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Gianluca Cubadda

Personal Details

First Name:Gianluca
Middle Name:
Last Name:Cubadda
Suffix:
RePEc Short-ID:pcu1
http://directory.uniroma2.it/cv/CV_3916_EN.pdf
Via Columbia 2, 00133 Roma - Italy
+39 06 7259 5847

Affiliation

Dipartimento di Economia e Finanza
Facoltà di Economia
Università degli Studi di Roma "Tor Vergata"

Roma, Italy
http://www.economia.uniroma2.it/def/
RePEc:edi:dsrotit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. G. Cubadda & S. Grassi & B. Guardabascio, 2022. "The Time-Varying Multivariate Autoregressive Index Model," Papers 2201.07069, arXiv.org.
  2. Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
  3. del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020. "On cointegration for processes integrated at different frequencies," MPRA Paper 102611, University Library of Munich, Germany.
  4. Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
  5. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
  6. Gianluca Cubadda & Barbara Guardabascio, 2017. "Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model," CEIS Research Paper 397, Tor Vergata University, CEIS, revised 13 Jul 2018.
  7. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
  8. Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
  9. Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
  10. Emmanuela Bernardini & Gianluca Cubadda, 2013. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," CEIS Research Paper 289, Tor Vergata University, CEIS, revised 03 Oct 2013.
  11. Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012. "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper 224, Tor Vergata University, CEIS, revised 27 Feb 2012.
  12. Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
  13. Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
  14. Gianluca Cubadda & Barbara Guardabascio, 2010. "A Medium-N Approach to Macroeconomic Forecasting," CEIS Research Paper 176, Tor Vergata University, CEIS, revised 09 Dec 2010.
  15. Gianluca Cubadda & Alain Hecq, 2009. "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper 153, Tor Vergata University, CEIS, revised 04 Dec 2009.
  16. Jorg Breitung & Gianluca Cubadda, 2009. "Testing for cointegration in high-dimensional systems," CEIS Research Paper 148, Tor Vergata University, CEIS, revised 30 Sep 2009.
  17. Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
  18. Vincenzo Atella & Marco Centoni & Gianluca Cubadda, 2007. "Technology shocks, structural breaks and the effects on the business cycle," CEIS Research Paper 105, Tor Vergata University, CEIS.
  19. Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Macro-panels and reality," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  20. Gianluca Cubadda, 2007. "A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series," CEIS Research Paper 102, Tor Vergata University, CEIS.
  21. Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  22. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2006. "Measuring the Sources of Cyclical Fluctuations in the G7 Economies," Economics & Statistics Discussion Papers esdp06028, University of Molise, Department of Economics.
  23. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper 82, Tor Vergata University, CEIS.
  24. Cubadda, Gianluca, 2004. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp04022, University of Molise, Department of Economics.
  25. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Department of Economics.
  26. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Department of Economics.
  27. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Department of Economics.
  28. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society.
  29. Cubadda, G. & Sabbatini, R., 1997. "The Seasonality of the Italian Cost-of-Living Index," Papers 313, Banca Italia - Servizio di Studi.
  30. Gianluca Cubadda & Domenico Mignacca, 1994. "Is Money Neutral? Some Evidence for Italy," International Finance 9410001, University Library of Munich, Germany, revised 09 Nov 1994.

Articles

  1. Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022. "On cointegration for processes integrated at different frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
  2. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
  3. Cubadda, Gianluca & Guardabascio, Barbara, 2019. "Representation, estimation and forecasting of the multivariate index-augmented autoregressive model," International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
  4. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
  5. Bernardini, Emmanuela & Cubadda, Gianluca, 2015. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," International Journal of Forecasting, Elsevier, vol. 31(3), pages 682-691.
  6. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
  7. Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
  8. Cubadda, Gianluca & Triacca, Umberto, 2011. "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
  9. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
  10. Gianluca Cubadda & Alain Hecq, 2011. "Testing for common autocorrelation in data‐rich environments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 325-335, April.
  11. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
  12. Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2008. "Technology shocks, structural breaks and the effects on the business cycle," Economics Letters, Elsevier, vol. 100(3), pages 392-395, September.
  13. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008. "Macro-panels and reality," Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
  14. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
  15. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007. "Common shocks, common dynamics, and the international business cycle," Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
  16. Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 896-906, October.
  17. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models across Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 741-760, December.
  18. Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April.
  19. Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July.
  20. Cubadda, Gianluca & Savio, Giovanni & Zelli, Roberto, 2002. "Seasonality, Productivity Shocks, And Sectoral Comovements In A Real Business Cycle Model For Italy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(3), pages 337-356, June.
  21. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
  22. Cubadda, Gianluca & Hecq, Alain, 2001. "On non-contemporaneous short-run co-movements," Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
  23. Gianluca Cubadda, 2001. "Complex Reduced Rank Models For Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
  24. Gianluca Cubadda, 1999. "Common serial correlation and common business cycles: A cautious note," Empirical Economics, Springer, vol. 24(3), pages 529-535.
  25. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May-June.
  26. Gianluca Cubadda, 1995. "A Note On Testing For Seasonal Cointegration Using Principal Components In The Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 499-508, September.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 28 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (23) 2003-07-16 2003-11-09 2004-10-18 2006-08-05 2007-07-13 2008-07-20 2008-07-20 2009-10-10 2009-12-19 2010-12-18 2011-01-30 2011-11-01 2012-03-08 2013-10-05 2015-10-10 2015-12-28 2016-07-30 2017-02-12 2017-03-12 2020-09-14 2020-09-21 2021-12-06 2022-02-28. Author is listed
  2. NEP-ETS: Econometric Time Series (21) 2003-07-13 2003-11-09 2006-08-05 2007-07-13 2008-07-20 2009-10-10 2009-12-19 2011-01-30 2011-11-01 2012-03-08 2015-10-10 2015-12-28 2016-07-30 2017-02-12 2017-03-12 2018-04-30 2018-11-12 2020-09-14 2020-09-21 2021-12-06 2022-02-28. Author is listed
  3. NEP-MAC: Macroeconomics (10) 2003-07-13 2006-05-06 2006-08-05 2007-10-27 2008-07-20 2008-07-20 2010-12-18 2017-03-12 2018-04-30 2022-02-28. Author is listed
  4. NEP-BEC: Business Economics (4) 2004-10-18 2007-10-27 2008-07-20 2008-07-20
  5. NEP-CBA: Central Banking (4) 2006-05-06 2007-10-27 2008-07-20 2010-12-18
  6. NEP-FOR: Forecasting (3) 2013-10-05 2017-02-12 2018-11-12
  7. NEP-ORE: Operations Research (3) 2017-02-12 2021-12-06 2022-02-28
  8. NEP-CWA: Central & Western Asia (2) 2021-12-06 2022-02-28
  9. NEP-ENE: Energy Economics (1) 2018-04-30
  10. NEP-HPE: History & Philosophy of Economics (1) 2011-11-01
  11. NEP-OPM: Open Economy Macroeconomics (1) 2008-07-20

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