Tommaso Proietti : Citation Profile


Are you Tommaso Proietti?

Università degli Studi di Roma "Tor Vergata"

16

H index

24

i10 index

1103

Citations

RESEARCH PRODUCTION:

68

Articles

104

Papers

3

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 35
   Journals where Tommaso Proietti has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 80 (6.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr15
   Updated: 2024-07-05    RAS profile: 2024-03-06    
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Relations with other researchers


Works with:

Giovannelli, Alessandro (6)

Lippi, Marco (2)

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

Is cited by:

Marcellino, Massimiliano (34)

Perez Quiros, Gabriel (22)

Camacho, Maximo (17)

Pérez, Javier (15)

Koopman, Siem Jan (13)

Guillén, Osmani (13)

Grassi, Stefano (13)

Issler, João (13)

Moauro, Filippo (12)

Ferrara, Laurent (11)

Giannone, Domenico (11)

Cites to:

Harvey, Andrew (70)

Forni, Mario (58)

Koopman, Siem Jan (57)

Lippi, Marco (55)

Reichlin, Lucrezia (47)

Watson, Mark (35)

Shephard, Neil (34)

Hallin, Marc (33)

Marcellino, Massimiliano (27)

Hendry, David (26)

Diebold, Francis (20)

Main data


Where Tommaso Proietti has published?


Journals with more than one article published# docs
International Journal of Forecasting8
Computational Statistics & Data Analysis6
Studies in Nonlinear Dynamics & Econometrics4
Econometric Reviews4
Journal of Time Series Analysis4
Empirical Economics3
Journal of Forecasting3
Journal of the Royal Statistical Society Series A3
Statistical Methods & Applications3
Journal of Econometrics2
Oxford Bulletin of Economics and Statistics2
Econometrics Journal2
Econometrics and Statistics2

Working Papers Series with more than one paper published# docs
CEIS Research Paper / Tor Vergata University, CEIS29
MPRA Paper / University Library of Munich, Germany25
Economics Working Papers / European University Institute7
Econometrics / University Library of Munich, Germany7
Working Papers / University of Sydney Business School, Discipline of Business Analytics4
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
EERI Research Paper Series / Economics and Econometrics Research Institute (EERI), Brussels2
Hohenheim Discussion Papers in Business, Economics and Social Sciences / University of Hohenheim, Faculty of Business, Economics and Social Sciences2
Quaderni di Dipartimento / Department of Statistics, University of Bologna2

Recent works citing Tommaso Proietti (2024 and 2023)


YearTitle of citing document
2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125.

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2023Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536.

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2023El ISAE: Un Indicador para Monitorear la Actividad Económica Colombiana en Alta Frecuencia. (2023). Pulido-Mahecha, Karen ; Cote-Barón, Juan ; Rojas-Martinez, Carlos D ; Rodriguez-Rodriguez, Nicol Valeria ; Cote-Baron, Juan Pablo. In: Borradores de Economia. RePEc:bdr:borrec:1225.

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2023Economic resilience and regionally differentiated cycles: Evidence from a turning point approach in Italy. (2023). Fratesi, Ugo ; Duran, Hasan Engin. In: Papers in Regional Science. RePEc:bla:presci:v:102:y:2023:i:2:p:219-252.

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2024Global Linkages across Sectors and Frequency Bands: A Band Spectral Panel Regression Approach. (2024). Sussmuth, Bernd ; Lyu, Jingjing. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10970.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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2024Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2024). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo ; Kang, Jian. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002105.

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2023Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China. (2023). Jiang, Cuixia ; Xu, Mengnan ; Fu, Weizhong. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:4:s0939362523000651.

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2023Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312.

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2023Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147.

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2023Social and environmental events disrupt the relation between motor gasoline prices and market fundamentals. (2023). Schroer, Colter ; Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004127.

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2023Energy price volatility affects decisions to purchase energy using capital: Motor vehicles. (2023). Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004139.

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2023The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Hao ; Xu, Yongan. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005625.

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2023Market momentum amplifies market volatility risk: Evidence from China’s equity market. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001245.

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2023The RWDAR model: A novel state-space approach to forecasting. (2023). Silvestrini, Andrea ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:922-937.

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2023Testing big data in a big crisis: Nowcasting under Covid-19. (2023). Ratto, Marco ; Pericoli, Filippo Maria ; Barbaglia, Luca ; Pezzoli, Luca Tiozzo ; Onorante, Luca ; Frattarolo, Lorenzo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1548-1563.

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2023Industrial linkage and clustered regional business cycles in China. (2023). Peng, Bin ; Sun, Yanlin ; Wang, Xiaoyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:59-72.

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2023.

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2023How credible are Okun coefficients? The gap version of Okun’s law for G7 economies. (2023). Povaanova, Mariana ; Boa, Martin. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:3:d:10.1007_s10644-022-09438-9.

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2023The cause and Interaction between banking crises and the business cycle. (2023). Bodunrin, Olalekan. In: MPRA Paper. RePEc:pra:mprapa:117955.

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2023Application of Markov-Switching MIDAS models to nowcasting of GDP and its components. (2023). Stankevich, Ivan. In: Applied Econometrics. RePEc:ris:apltrx:0474.

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2024Ups and (Draw)Downs. (2024). Proietti, Tommaso. In: CEIS Research Paper. RePEc:rtv:ceisrp:576.

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2023Does climate change affect economic data?. (2023). Choi, IN. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02363-4.

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2023Predicting the contribution of artificial intelligence to unemployment rates: an artificial neural network approach. (2023). Hegerty, Scott W ; Mutascu, Mihai. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-023-09616-z.

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2023Mixed frequency composite indicators for measuring public sentiment in the EU. (2023). Scepi, Germana ; Spano, Maria ; Misuraca, Michelangelo ; Mattera, Raffaele. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01468-9.

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2023Automatic robust Box–Cox and extended Yeo–Johnson transformations in regression. (2023). Corbellini, Aldo ; Atkinson, Anthony C ; Riani, Marco. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:1:d:10.1007_s10260-022-00640-7.

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2023Forecasting highly persistent time series with bounded spectrum processes. (2023). Maddanu, Federico. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:1:d:10.1007_s00362-022-01321-z.

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2023The impact of COVID?19 on unemployment rate: An intelligent based unemployment rate prediction in selected countries of Europe. (2023). Abbas, Syed Zaheer ; Haider, Syed Jawad ; Jiang, Chong Hui ; Khan, Yousaf Ali ; Ahmad, Muneeb. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:528-543.

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2023Fiscal targets. A guide to forecasters?. (2023). Pérez, Javier ; Perez Quiros, Gabriel ; Paredes, Joan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:472-492.

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2023Nowcasting the state of the Italian economy: The role of financial markets. (2023). Silvestrini, Andrea ; Ceci, Donato. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1569-1593.

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2023Towards seasonal adjustment of infra-monthly time series with JDemetra+. (2023). Smyk, Anna ; Webel, Karsten. In: Discussion Papers. RePEc:zbw:bubdps:242023.

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Tommaso Proietti is editor of


Journal
CEIS Research Paper
Statistical Methods & Applications

Tommaso Proietti has edited the books:


YearTitleTypeCited

Works by Tommaso Proietti:


YearTitleTypeCited
2011Bayesian stochastic model specification search for seasonal and calendar effects In: CREATES Research Papers.
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paper3
2010Bayesian stochastic model specification search for seasonal and calendar effects.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3
paper
2011Characterizing economic trends by Bayesian stochastic model specification search In: CREATES Research Papers.
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paper3
2014Characterising economic trends by Bayesian stochastic model specification search.(2014) In: Computational Statistics & Data Analysis.
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article
2010Characterizing economic trends by Bayesian stochastic model specification search.(2010) In: EERI Research Paper Series.
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This paper has nother version. Agregated cites: 3
paper
2010Characterizing economic trends by Bayesian stochastic model specifi cation search.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3
paper
2011Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search In: CREATES Research Papers.
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paper2
2015Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search.(2015) In: Empirical Economics.
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This paper has nother version. Agregated cites: 2
article
2011Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2013The Exponential Model for the Spectrum of a Time Series: Extensions and Applications In: CREATES Research Papers.
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paper0
2013The Exponential Model for the Spectrum of a Time Series: Extensions and Applications.(2013) In: MPRA Paper.
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paper
2013The Exponential Model for the Spectrum of a Time Series: Extensions and Applications.(2013) In: CEIS Research Paper.
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paper
2014Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach In: CREATES Research Papers.
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paper15
2016Outlier detection in structural time series models: The indicator saturation approach.(2016) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 15
article
2014Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach.(2014) In: CEIS Research Paper.
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2014Outlier detection in structural time series models: The indicator saturation approach.(2014) In: FZID Discussion Papers.
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2015Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach.(2015) In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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paper
2014On the Selection of Common Factors for Macroeconomic Forecasting In: CREATES Research Papers.
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paper8
2016On the Selection of Common Factors for Macroeconomic Forecasting.(2016) In: Advances in Econometrics.
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chapter
2014On the Selection of Common Factors for Macroeconomic Forecasting.(2014) In: MPRA Paper.
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2015On the Selection of Common Factors for Macroeconomic Forecasting.(2015) In: CEIS Research Paper.
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2015EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area In: CREATES Research Papers.
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paper6
2015EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area.(2015) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 6
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2017Euromind? D : A Density Estimate of Monthly Gross Domestic Product for the Euro Area.(2017) In: Journal of Applied Econometrics.
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2015EuroMInd-D: A density estimate of monthly gross domestic product for the euro area.(2015) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
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2015Generalised partial autocorrelations and the mutual information between past and future In: CREATES Research Papers.
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2015Generalised partial autocorrelations and the mutual information between past and future.(2015) In: CEIS Research Paper.
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2015Seasonal Changes in Central England Temperatures In: CREATES Research Papers.
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2017Seasonal changes in central England temperatures.(2017) In: Journal of the Royal Statistical Society Series A.
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This paper has nother version. Agregated cites: 11
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2015Seasonal Changes in Central England Temperatures.(2015) In: CEIS Research Paper.
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2015Exponential Smoothing, Long Memory and Volatility Prediction In: CREATES Research Papers.
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2014Exponential Smoothing, Long Memory and Volatility Prediction.(2014) In: MPRA Paper.
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2014Exponential Smoothing, Long Memory and Volatility Prediction.(2014) In: CEIS Research Paper.
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2016A generalized exponential time series regression model for electricity prices In: CREATES Research Papers.
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paper3
2017A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices In: CREATES Research Papers.
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2018A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices.(2018) In: Biometrika.
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2017A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices.(2017) In: CEIS Research Paper.
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2017Spikes and memory in (Nord Pool) electricity price spot prices In: CREATES Research Papers.
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2017Spikes and memory in (Nord Pool) electricity price spot prices.(2017) In: CEIS Research Paper.
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2010The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 In: Cliometrica, Journal of Historical Economics and Econometric History.
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2008The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913.(2008) In: CEIS Research Paper.
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2023Band-Pass Filtering with High-Dimensional Time Series In: Papers.
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2023Band-Pass Filtering with High-Dimensional Time Series.(2023) In: CEIS Research Paper.
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2011Estimation of Common Factors under Cross?Sectional and Temporal Aggregation Constraints In: International Statistical Review.
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2012SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY In: Journal of Economic Surveys.
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2010Seasonality, Forecast Extensions and Business Cycle Uncertainty.(2010) In: MPRA Paper.
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2011EUROMIND: a monthly indicator of the euro area economic conditions In: Journal of the Royal Statistical Society Series A.
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article44
2021Nowcasting monthly GDP with big data: A model averaging approach In: Journal of the Royal Statistical Society Series A.
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2020Nowcasting Monthly GDP with Big Data: a Model Averaging Approach.(2020) In: CEIS Research Paper.
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2006Dynamic factor analysis with non?linear temporal aggregation constraints In: Journal of the Royal Statistical Society Series C.
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2004Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints.(2004) In: Econometrics.
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2003LEAVE?K?OUT DIAGNOSTICS IN STATE?SPACE MODELS In: Journal of Time Series Analysis.
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2000Leave-k-out diagnostics in state space models.(2000) In: SFB 373 Discussion Papers.
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2009Transformations and seasonal adjustment In: Journal of Time Series Analysis.
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2010Hyper?spherical and elliptical stochastic cycles In: Journal of Time Series Analysis.
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article4
2009Hyper-spherical and Elliptical Stochastic Cycles.(2009) In: MPRA Paper.
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2023Peaks, gaps, and time?reversibility of economic time series In: Journal of Time Series Analysis.
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2020Peaks, Gaps, and Time Reversibility of Economic Time Series.(2020) In: CEIS Research Paper.
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1997Short-Run Dynamics in Cointegrated Systems. In: Oxford Bulletin of Economics and Statistics.
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article85
2004Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area In: Oxford Bulletin of Economics and Statistics.
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1993A seasonal integration analysis of the italian consumption quarterly time series. In: Quaderni di Dipartimento.
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1993Structural properties of the new quarterly series on consumption. In: Quaderni di Dipartimento.
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2010Has the Volatility of U.S. Inflation Changed and How? In: Journal of Time Series Econometrics.
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2008Has the Volatility of U.S. Inflation Changed and How?.(2008) In: MPRA Paper.
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2011Extracting the Cyclical Component in Hours Worked In: Studies in Nonlinear Dynamics & Econometrics.
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1998Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models In: Studies in Nonlinear Dynamics & Econometrics.
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2004Introduction In: Studies in Nonlinear Dynamics & Econometrics.
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2004Seasonal Specific Structural Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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2003Dating the Euro Area Business Cycle In: CEPR Discussion Papers.
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paper107
2002Dating the Euro Area Business Cycle.(2002) In: Economics Working Papers.
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2003Dating the Euro Area Business Cycle.(2003) In: Working Papers.
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2004Characterizing the Business Cycle for Accession Countries In: CEPR Discussion Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Working Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Econometrics.
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2008A Monthly Indicator of the Euro Area GDP In: CEPR Discussion Papers.
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2008A Monthly Indicator of the Euro Area GDP.(2008) In: Economics Working Papers.
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2010ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS In: Econometric Theory.
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2008On the Spectral Properties of Matrices Associated with Trend Filters.(2008) In: MPRA Paper.
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2007Growth accounting for the euro area: a structural approach In: Working Paper Series.
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1998Spurious periodic autoregressions In: Econometrics Journal.
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article3
2006Temporal disaggregation by state space methods: Dynamic regression methods revisited In: Econometrics Journal.
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article57
2004Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited.(2004) In: Econometrics.
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2016State space modeling of Gegenbauer processes with long memory In: Computational Statistics & Data Analysis.
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2003Forecasting the US unemployment rate In: Computational Statistics & Data Analysis.
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article28
2005New algorithms for dating the business cycle In: Computational Statistics & Data Analysis.
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article10
20072nd Special Issue on Statistical Signal Extraction and Filtering In: Computational Statistics & Data Analysis.
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2007Signal extraction and filtering by linear semiparametric methods In: Computational Statistics & Data Analysis.
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2008Band spectral estimation for signal extraction In: Economic Modelling.
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2007Band Spectral Estimation for Signal Extraction.(2007) In: CEIS Research Paper.
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2000A Beveridge-Nelson smoother In: Economics Letters.
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2015The generalised autocovariance function In: Journal of Econometrics.
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2012The Generalised Autocovariance Function.(2012) In: MPRA Paper.
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2013The Generalised Autocovariance Function.(2013) In: CEIS Research Paper.
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2024Modelling cycles in climate series: The fractional sinusoidal waveform process In: Journal of Econometrics.
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article1
2021Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process.(2021) In: CEIS Research Paper.
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2015A data-cleaning augmented Kalman filter for robust estimation of state space models.(2015) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
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2011Direct and iterated multistep AR methods for difference stationary processes.(2011) In: International Journal of Forecasting.
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2008Direct and iterated multistep AR methods for difference stationary processes.(2008) In: MPRA Paper.
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2011Does the Box-Cox transformation help in forecasting macroeconomic time series?.(2011) In: Working Papers.
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2015EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries In: International Journal of Forecasting.
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2020Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach.(2020) In: CEIS Research Paper.
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2008Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches In: Statistics & Probability Letters.
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2013Maximum likelihood estimation of time series models: the Kalman filter and beyond In: Chapters.
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2012Maximum likelihood estimation of time series models: the Kalman filter and beyond.(2012) In: Working Papers.
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2002Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach In: Economics Working Papers.
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2009Survey Data as Coicident or Leading Indicators In: Economics Working Papers.
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2009Survey Data as Coincident or Leading Indicators.(2009) In: Working Papers.
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2004Forecasting and Signal Extraction with Misspecified Models.(2004) In: Econometrics.
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2008Structural Time Series Models for Business Cycle Analysis.(2008) In: MPRA Paper.
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2008Structural Time Series Models for Business Cycle Analysis.(2008) In: CEIS Research Paper.
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2004On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates.(2004) In: Econometrics.
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