10
H index
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283
Citations
Gianluca Cubadda : Citation Profile
Università degli Studi di Roma "Tor Vergata" | RESEARCH PRODUCTION: 32 Articles 46 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1994 - 2025). 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 |
|---|---|
| Oxford Bulletin of Economics and Statistics | 5 |
| Economics Letters | 4 |
| Economic Modelling | 4 |
| International Journal of Forecasting | 4 |
| Journal of Time Series Analysis | 2 |
| Computational Statistics & Data Analysis | 2 |
| Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| CEIS Research Paper / Tor Vergata University, CEIS | 25 |
| Papers / arXiv.org | 6 |
| Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) | 3 |
| MPRA Paper / University Library of Munich, Germany | 2 |
Recent works citing Gianluca Cubadda (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050. Full description at Econpapers || Download paper |
| 2024 | Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702. Full description at Econpapers || Download paper |
| 2024 | Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973. Full description at Econpapers || Download paper |
| 2024 | Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791. Full description at Econpapers || Download paper |
| 2025 | Regularized Generalized Covariance (RGCov) Estimator. (2025). Hecq, Alain ; Neyazi, Aryan Manafi ; Jasiak, Joann ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2504.18678. Full description at Econpapers || Download paper |
| 2025 | Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911. Full description at Econpapers || Download paper |
| 2025 | Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492. Full description at Econpapers || Download paper |
| 2025 | Decomposing Co-Movements in Matrix-Valued Time Series: A Pseudo-Structural Reduced-Rank Approach. (2025). Hecq, Alain ; Ricardo, Ivan ; Wilms, Ines. In: Papers. RePEc:arx:papers:2509.19911. Full description at Econpapers || Download paper |
| 2024 | Multivariate Trend‐Cycle‐Seasonal Decompositions with Correlated Innovations. (2024). Jacobs, Jan ; Osborn, Denise R ; Tian, Jing. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1260-1289. Full description at Econpapers || Download paper |
| 2024 | Modelling common bubbles in cryptocurrency prices. (2024). Jasiak, Joann ; Hall, Mauri K. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s026499932400138x. Full description at Econpapers || Download paper |
| 2025 | Detecting cointegrating relations in non-stationary matrix-valued time series. (2025). Hecq, Alain ; Ricardo, Ivan ; Wilms, Ines. In: Economics Letters. RePEc:eee:ecolet:v:248:y:2025:i:c:s0165176525000424. Full description at Econpapers || Download paper |
| 2024 | Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Li, Yingying ; Lu, Wenbin ; Wan, Runzhe ; Song, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179. Full description at Econpapers || Download paper |
| 2025 | Bayesian analysis of seasonally cointegrated VAR models. (2025). Wrblewska, Justyna. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:55-70. Full description at Econpapers || Download paper |
| 2024 | Seasonal temperature variability and economic cycles. (2024). Linsenmeier, Manuel. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:79:y:2024:i:c:s016407042300068x. Full description at Econpapers || Download paper |
| 2024 | Seasonal temperature variability and economic cycles. (2024). Linsenmeier, Manuel. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120640. Full description at Econpapers || Download paper |
| 2025 | The Effect of Aggregation on Seasonal Cointegration in Mixed Frequency data. (2025). del Barrio Castro, Tomás ; Bauer, Dietmar. In: MPRA Paper. RePEc:pra:mprapa:126066. Full description at Econpapers || Download paper |
| 2024 | Indirect estimation of the monthly transport turnover indicator in Italy. (2024). Moauro, Filippo ; Guardabascio, Barbara ; Mosley, Luke. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:2:d:10.1007_s00181-024-02571-6. Full description at Econpapers || Download paper |
| 2024 | US monetary policy, the global financial cycle and cross-country financial cycles. (2024). Gupta, Vrinda ; Dubey, Amlendu. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:48:y:2024:i:4:d:10.1007_s12197-024-09680-z. Full description at Econpapers || Download paper |
| 2024 | Measuring human mobility in times of trouble: an investigation of the mobility of European populations during COVID-19 using big data. (2024). Guardabascio, Barbara ; Brogi, Federico ; Benassi, Federico. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:6:d:10.1007_s11135-023-01678-9. Full description at Econpapers || Download paper |
| 2024 | Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072. Full description at Econpapers || Download paper |
Works by Gianluca Cubadda:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2022 | Dimension Reduction for High‐Dimensional Vector Autoregressive Models.(2022) In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models.(2022) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | The Time-Varying Multivariate Autoregressive Index Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | The time-varying Multivariate Autoregressive Index model.(2025) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2024 | The Time-Varying Multivariate Autoregressive Index Model.(2024) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Detecting common bubbles in multivariate mixed causal-noncausal models In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2023 | Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models.(2023) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models.(2023) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes.(2024) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2025 | VAR models with an index structure: A survey with new results In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | VAR Models with an Index Structure: A Survey with New Results.(2025) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2025 | VAR Models With An Index Structure: A Survey With New Results.(2025) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Sequential Monte Carlo for Noncausal Processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 1995 | A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2022 | On cointegration for processes integrated at different frequencies In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 2020 | On cointegration for processes integrated at different frequencies.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2020 | On Cointegration for Processes Integrated at Different Frequencies.(2020) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2001 | Complex Reduced Rank Models For Seasonally Cointegrated Time Series In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 13 |
| 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 nother version. Agregated cites: 13 | 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 nother 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 nother 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 nother version. Agregated cites: 2 | paper | |
| 2019 | Detecting Co‐Movements in Non‐Causal Time Series In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2017 | Detecting Co-Movements in Noncausal Time Series.(2017) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | Detecting Co-Movements in Noncausal Time Series.(2018) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 nother 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 | 5 |
| 2005 | Small-sample improvements in the statistical analysis of seasonally cointegrated systems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 9 |
| 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 nother version. Agregated cites: 9 | paper | |
| 2007 | A unifying framework for analysing common cyclical features in cointegrated time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
| 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 nother version. Agregated cites: 11 | 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 nother 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 nother 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 | 1 |
| 2011 | An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis.(2011) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | A medium-N approach to macroeconomic forecasting In: Economic Modelling. [Full Text][Citation analysis] | article | 12 |
| 2010 | A Medium-N Approach to Macroeconomic Forecasting.(2010) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2013 | A general to specific approach for constructing composite business cycle indicators In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2012 | A General to Specific Approach for Constructing Composite Business Cycle Indicators.(2012) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2008 | Technology shocks, structural breaks and the effects on the business cycle In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 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 nother version. Agregated cites: 2 | 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 nother version. Agregated cites: 2 | paper | |
| 2001 | On non-contemporaneous short-run co-movements In: Economics Letters. [Full Text][Citation analysis] | article | 28 |
| 2003 | Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series In: Economics Letters. [Full Text][Citation analysis] | article | 17 |
| 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 nother 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 | 18 |
| 2008 | Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling.(2008) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2015 | Macroeconomic forecasting and structural analysis through regularized reduced-rank regression In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2013 | Macroeconomic forecasting and structural analysis through regularized reduced-rank regression.(2013) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2017 | A vector heterogeneous autoregressive index model for realized volatility measures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
| 2016 | A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures.(2016) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2015 | A Vector Heterogeneous Autoregressive Index model for realized volatility measures.(2015) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2019 | Representation, estimation and forecasting of the multivariate index-augmented autoregressive model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2018 | Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model.(2018) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | 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 | 34 |
| 1999 | Common cycles in seasonal non‐stationary time series.(1999) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2011 | Testing for common autocorrelation in data‐rich environments In: Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
| 2009 | Testing for Common Autocorrelation in Data Rich Environments.(2009) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2003 | The Role of Common Cyclical Features for Coincident and Leading Indexes Building In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Measuring the Sources of Cyclical Fluctuations in the G7 Economies. In: Economics & Statistics Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2024 | The vector error correction index model: representation, estimation and identification In: The Econometrics Journal. [Full Text][Citation analysis] | article | 2 |
| 2023 | The Vector Error Correction Index Model: Representation, Estimation and Identification.(2023) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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 | 5 |
| 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 | 1 |
| 2021 | Reduced Rank Regression Models in Economics and Finance In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 1 |
| 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 |
| 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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