Barbara Guardabascio

University of Rome, Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

177

CITATIONS

0

Scholarly Papers (4)

1.

A Medium-N Approach to Macroeconomic Forecasting

CEIS Working Paper No. 176
Number of pages: 20 Posted: 10 Dec 2010
Gianluca Cubadda and Barbara Guardabascio
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads 60 (284,706)

Abstract:

Partial Least Squares, Principal Component Regression, Dynamic Factor Models, Data-Rich Forecasting Methods, Dimension-Reduction Techniques

2.

A General to Specific Approach for Constructing Composite Business Cycle Indicators

CEIS Working Paper No. 224
Number of pages: 19 Posted: 27 Feb 2012
Gianluca Cubadda, Barbara Guardabascio and Alain Hecq
University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics
Downloads 40 (347,029)

Abstract:

Co-movements, common cycles, composite business cycle indicators, Euro area

3.

Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model

CEIS Working Paper No. 397
Number of pages: 26 Posted: 07 Feb 2017
Gianluca Cubadda and Barbara Guardabascio
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads 0 (451,655)

Abstract:

Multivariate index autoregressive models, reduced rank regression, dimension reduction, shrinkage estimation, macroeconomic forecasting.

4.

A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures

CEIS Working Paper No. 391
Number of pages: 23 Posted: 23 Jul 2016
Gianluca Cubadda, Barbara Guardabascio and Alain Hecq
University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics
Downloads 0 (337,675)

Abstract:

Common volatility, HAR models, index models, combinations of realized volatil┬Čities, forecasting.