Tommaso Proietti

University of Rome II - Department of Economics and Finance

Professor of Economic Statistics

Via Columbia, 2

Rome, 00133

Italy

SCHOLARLY PAPERS

39

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34

CROSSREF CITATIONS

121

Scholarly Papers (39)

1.

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 236 (163,196)
Citation 1

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State Space Models, Kalman Filter and Smoother, Bayesian Estimation

2.

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 229 (167,980)

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common trends, dynamic factor analysis, homogeneity, exponential smoothing

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 132 (271,325)

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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 69 (415,316)
Citation 1

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realized volatility, forecasting, leverage effect, volatility in volatility

4.

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 200 (190,819)

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

5.
Downloads 195 (195,145)
Citation 33

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
Bocconi University - Department of Economics, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 177 (212,639)
Citation 13

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Business cycle, Euro area, cycle dating, cycle synchronization

Dating the Euro Area Business Cycle

Number of pages: 62 Posted: 31 Jan 2003
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 18 (678,472)
Citation 1
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Business cycle, euro area, cycle dating, cycle synchronization

6.

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 165 (225,686)

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

7.

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), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 150 (244,423)
Citation 29

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

8.

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 132 (270,326)
Citation 1

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Spectral envelope, Seasonality, Deviation cycles, Cumulative Logit

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 122 (286,761)
Citation 6

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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 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 108 (312,413)
Citation 2

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Variable selection; Multiple testing; p-value weighting

11.

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 108 (312,413)

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

12.

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 104 (320,600)
Citation 1

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

13.

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 102 (324,697)
Citation 2

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Signal Extraction, Revisions, Kalman filter and Smoother, Bandpass

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

CEIS Working Paper No. 489
Number of pages: 116 Posted: 04 Jun 2020 Last Revised: 07 Aug 2020
University of Rome Tor Vergata, University of Rome II - Department of Economics and Finance, Ministry of Economy and Finance, Italy, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS, Sogei S.p.A. and Ministry of Economy and Finance, Italy
Downloads 86 (367,675)
Citation 1

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Mixed-Frequency Data, Dynamic Factor Models, Growth Accounting, Model Averaging, Ledoit-Wolf Shrinkage.

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 2 (2020)
Number of pages: 48 Posted: 19 Mar 2021
University of Rome Tor Vergata, Ministry of Economy and Finance, Italy, Sogei S.p.A., University of Rome II - Department of Economics and Finance, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS and Ministry of Economy and Finance, Italy
Downloads 12 (728,023)

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Mixed frequency data; dynamic factor models; growth accounting; model averaging; Ledoit-Wolf shrinkage

15.

Peaks, Gaps, and Time Reversibility of Economic Time Series

CEIS Working Paper No. 492
Number of pages: 28 Posted: 22 Jun 2020
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 75 (391,943)

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Markov chains; Business cycles; Recession duration

16.

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 68 (413,491)
Citation 2

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

17.

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 60 (440,733)

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18.

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 59 (444,353)

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

19.

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, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 56 (455,346)
Citation 13

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

20.

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 54 (462,836)

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Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain

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 48 (487,025)

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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 48 (487,025)
Citation 1

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

23.

Seasonality in High Frequency Time Series

CEIS Working Paper No. 508
Number of pages: 33 Posted: 12 Mar 2021
Tommaso Proietti and Diego J. Pedregal
University of Rome II - Department of Economics and Finance and University of Castilla-La Mancha
Downloads 45 (500,166)

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State Space Models. Robust filtering. Seasonal Adjustment. Variable selection

24.

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 43 (509,123)

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

25.

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, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 43 (509,123)
Citation 2

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

26.

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 42 (513,697)
Citation 1

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

27.

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 32 (564,429)
Citation 3

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

28.

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 29 (581,649)

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

29.

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 28 (587,792)

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Generalised autocovariance, Spectral models, Whittle likelihood, Reparameterisation.

30.

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, Niels Haldrup and Oskar Knapik
University of Rome II - Department of Economics and Finance, CREATESAarhus University, School of Economics and Management and University of Aarhus
Downloads 26 (600,391)
Citation 2

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Robustness; Kalman Filter; Long Memory

31.

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

Number of pages: 29 Posted: 07 Sep 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 11 (708,951)
Citation 2
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32.

Characterizing the Business Cycle for Accession Countries

Number of pages: 48 Posted: 30 Jul 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 10 (716,779)
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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

33.

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, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 6 (748,490)
Citation 1
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Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

34.

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 (781,097)
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35.

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 (781,097)
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36.

Efficient Nonparametric Estimation of Generalized Autocovariances

CEIS Working Paper No. 515
Number of pages: 17 Posted: 18 Oct 2021
Alessandra Luati, Francesca Papagni and Tommaso Proietti
University of Bologna - Department of Statistics, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Rome II - Department of Economics and Finance
Downloads 1 (792,471)

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Cramér-Rao lower bound; Frequency Domain; Minimum Contrast Estimation; Periodogram.

37.

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 (792,471)
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Linear filters, Reliability, Seasonal adjustment, Unobserved components

38.

Spurious Periodic Autoregressions

Posted: 09 Apr 1999
Tommaso Proietti
University of Rome II - Department of Economics and Finance

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39.

Modelling Cycles in Climate Series: The Fractional Sinusoidal Waveform Process

CEIS Working Paper No. 518
Number of pages: 42
Tommaso Proietti and Federico Maddanu
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 0

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Mixed Spectrum. Cyclical long memory. Paleoclimatic data.