Tommaso Proietti

University of Rome II - Department of Economics and Finance

Professor of Economic Statistics

Via Columbia, 2

Rome, 00133

Italy

SCHOLARLY PAPERS

35

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2,376

SSRN CITATIONS
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Top 7,048

in Total Papers Citations

26

CROSSREF CITATIONS

133

Scholarly Papers (35)

1.

Measuring Core Inflation by Multivariate Structural Time Series Models

CEIS Working Paper No. 83
Number of pages: 22 Posted: 31 May 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 225 (145,477)

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common trends, dynamic factor analysis, homogeneity, exponential smoothing

2.

Structural Time Series Models for Business Cycle Analysis

CEIS Research Paper No. 109
Number of pages: 45 Posted: 01 Apr 2008 Last Revised: 24 Feb 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 224 (146,147)
Citation 1

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State Space Models, Kalman Filter and Smoother, Bayesian Estimation

3.
Downloads 192 (168,812)
Citation 33

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
European University Institute, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 174 (184,328)
Citation 13

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Business cycle, Euro area, cycle dating, cycle synchronization

Dating the Euro Area Business Cycle

CEPR Discussion Paper No. 3696
Number of pages: 62 Posted: 31 Jan 2003
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 18 (588,823)
Citation 1
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Business cycle, euro area, cycle dating, cycle synchronization

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

Number of pages: 26 Posted: 19 Dec 2018
Leopoldo Catania and Tommaso Proietti
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
Downloads 104 (277,317)

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realized volatility, forecasting, leverage effect, volatility in volatility

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

CEIS Working Paper No. 450
Number of pages: 29 Posted: 07 Feb 2019
Leopoldo Catania and Tommaso Proietti
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
Downloads 63 (376,038)

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realized volatility, forecasting, leverage effect, volatility in volatility

5.

Exponential Smoothing, Long Memory and Volatility Prediction

CEIS Working Paper No. 319
Number of pages: 31 Posted: 05 Aug 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 153 (205,671)

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Realized Volatility, Signal Extraction, Permanent-Transitory Decomposition, Fractional equal-root IMA model

6.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 148 (211,397)
Citation 23

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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

7.

New Proposals for the Quantification of Qualitative Survey Data

CEIS Working Paper No. 102
Number of pages: 26 Posted: 07 Mar 2007
Tommaso Proietti and Cecilia Frale
University of Rome II - Department of Economics and Finance and Government of the Italian Republic (Italy) - Department of the Treasury
Downloads 123 (244,375)
Citation 1

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Spectral envelope, Seasonality, Deviation cycles, Cumulative Logit

8.

Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis

CEIS Working Paper No. 112
Number of pages: 26 Posted: 03 Apr 2008
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 106 (272,011)

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Henderson filter, Trend estimation, Nearest Neighbour Bandwidth, Musgrave asymmetric

9.

Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach

CEIS Working Paper No. 325
Number of pages: 46 Posted: 24 Aug 2014
Martyna Marczak and Tommaso Proietti
University of Hohenheim and University of Rome II - Department of Economics and Finance
Downloads 103 (277,426)
Citation 4

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Indicator saturation, seasonal adjustment, structural time series model, outliers, structural change, general-to-specific approach, state space model

10.

On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates

CEIS Working Paper No. 84
Number of pages: 35 Posted: 31 May 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 101 (281,209)
Citation 1

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Signal Extraction, Revisions, Kalman filter and Smoother, Bandpass

11.

Growth Accounting for the Euro Area: A Structural Approach

ECB Working Paper No. 804
Number of pages: 48 Posted: 11 Sep 2007
Tommaso Proietti and Alberto Musso
University of Rome II - Department of Economics and Finance and European Central Bank (ECB)
Downloads 100 (283,124)

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Potential output, Output gap, Euro area, Unobserved components, Production function approach, Low-pass filters.

12.

On the Selection of Common Factors for Macroeconomic Forecasting

CEIS Working Paper No. 332
Number of pages: 33 Posted: 14 Mar 2015
Alessandro Giovannelli and Tommaso Proietti
University of Rome Tor Vergata and University of Rome II - Department of Economics and Finance
Downloads 96 (290,727)
Citation 1

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Variable selection; Multiple testing; p-value weighting

13.

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

CEIS Working Paper No. 272
Number of pages: 39 Posted: 21 Apr 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 62 (374,188)
Citation 2

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Frequency Domain Methods, Generalized linear models, Long Memory, Boosting

14.

A Data-Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models

CEIS Working Paper No. 374
Number of pages: 30 Posted: 31 Mar 2016
Martyna Marczak, Tommaso Proietti and Stefano Grassi
University of Hohenheim, University of Rome II - Department of Economics and Finance and University of Kent - Canterbury Campus
Downloads 55 (396,554)

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robust filtering, augmented Kalman filter, structural time series model, additive outlier, innovation outlier

15.

The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913

CEIS Research Paper No. 133
Number of pages: 26 Posted: 21 Nov 2008
Carlo Ciccarelli, Stefano Fenoaltea and Tommaso Proietti
University of Rome Tor Vergata - Faculty of Economics, affiliation not provided to SSRN and University of Rome II - Department of Economics and Finance
Downloads 55 (396,554)

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16.

EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

CEIS Working Paper No. 287
Number of pages: 40 Posted: 03 Oct 2013
Government of the Italian Republic (Italy) - Department of the Treasury, Aarhus University - CREATES, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 53 (403,219)
Citation 10

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Index of coincident indicators, Temporal Disaggregation, Multivariate State Space Models, Dynamic factor Models, Quarterly National accounts

17.

Band Spectral Estimation for Signal Extraction

CEIS Working Paper No. 105
Number of pages: 29 Posted: 14 May 2007
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 53 (403,219)

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Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain

18.

Survey Data as Coincident or Leading Indicators

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3
Number of pages: 33 Posted: 01 Jul 2009
Government of the Italian Republic (Italy) - Department of the Treasury, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 41 (448,069)
Citation 1

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Survey data, Forecasting, Temporal Disaggregation, Dynamic factor modes, Kalman Filter and smoother

19.

The Generalised Autocovariance Function

CEIS Working Paper No. 276
Number of pages: 33 Posted: 07 May 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 39 (456,502)
Citation 1

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Stationary Gaussian processes, Non-parametric spectral estimation, White noise tests, Feature matching, Discriminant Analysis

20.

Generalised Linear Spectral Models

CEIS Working Paper No. 290
Number of pages: 27 Posted: 07 Oct 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 37 (464,964)

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generalized linear models, iteratively weighted least squares, frequency domain methods

21.

A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices

CEIS Working Paper No. 410
Number of pages: 26 Posted: 19 Jul 2017
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 31 (492,777)

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Toeplitz systems; Optimal linear prediction; Partial autocorrelation function

22.

Seasonal Changes in Central England Temperatures

CEIS Working Paper No. 347
Number of pages: 29 Posted: 17 Jun 2015
Tommaso Proietti and Eric T. Hillebrand
University of Rome II - Department of Economics and Finance and Aarhus University - CREATES
Downloads 31 (492,777)

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Global Warming, Seasonal Models, Structural Change, Amplitude and Phase Shifts

23.

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

CEIS Working Paper No. 340
Number of pages: 45 Posted: 14 Apr 2015
Tommaso Proietti, Martyna Marczak and Gian Luigi Mazzi
University of Rome II - Department of Economics and Finance, University of Hohenheim and Eurostat
Downloads 30 (497,825)

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Density Forecast Combination and Evaluation; Mixed–Frequency Data; Dynamic Factor Models; State Space Models

24.

Nowcasting Monthly GDP with Big Data: A Model Averaging Approach

CEIS Working Paper No. 482
Number of pages: 43 Posted: 15 May 2020
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 27 (513,962)

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Mixed-Frequency Data, Dynamic Factor Models, State Space Models, Shrinkage

25.

Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited

Econometrics Journal, Vol. 9, No. 3, pp. 357-372, November 2006
Number of pages: 16 Posted: 01 Nov 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 26 (519,653)
Citation 3
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26.

Generalised Partial Autocorrelations and the Mutual Information between Past and Future

CEIS Working Paper No. 344
Number of pages: 17 Posted: 06 Jun 2015
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads 25 (525,490)

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Generalised autocovariance, Spectral models, Whittle likelihood, Reparameterisation.

27.

Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models

CEIS Working Paper No. 455
Number of pages: 25 Posted: 22 Mar 2019
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 21 (549,696)

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ARMA models. Steady State Kalman lter. Correlated Components. Nonfundamentalness.

28.

Spikes and Memory in (Nord Pool) Electricity Price Spot Prices

CEIS Working Paper No. 422
Number of pages: 18 Posted: 18 Dec 2017
Tommaso Proietti, Niels Haldrup and Oskar Knapik
University of Rome II - Department of Economics and Finance, Aarhus University, School of Economics and Management and University of Aarhus
Downloads 20 (555,905)
Citation 1

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Robustness; Kalman Filter; Long Memory

29.

Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area

Oxford Bulletin of Economics and Statistics, Vol. 66, No. 4, pp. 537-565, September 2004
Number of pages: 29 Posted: 07 Sep 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 11 (614,405)
Citation 2
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30.

Characterizing the Business Cycle for Accession Countries

CEPR Discussion Paper No. 4457
Number of pages: 48 Posted: 30 Jul 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 10 (621,050)
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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

31.

A Monthly Indicator of the Euro Area GDP

CEPR Discussion Paper No. DP7007
Number of pages: 41 Posted: 18 Dec 2008
Government of the Italian Republic (Italy) - Department of the Treasury, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 6 (648,664)
Citation 1
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Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

32.

Hyper-Spherical and Elliptical Stochastic Cycles

Journal of Time Series Analysis, Vol. 31, Issue 3, pp. 169-181, May 2010
Number of pages: 13 Posted: 19 Apr 2010
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads 2 (680,007)
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33.

Transformations and Seasonal Adjustment

Journal of Time Series Analysis, Vol. 30, Issue 1, pp. 47-69, January 2009
Number of pages: 23 Posted: 02 Jan 2009
Tommaso Proietti and Marco Riani
University of Rome II - Department of Economics and Finance and University of Parma
Downloads 2 (680,007)
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34.

Seasonality, Forecast Extensions and Business Cycle Uncertainty

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 555-569, 2012
Number of pages: 15 Posted: 07 Aug 2012
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 1 (692,042)
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Linear filters, Reliability, Seasonal adjustment, Unobserved components

35.
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Spurious Periodic Autoregressions

The Econometrics Journal, Vol. 1, Issue 1, pp. 1-22, 1998
Number of pages: 22 Posted: 24 Sep 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
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Periodic models, Seasonality, Trend

Spurious Periodic Autoregressions

The Econometrics Journal, Vol. 1, 1998
Posted: 09 Apr 1999
Tommaso Proietti
University of Rome II - Department of Economics and Finance

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