Gianluca Cubadda

University of Rome Tor Vergata - Department of Economics and Finance

Via Columbia n.2

Roma, 00133

Italy

SCHOLARLY PAPERS

24

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2,226

SSRN CITATIONS
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SSRN RANKINGS

Top 24,920

in Total Papers Citations

39

CROSSREF CITATIONS

7

Scholarly Papers (24)

1.

Modelling Comovements of Economic Time Series: A Selective Survey

CEIS Working Paper No. 215
Number of pages: 33 Posted: 26 Oct 2011
Marco Centoni and Gianluca Cubadda
University LUMSA and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 199 (272,499)
Citation 1

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2.

Common Feature Analysis of Economic Time Series: An Overview and Recent Developments

CEIS Working Paper No. 355
Number of pages: 29 Posted: 07 Oct 2015 Last Revised: 23 Oct 2015
Marco Centoni and Gianluca Cubadda
University LUMSA and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 162 (326,732)
Citation 2

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Common features; common cycles; reduced-rank regression; canonical correlation analysis; vector autoregressive models; dynamic factor models; business cycles

3.

Common Shocks, Common Dynamics and the International Business Cycle

CEIS Working Paper No. 85
Number of pages: 28 Posted: 01 Aug 2006
Marco Centoni, Gianluca Cubadda and Alain Hecq
University LUMSA, University of Rome Tor Vergata - Department of Economics and Finance and Maastricht University - Department of Economics
Downloads 159 (331,961)
Citation 2

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International business cycles; Permanent-transitory decomposition; Serial correlation common features; Frequency domain analysis.

4.

Testing for Cointegration in High-Dimensional Systems

CEIS Working Paper No. 148
Number of pages: 27 Posted: 15 Sep 2009
Gianluca Cubadda and Jörg Breitung
University of Rome Tor Vergata - Department of Economics and Finance and University of Bonn
Downloads 151 (346,460)
Citation 1

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5.

Technology Shocks, Structural Breaks and the Effects On the Business Cycle

CEIS Working Paper No. 106
Number of pages: 10 Posted: 27 Mar 2008
Vincenzo Atella, Marco Centoni and Gianluca Cubadda
University of Rome Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University LUMSA and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 141 (366,111)

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Business cycle, technology shocks, structural breaks

6.

Reduced Rank Regression Models in Economics and Finance

CEIS Working Paper No. 525
Number of pages: 30 Posted: 11 Nov 2021
Gianluca Cubadda and Alain Hecq
University of Rome Tor Vergata - Department of Economics and Finance and Maastricht University - Department of Quantitative Economics
Downloads 118 (419,543)
Citation 1

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Reduced-rank regression, common features, vector autoregressive models, multivariate volatility models, dimension reduction

7.

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 Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata and Maastricht University - Department of Economics
Downloads 108 (447,833)
Citation 5

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Common volatility, HAR models, index models, combinations of realized volatil¬ities, forecasting.

8.

Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector

CEIS Working Paper No. 445
Number of pages: 27 Posted: 06 Nov 2018
Gianluca Cubadda, Alain Hecq and Antonio Riccardo
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and ICE Data Services Italy
Downloads 102 (466,657)
Citation 1

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Common volatility, long-memory processes, HAR models, index models, forecasting.

9.

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 Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata and Maastricht University - Department of Economics
Downloads 100 (473,162)
Citation 1

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

10.

Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling

CEIS Working Paper No. 125
Number of pages: 26 Posted: 26 May 2008 Last Revised: 25 Feb 2014
Gianluca Cubadda, Alain Hecq and Franz C. Palm
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Economics and University of Maastricht - Department of Economics
Downloads 99 (476,373)
Citation 2

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Interactions, multiple time series, co-movements, ARIMA, cointegration, common cycles

11.

A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series

CEIS Working Paper No. 103
Number of pages: 19 Posted: 14 May 2007
Gianluca Cubadda
University of Rome Tor Vergata - Department of Economics and Finance
Downloads 96 (486,200)
Citation 2

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Common Cyclical Features, Reduced Rank Regression

12.

Testing for Parameter Stability in Dynamic Models Across Frequencies

CEIS Working Paper No. 82
Number of pages: 22 Posted: 31 May 2006
Bertrand Candelon and Gianluca Cubadda
University of Maastricht - Department of Economics and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 96 (486,200)

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Structural breaks, spectral analysis, productivity slowdown, yield curve

13.

The Vector Error Correction Index Model: Representation, Estimation and Identification

CEIS Working Paper No. 556
Number of pages: 28 Posted: 04 Apr 2023
Gianluca Cubadda and Marco Mazzali
University of Rome Tor Vergata - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 93 (496,308)

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Vector autoregressive models, multivariate autoregressive index model, cointegration, reduced-rank regression, dimension reduction, main business cycle shock

14.

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 Tor Vergata - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 91 (503,102)
Citation 1

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

15.

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

CEIS Working Paper No. 397
Number of pages: 26 Posted: 07 Feb 2017 Last Revised: 23 Jul 2018
Gianluca Cubadda and Barbara Guardabascio
University of Rome Tor Vergata - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 88 (513,903)
Citation 5

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

16.

An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis

CEIS Working Paper No. 184
Number of pages: 9 Posted: 31 Jan 2011
Gianluca Cubadda and Umberto Triacca
University of Rome Tor Vergata - Department of Economics and Finance and affiliation not provided to SSRN
Downloads 79 (548,561)
Citation 1

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VAR Models, ARIMA Models, Final Equations

17.

Macroeconomic Forecasting and Structural Analysis Through Regularized Reduced-Rank Regression

CEIS Working Paper No. 289
Number of pages: 25 Posted: 05 Oct 2013
Emmanuela Bernardini and Gianluca Cubadda
Bank of Italy and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 72 (578,073)
Citation 4

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Reduced rank regression; vector autoregressive models; shrinkage estimation; macroeconomic forecasting

18.

Testing for Common Autocorrelation in Data Rich Environments

CEIS Working Paper No. 153
Number of pages: 11 Posted: 07 Dec 2009
Gianluca Cubadda and Alain Hecq
University of Rome Tor Vergata - Department of Economics and Finance and Maastricht University - Department of Economics
Downloads 71 (582,403)
Citation 4

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Serial correlation common feature, high-dimensional systems, partial least squares

19.

Detecting Co-Movements in Noncausal Time Series

CEIS Working Paper No. 430
Number of pages: 37 Posted: 03 May 2018
Gianluca Cubadda, Alain Hecq and Sean Telg
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and Maastricht University - Department of Quantitative Economics
Downloads 66 (605,406)
Citation 1

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causal and noncausal process, common features, vector autoregressive models, oil prices

20.

On Cointegration for Processes Integrated at Different Frequencies

CEIS Working Paper No. 502
Number of pages: 36 Posted: 14 Sep 2020
affiliation not provided to SSRN, University of Rome Tor Vergata - Department of Economics and Finance and The University of Manchester - School of Social Sciences
Downloads 64 (615,024)

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Periodic Cointegration, Polynomial Cointegration, Demodulator Operator

21.

Dimension Reduction for High Dimensional Vector Autoregressive Models

CEIS Working Paper No. 534
Number of pages: 31 Posted: 25 Mar 2022
Gianluca Cubadda and Alain Hecq
University of Rome Tor Vergata - Department of Economics and Finance and Maastricht University - Department of Quantitative Economics
Downloads 30 (841,803)

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Vector autoregressive models, dimension reduction, reduced-rank regression, multivariate autoregressive index model, common features, business cycle shock.

22.

Detecting Common Bubbles in Multivariate Mixed Causal-Noncausal Models

CEIS Working Paper No. 555
Number of pages: 23 Posted: 28 Feb 2023
Gianluca Cubadda, Alain Hecq and Elisa Voisin
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and affiliation not provided to SSRN
Downloads 23 (894,953)

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Forward-looking models, bubbles, co-movements

23.

The Time-Varying Multivariate Autoregressive Index Model

CEIS Working Paper No. 571
Number of pages: 52 Posted: 10 Jan 2024
Gianluca Cubadda, Stefano Grassi and Barbara Guardabascio
University of Rome Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata and University of Perugia
Downloads 18 (943,317)

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Large Vector Autoregressive Models, Multivariate Autoregressive Index Models, Time-Varying Parameter Models, Bayesian Vector Autoregressive Models

24.

Common Serial Correlation and Common Business Cycles: A Cautious Note

Posted: 14 Sep 1999
Gianluca Cubadda
University of Rome Tor Vergata - Department of Economics and Finance

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