8
H index
6
i10 index
204
Citations
Gianluca Cubadda : Citation Profile
Università degli Studi di Roma "Tor Vergata" | RESEARCH PRODUCTION: 24 Articles 35 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1994 - 2020). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Gianluca Cubadda. | Is cited by:
| Cites to:
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Main data
Where Gianluca Cubadda has published?
| Journals with more than one article published | # docs |
|---|---|
| Economics Letters | 4 |
| Oxford Bulletin of Economics and Statistics | 4 |
| Economic Modelling | 4 |
| International Journal of Forecasting | 3 |
| Computational Statistics & Data Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| CEIS Research Paper / Tor Vergata University, CEIS | 18 |
| Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) | 4 |
| MPRA Paper / University Library of Munich, Germany | 2 |
Recent works citing Gianluca Cubadda (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991. Full description at Econpapers || Download paper |
| 2021 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper |
| 2020 | Bayesian analysis of seasonally cointegrated VAR model. (2020). Wr, Justyna. In: Papers. RePEc:arx:papers:2012.14820. Full description at Econpapers || Download paper |
| 2020 | The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20. Full description at Econpapers || Download paper |
| 2020 | VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838. Full description at Econpapers || Download paper |
| 2020 | Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors. (2020). al Dohaiman, Mohammed ; Mezghani, Imed ; ben Haddad, Hedi. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518300748. Full description at Econpapers || Download paper |
| 2020 | Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?. (2020). Lu, Xinjie ; Wang, Jiqian ; Ma, Feng ; He, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302404. Full description at Econpapers || Download paper |
| 2020 | A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665. Full description at Econpapers || Download paper |
| 2020 | Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping. (2020). Franses, Philip Hans ; Wiemann, Thomas. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-020-09986-0. Full description at Econpapers || Download paper |
| 2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234. Full description at Econpapers || Download paper |
| 2020 | Is implied volatility more informative for forecasting realized volatility: An international perspective. (2020). Zhang, Yaojie ; Wei, YU ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1253-1276. Full description at Econpapers || Download paper |
Works by Gianluca Cubadda:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Dimension Reduction for High Dimensional Vector Autoregressive Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Complex Reduced Rank Models For Seasonally Cointegrated Time Series In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 2000 | Complex Reduced Rank Models for Seasonally Cointegrated Time Series.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2006 | Testing for Parameter Stability in Dynamic Models across Frequencies* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2006 | Testing for Parameter Stability in Dynamic Models Across Frequencies.(2006) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2005 | Testing for parameter stability in dynamic models across frequencies.(2005) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2007 | A Reduced Rank Regression Approach to Coincident and Leading Indexes Building* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2004 | A Reduced Rank Regression Approach to Coincident and Leading Indexes Building..(2004) In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2019 | Detecting Coâ€Movements in Nonâ€Causal Time Series In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2017 | Detecting Co-Movements in Noncausal Time Series.(2017) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2018 | Detecting Co-Movements in Noncausal Time Series.(2018) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | Modelling comovements of economic time series: a selective survey In: Statistica. [Citation analysis] | article | 5 |
| 2011 | Modelling Comovements of Economic Time Series: A Selective Survey.(2011) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2002 | SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 1 |
| 2005 | Small-sample improvements in the statistical analysis of seasonally cointegrated systems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 7 |
| 2003 | Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems.(2003) In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2007 | A unifying framework for analysing common cyclical features in cointegrated time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
| 2007 | A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series.(2007) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2007 | Common shocks, common dynamics, and the international business cycle In: Economic Modelling. [Full Text][Citation analysis] | article | 22 |
| 2003 | Common Shocks, Common Dynamics, and the International Business Cycle.(2003) In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2008 | Common Shocks, Common Dynamics, and the International Business Cycle.(2008) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2011 | An alternative solution to the Autoregressivity Paradox in time series analysis In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2011 | An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis.(2011) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2012 | A medium-N approach to macroeconomic forecasting In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
| 2010 | A Medium-N Approach to Macroeconomic Forecasting.(2010) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2013 | A general to specific approach for constructing composite business cycle indicators In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2012 | A General to Specific Approach for Constructing Composite Business Cycle Indicators.(2012) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2008 | Technology shocks, structural breaks and the effects on the business cycle In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2007 | Technology shocks, structural breaks and the effects on the business cycle..(2007) In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2007 | Technology shocks, structural breaks and the effects on the business cycle.(2007) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2001 | On non-contemporaneous short-run co-movements In: Economics Letters. [Full Text][Citation analysis] | article | 27 |
| 2003 | Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series In: Economics Letters. [Full Text][Citation analysis] | article | 14 |
| 2008 | Macro-panels and reality In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2007 | Macro-panels and reality.(2007) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2009 | Studying co-movements in large multivariate data prior to multivariate modelling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2008 | Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling.(2008) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2015 | Macroeconomic forecasting and structural analysis through regularized reduced-rank regression In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
| 2013 | Macroeconomic forecasting and structural analysis through regularized reduced-rank regression.(2013) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2017 | A vector heterogeneous autoregressive index model for realized volatility measures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2016 | A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures.(2016) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2015 | A Vector Heterogeneous Autoregressive Index model for realized volatility measures.(2015) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2019 | Representation, estimation and forecasting of the multivariate index-augmented autoregressive model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2018 | Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model.(2018) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1997 | The Seasonality of the Italian Cost-of-Living Index In: Banca Italia - Servizio di Studi. [Citation analysis] | paper | 2 |
| 1999 | Common Cycles in Seasonal Non-stationary Time Series. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 30 |
| 2011 | Testing for common autocorrelation in dataâ€rich environments In: Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
| 2009 | Testing for Common Autocorrelation in Data Rich Environments.(2009) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2003 | The Role of Common Cyclical Features for Coincident and Leading Indexes Building In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Measuring the Sources of Cyclical Fluctuations in the G7 Economies. In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | On cointegration for processes integrated at different frequencies In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2020 | On Cointegration for Processes Integrated at Different Frequencies.(2020) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Testing for cointegration in high-dimensional systems In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Common Feature Analysis of Economic Time Series: An Overview and Recent Developments In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Common serial correlation and common business cycles: A cautious note In: Empirical Economics. [Full Text][Citation analysis] | article | 5 |
| 2001 | COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY In: Econometric Reviews. [Full Text][Citation analysis] | article | 6 |
| 2005 | Banking sector strength and the transmission of currency crises In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Studying co-movements in large multivariate models without multivariate modelling In: Research Memorandum. [Full Text][Citation analysis] | paper | 3 |
| 1994 | Is Money Neutral? Some Evidence for Italy. In: International Finance. [Full Text][Citation analysis] | paper | 0 |
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