–PRESCOTT FILTER
   Macroeconomic Dynamics, 2017, 21, (6), 1336-1360 View citations (3)
10. Short-term inflation forecasting: The M.E.T.A. approach
    International Journal of Forecasting, 2017, 33, (4), 1065-1081 View citations (3)
    See also Working Paper Short term inflation forecasting: the M.E.T.A. approach, Temi di discussione (Economic working papers) (2015) View citations (2) (2015)

2015

11. A note on forecasting demand using the multivariate exponential smoothing framework
    International Journal of Production Economics, 2015, 162, (C), 143-150 View citations (4)

2014

12. Feasible generalized least squares estimation of multivariate GARCH(1, 1) models
    Journal of Multivariate Analysis, 2014, 129, (C), 151-159 View citations (1)
13. Random switching exponential smoothing and inventory forecasting
    International Journal of Production Economics, 2014, 156, (C), 283-294 View citations (6)
    See also Working Paper Random switching exponential smoothing and inventory forecasting, Temi di discussione (Economic working papers) (2014) View citations (7) (2014)

2013

14. A closed-form estimator for the multivariate GARCH(1,1) model
    Journal of Multivariate Analysis, 2013, 120, (C), 152-162 View citations (3)
15. Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
    Journal of Banking & Finance, 2013, 37, (5), 1437-1450 View citations (3)
    See also Working Paper Aggregation of exponential smoothing processes with an application to portfolio risk evaluation, Post-Print (2012) (2012)
16. DETERMINANTS AND DYNAMICS OF SCHOOLING AND CHILD LABOUR IN BOLIVIA
    Bulletin of Economic Research, 2013, 65, s17-s37 View citations (4)
    See also Working Paper Determinants and dynamics of schooling and child labor in Bolivia, Post-Print (2012) (2012)
17. Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework
    International Journal of Production Economics, 2013, 146, (1), 185-198 View citations (8)
    See also Working Paper Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework, Temi di discussione (Economic working papers) (2013) View citations (10) (2013)
18. The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions
    Economic Modelling, 2013, 30, (C), 311-316 View citations (2)
    See also Working Paper The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions, Post-Print (2013) View citations (2) (2013)

2012

19. Aggregation and marginalization of GARCH processes: some further results
    METRON, 2012, 70, (2), 165-172 View citations (2)
20. Comparing aggregate and disaggregate forecasts of first order moving average models
    Statistical Papers, 2012, 53, (2), 255-263
21. Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate
    Journal of Forecasting, 2012, 31, (1), 85-98
22. Temporal aggregation of cyclical models with business cycle applications
    Statistical Methods & Applications, 2012, 21, (1), 93-107 View citations (2)
    See also Working Paper Temporal aggregation of cyclical models with business cycle applications, Post-Print (2012) View citations (2) (2012)

2011

23. Measuring core inflation in Italy comparing aggregate vs. disaggregate price data
    Cliometrica, Journal of Historical Economics and Econometric History, 2011, 5, (3), 239-258
24. Structural time series models and aggregation: some analytical results
    Journal of Time Series Analysis, 2011, 32, (3), 315-316 View citations (5)

2008

25. On the use of area-wide models in the Euro-zone
    Statistical Methods & Applications, 2008, 17, (4), 499-518 View citations (1)

2007

26. Testing for Model Selection in Predicting Aggregate Variables
    Giornale degli Economisti, 2007, 66, (1), 3-28 View citations (1)