Tommaso Proietti

University of Rome II - Department of Economics and Finance

Professor of Economic Statistics

Via Columbia, 2

Rome, 00133

Italy

SCHOLARLY PAPERS

36

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4,291

SSRN CITATIONS
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Top 9,998

in Total Papers Citations

67

CROSSREF CITATIONS

94

Scholarly Papers (36)

1.

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 343 (161,942)
Citation 5

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

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 167 (325,463)
Citation 1

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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 102 (480,560)
Citation 1

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realized volatility, forecasting, leverage effect, volatility in volatility

3.

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 266 (211,234)
Citation 3

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State Space Models, Kalman Filter and Smoother, Bayesian Estimation

4.

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 254 (221,100)

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common trends, dynamic factor analysis, homogeneity, exponential smoothing

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 226 (247,800)
Citation 1

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

6.
Downloads 218 (256,295)
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, The University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 200 (276,684)
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
The 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 (994,807)
Citation 1
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Business cycle, euro area, cycle dating, cycle synchronization

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 142 (372,854)
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 64 (639,305)

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

8.

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 190 (290,676)
Citation 3

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

9.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
The 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 165 (329,013)
Citation 31

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

10.

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 154 (348,735)
Citation 8

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

11.

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 152 (354,455)
Citation 1

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Spectral envelope, Seasonality, Deviation cycles, Cumulative Logit

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 147 (362,213)
Citation 3

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Variable selection; Multiple testing; p-value weighting

13.

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 Imperial College London - Department of Mathematics
Downloads 138 (380,663)

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

14.

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 134 (389,572)
Citation 7

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

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 130 (398,931)

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Markov chains; Business cycles; Recession duration

16.

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 119 (426,414)
Citation 3

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Signal Extraction, Revisions, Kalman filter and Smoother, Bandpass

17.

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 Imperial College London - Department of Mathematics
Downloads 105 (467,600)
Citation 2

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

18.

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 92 (510,743)

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19.

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 88 (525,144)
Citation 1

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

20.

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
Downloads 87 (528,816)
Citation 2

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

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 82 (548,202)
Citation 1

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Toeplitz systems; Optimal linear prediction; Partial autocorrelation function

22.

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 78 (564,377)
Citation 13

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

23.

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 75 (577,266)

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Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain

24.

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 Imperial College London - Department of Mathematics
Downloads 70 (599,720)
Citation 2

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

25.

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 Imperial College London - Department of Mathematics
Downloads 64 (628,630)

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

26.

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 60 (649,168)

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

27.

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 57 (665,379)
Citation 2

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

28.

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 56 (671,037)
Citation 3

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

29.

Modelling Cycles in Climate Series: The Fractional Sinusoidal Waveform Process

CEIS Working Paper No. 518
Number of pages: 42 Posted: 25 Oct 2021
Tommaso Proietti and Federico Maddanu
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 55 (676,560)
Citation 3

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Mixed Spectrum. Cyclical long memory. Paleoclimatic data.

30.

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
Imperial College London - Department of Mathematics and University of Rome II - Department of Economics and Finance
Downloads 54 (682,329)

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Generalised autocovariance, Spectral models, Whittle likelihood, Reparameterisation.

31.

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 52 (693,947)
Citation 2

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Robustness; Kalman Filter; Long Memory

32.

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
Imperial College London - Department of Mathematics, Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Rome II - Department of Economics and Finance
Downloads 46 (731,580)

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

33.

Band-Pass Filtering with High-Dimensional Time Series

CEIS Working Paper No. 559
Number of pages: 34 Posted: 16 Jun 2023
Alessandro Giovannelli, Marco Lippi and Tommaso Proietti
University of Rome Tor Vergata, Einaudi Institute for Economics and Finance (EIEF) and University of Rome II - Department of Economics and Finance
Downloads 43 (751,713)

Abstract:

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Nowcasting. Principal Components Analysis. Macroeconomic Indicators

34.

Characterizing the Business Cycle for Accession Countries

Number of pages: 48 Posted: 30 Jul 2004
The 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 (1,041,828)
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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

35.

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 (1,076,617)
Citation 1
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Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

36.

Spurious Periodic Autoregressions

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

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