Gianluca Cubadda

University of Rome Tor Vergata - Department of Economics and Finance

Via Columbia n.2

Roma, 00133

Italy

SCHOLARLY PAPERS

20

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1,278

SSRN CITATIONS
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SSRN RANKINGS

Top 29,338

in Total Papers Citations

14

CROSSREF CITATIONS

10

Scholarly Papers (20)

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 144 (212,856)
Citation 1

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2.

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 117 (249,854)
Citation 2

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

3.

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 109 (262,619)

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

4.

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 105 (269,621)

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Business cycle, technology shocks, structural breaks

5.

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 104 (271,379)

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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 82 (318,893)

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Structural breaks, spectral analysis, productivity slowdown, yield curve

Testing for Parameter Stability in Dynamic Models Across Frequencies

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 741-760, December 2006
Number of pages: 20 Posted: 24 Nov 2006
Bertrand Candelon and Gianluca Cubadda
University of Maastricht - Department of Economics and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 13 (615,738)
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7.

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 84 (311,432)

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Common Cyclical Features, Reduced Rank Regression

8.

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 71 (343,206)
Citation 2

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

9.

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 69 (348,621)
Citation 1

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

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 60 (374,765)
Citation 1

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

11.

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 55 (390,865)

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VAR Models, ARIMA Models, Final Equations

12.

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 49 (411,254)

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

13.

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 48 (414,824)
Citation 1

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

14.

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 44 (429,851)
Citation 4

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

15.

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 36 (462,723)

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

16.

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 34 (471,577)
Citation 1

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

17.

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 28 (501,305)
Citation 4

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

18.

A Reduced Rank Regression Approach to Coincident and Leading Indexes Building

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 2, pp. 271-292, April 2007
Number of pages: 22 Posted: 11 Apr 2007
Gianluca Cubadda
University of Rome Tor Vergata - Department of Economics and Finance
Downloads 26 (512,289)
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19.

Detecting Co‐Movements in Non‐Causal Time Series

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 3, pp. 697-715, 2019
Number of pages: 19 Posted: 16 Apr 2019
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
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20.

Common Serial Correlation and Common Business Cycles: A Cautious Note

Empirical Economics, Vol. 24, Iss. 3, August 1999
Posted: 14 Sep 1999
Gianluca Cubadda
University of Rome Tor Vergata - Department of Economics and Finance

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