Gianluca Cubadda : Citation Profile


Are you Gianluca Cubadda?

Università degli Studi di Roma "Tor Vergata"

8

H index

6

i10 index

204

Citations

RESEARCH PRODUCTION:

24

Articles

35

Papers

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 7
   Journals where Gianluca Cubadda has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 40 (16.39 %)

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   Permalink: http://citec.repec.org/pcu1
   Updated: 2021-03-27    RAS profile: 2020-09-16    
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Relations with other researchers


Works with:

Hecq, Alain (7)

Guardabascio, Barbara (4)

Telg, Sean (3)

del Barrio Castro, Tomás (2)

Osborn, Denise (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gianluca Cubadda.

Is cited by:

Hecq, Alain (44)

Guillén, Osmani (39)

Götz, Thomas (14)

Smeekes, Stephan (12)

Palm, Franz (12)

Paruolo, Paolo (12)

Westermann, Frank (11)

Issler, João (11)

Urbain, Jean-Pierre (10)

Laurent, Sébastien (10)

Lindenberg, Nannette (9)

Cites to:

Hecq, Alain (52)

Palm, Franz (44)

Engle, Robert (42)

Vahid, Farshid (34)

Watson, Mark (26)

Stock, James (21)

Issler, João (18)

Plosser, Charles (17)

Bai, Jushan (17)

Granger, Clive (15)

Reichlin, Lucrezia (15)

Main data


Where Gianluca Cubadda has published?


Journals with more than one article published# docs
Economics Letters4
Oxford Bulletin of Economics and Statistics4
Economic Modelling4
International Journal of Forecasting3
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
CEIS Research Paper / Tor Vergata University, CEIS18
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)4
MPRA Paper / University Library of Munich, Germany2

Recent works citing Gianluca Cubadda (2021 and 2020)


YearTitle of citing document
2020Granger 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.

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2021Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2020Bayesian analysis of seasonally cointegrated VAR model. (2020). Wr, Justyna. In: Papers. RePEc:arx:papers:2012.14820.

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2020The 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.

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2020VIX 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.

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2020Common 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.

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2020Which 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.

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2020A 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.

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2020Intertemporal 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.

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2020A 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.

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2020Is 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.

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Works by Gianluca Cubadda:


YearTitleTypeCited
2020Dimension Reduction for High Dimensional Vector Autoregressive Models In: Papers.
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paper0
2001Complex Reduced Rank Models For Seasonally Cointegrated Time Series In: Oxford Bulletin of Economics and Statistics.
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article10
2000Complex Reduced Rank Models for Seasonally Cointegrated Time Series.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 10
paper
2006Testing for Parameter Stability in Dynamic Models across Frequencies* In: Oxford Bulletin of Economics and Statistics.
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article2
2006Testing for Parameter Stability in Dynamic Models Across Frequencies.(2006) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 2
paper
2005Testing for parameter stability in dynamic models across frequencies.(2005) In: Research Memorandum.
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This paper has another version. Agregated cites: 2
paper
2007A Reduced Rank Regression Approach to Coincident and Leading Indexes Building* In: Oxford Bulletin of Economics and Statistics.
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article2
2004A Reduced Rank Regression Approach to Coincident and Leading Indexes Building..(2004) In: Economics & Statistics Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2019Detecting Co‐Movements in Non‐Causal Time Series In: Oxford Bulletin of Economics and Statistics.
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article1
2017Detecting Co-Movements in Noncausal Time Series.(2017) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2018Detecting Co-Movements in Noncausal Time Series.(2018) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 1
paper
2011Modelling comovements of economic time series: a selective survey In: Statistica.
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article5
2011Modelling Comovements of Economic Time Series: A Selective Survey.(2011) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 5
paper
2002SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY In: Macroeconomic Dynamics.
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article1
2005Small-sample improvements in the statistical analysis of seasonally cointegrated systems In: Computational Statistics & Data Analysis.
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article7
2003Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems.(2003) In: Economics & Statistics Discussion Papers.
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This paper has another version. Agregated cites: 7
paper
2007A unifying framework for analysing common cyclical features in cointegrated time series In: Computational Statistics & Data Analysis.
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article8
2007A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series.(2007) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 8
paper
2007Common shocks, common dynamics, and the international business cycle In: Economic Modelling.
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article22
2003Common Shocks, Common Dynamics, and the International Business Cycle.(2003) In: Economics & Statistics Discussion Papers.
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This paper has another version. Agregated cites: 22
paper
2008Common Shocks, Common Dynamics, and the International Business Cycle.(2008) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 22
paper
2011An alternative solution to the Autoregressivity Paradox in time series analysis In: Economic Modelling.
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article2
2011An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis.(2011) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 2
paper
2012A medium-N approach to macroeconomic forecasting In: Economic Modelling.
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article7
2010A Medium-N Approach to Macroeconomic Forecasting.(2010) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 7
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2013A general to specific approach for constructing composite business cycle indicators In: Economic Modelling.
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article2
2012A General to Specific Approach for Constructing Composite Business Cycle Indicators.(2012) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 2
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2008Technology shocks, structural breaks and the effects on the business cycle In: Economics Letters.
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article1
2007Technology shocks, structural breaks and the effects on the business cycle..(2007) In: Economics & Statistics Discussion Papers.
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This paper has another version. Agregated cites: 1
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2007Technology shocks, structural breaks and the effects on the business cycle.(2007) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 1
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2001On non-contemporaneous short-run co-movements In: Economics Letters.
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article27
2003Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series In: Economics Letters.
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article14
2008Macro-panels and reality In: Economics Letters.
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article2
2007Macro-panels and reality.(2007) In: Research Memorandum.
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This paper has another version. Agregated cites: 2
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2009Studying co-movements in large multivariate data prior to multivariate modelling In: Journal of Econometrics.
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article16
2008Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling.(2008) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 16
paper
2015Macroeconomic forecasting and structural analysis through regularized reduced-rank regression In: International Journal of Forecasting.
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article6
2013Macroeconomic forecasting and structural analysis through regularized reduced-rank regression.(2013) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 6
paper
2017A vector heterogeneous autoregressive index model for realized volatility measures In: International Journal of Forecasting.
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article8
2016A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures.(2016) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 8
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2015A Vector Heterogeneous Autoregressive Index model for realized volatility measures.(2015) In: Research Memorandum.
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This paper has another version. Agregated cites: 8
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2019Representation, estimation and forecasting of the multivariate index-augmented autoregressive model In: International Journal of Forecasting.
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article3
2018Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model.(2018) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 3
paper
1997The Seasonality of the Italian Cost-of-Living Index In: Banca Italia - Servizio di Studi.
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paper2
1999Common Cycles in Seasonal Non-stationary Time Series. In: Journal of Applied Econometrics.
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article30
2011Testing for common autocorrelation in data‐rich environments In: Journal of Forecasting.
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article7
2009Testing for Common Autocorrelation in Data Rich Environments.(2009) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 7
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2003The Role of Common Cyclical Features for Coincident and Leading Indexes Building In: Economics & Statistics Discussion Papers.
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2006Measuring the Sources of Cyclical Fluctuations in the G7 Economies. In: Economics & Statistics Discussion Papers.
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paper2
2020On cointegration for processes integrated at different frequencies In: MPRA Paper.
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2020On Cointegration for Processes Integrated at Different Frequencies.(2020) In: CEIS Research Paper.
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2009Testing for cointegration in high-dimensional systems In: CEIS Research Paper.
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2015Common Feature Analysis of Economic Time Series: An Overview and Recent Developments In: CEIS Research Paper.
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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector In: CEIS Research Paper.
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1999Common serial correlation and common business cycles: A cautious note In: Empirical Economics.
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article5
2001COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY In: Econometric Reviews.
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article6
2005Banking sector strength and the transmission of currency crises In: Research Memorandum.
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2007Studying co-movements in large multivariate models without multivariate modelling In: Research Memorandum.
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1994Is Money Neutral? Some Evidence for Italy. In: International Finance.
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