Gianluca Cubadda
Names
| first: |
Gianluca |
| last: |
Cubadda |
Identifer
Contact
Affiliations
-
Università degli Studi di Roma "Tor Vergata"
/ Facoltà di Economia
/ Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS)
Research profile
author of:
- Dimension Reduction for High Dimensional Vector Autoregressive Models (repec:arx:papers:2009.03361)
by Gianluca Cubadda & Alain Hecq - The Time-Varying Multivariate Autoregressive Index Model (repec:arx:papers:2201.07069)
by G. Cubadda & S. Grassi & B. Guardabascio - Detecting common bubbles in multivariate mixed causal-noncausal models (repec:arx:papers:2207.11557)
by Gianluca Cubadda & Alain Hecq & Elisa Voisin - Optimization of the Generalized Covariance Estimator in Noncausal Processes (repec:arx:papers:2306.14653)
by Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak - VAR models with an index structure: A survey with new results (repec:arx:papers:2412.11278)
by Gianluca Cubadda - Sequential Monte Carlo for Noncausal Processes (repec:arx:papers:2501.03945)
by Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi - A Note On Testing For Seasonal Cointegration Using Principal Components In The Frequency Domain (repec:bla:jtsera:v:16:y:1995:i:5:p:499-508)
by Gianluca Cubadda - On cointegration for processes integrated at different frequencies (repec:bla:jtsera:v:43:y:2022:i:3:p:412-435)
by Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn - Complex Reduced Rank Models For Seasonally Cointegrated Time Series (repec:bla:obuest:v:63:y:2001:i:4:p:497-511)
by Gianluca Cubadda - Testing for Parameter Stability in Dynamic Models across Frequencies (repec:bla:obuest:v:68:y:2006:i:s1:p:741-760)
by Bertrand Candelon & Gianluca Cubadda - A Reduced Rank Regression Approach to Coincident and Leading Indexes Building (repec:bla:obuest:v:69:y:2007:i:2:p:271-292)
by Gianluca Cubadda - Detecting Co‐Movements in Non‐Causal Time Series (repec:bla:obuest:v:81:y:2019:i:3:p:697-715)
by Gianluca Cubadda & Alain Hecq & Sean Telg - Dimension Reduction for High‐Dimensional Vector Autoregressive Models (repec:bla:obuest:v:84:y:2022:i:5:p:1123-1152)
by Gianluca Cubadda & Alain Hecq - Modelling comovements of economic time series: a selective survey (repec:bot:rivsta:v:71:y:2011:i:2:p:267-294)
by Marco Centoni & Gianluca Cubadda - Seasonality, Productivity Shocks, And Sectoral Comovements In A Real Business Cycle Model For Italy (repec:cup:macdyn:v:6:y:2002:i:03:p:337-356_00)
by Cubadda, Gianluca & Savio, Giovanni & Zelli, Roberto - Complex Reduced Rank Models for Seasonally Cointegrated Time Series (repec:ecm:wc2000:0092)
by Gianluca Cubadda - Small-sample improvements in the statistical analysis of seasonally cointegrated systems (repec:eee:csdana:v:49:y:2005:i:2:p:333-348)
by Cubadda, Gianluca & Omtzigt, Pieter - A unifying framework for analysing common cyclical features in cointegrated time series (repec:eee:csdana:v:52:y:2007:i:2:p:896-906)
by Cubadda, Gianluca - Common shocks, common dynamics, and the international business cycle (repec:eee:ecmode:v:24:y:2007:i:1:p:149-166)
by Centoni, Marco & Cubadda, Gianluca & Hecq, Alain - An alternative solution to the Autoregressivity Paradox in time series analysis (repec:eee:ecmode:v:28:y:2011:i:3:p:1451-1454)
by Cubadda, Gianluca & Triacca, Umberto - A medium-N approach to macroeconomic forecasting (repec:eee:ecmode:v:29:y:2012:i:4:p:1099-1105)
by Cubadda, Gianluca & Guardabascio, Barbara - A general to specific approach for constructing composite business cycle indicators (repec:eee:ecmode:v:33:y:2013:i:c:p:367-374)
by Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain - Technology shocks, structural breaks and the effects on the business cycle (repec:eee:ecolet:v:100:y:2008:i:3:p:392-395)
by Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca - On non-contemporaneous short-run co-movements (repec:eee:ecolet:v:73:y:2001:i:3:p:389-397)
by Cubadda, Gianluca & Hecq, Alain - Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series (repec:eee:ecolet:v:80:y:2003:i:1:p:45-51)
by Centoni, Marco & Cubadda, Gianluca - Macro-panels and reality (repec:eee:ecolet:v:99:y:2008:i:3:p:537-540)
by Cubadda, Gianluca & Hecq, Alain & Palm, Franz C. - Studying co-movements in large multivariate data prior to multivariate modelling (repec:eee:econom:v:148:y:2009:i:1:p:25-35)
by Cubadda, Gianluca & Hecq, Alain & Palm, Franz C. - Macroeconomic forecasting and structural analysis through regularized reduced-rank regression (repec:eee:intfor:v:31:y:2015:i:3:p:682-691)
by Bernardini, Emmanuela & Cubadda, Gianluca - A vector heterogeneous autoregressive index model for realized volatility measures (repec:eee:intfor:v:33:y:2017:i:2:p:337-344)
by Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain - Representation, estimation and forecasting of the multivariate index-augmented autoregressive model (repec:eee:intfor:v:35:y:2019:i:1:p:67-79)
by Cubadda, Gianluca & Guardabascio, Barbara - The time-varying Multivariate Autoregressive Index model (RePEc:eee:intfor:v:41:y:2025:i:1:p:175-190)
by Cubadda, Gianluca & Grassi, Stefano & Guardabascio, Barbara - The Seasonality of the Italian Cost-of-Living Index (repec:fth:banita:313)
by Cubadda, G. & Sabbatini, R. - Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models (repec:gam:jecnmx:v:11:y:2023:i:1:p:9-:d:1092261)
by Gianluca Cubadda & Alain Hecq & Elisa Voisin - VAR Models with an Index Structure: A Survey with New Results (repec:gam:jecnmx:v:13:y:2025:i:4:p:40-:d:1777016)
by Gianluca Cubadda - Common Cycles in Seasonal Non-stationary Time Series (repec:jae:japmet:v:14:y:1999:i:3:p:273-91)
by Cubadda, Gianluca - Testing for common autocorrelation in data‐rich environments (repec:jof:jforec:v:30:y:2011:i:3:p:325-335)
by Gianluca Cubadda & Alain Hecq - The Role of Common Cyclical Features for Coincident and Leading Indexes Building (repec:mol:ecsdps:esdp03002)
by Cubadda, Gianluca & Hecq, Alain - Common Shocks, Common Dynamics, and the International Business Cycle (repec:mol:ecsdps:esdp03007)
by Centoni, Marco & Cubadda, Gianluca & Hecq, Alain - Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems (repec:mol:ecsdps:esdp03012)
by Cubadda, Gianluca & Omtzigt, Pieter - A Reduced Rank Regression Approach to Coincident and Leading Indexes Building (repec:mol:ecsdps:esdp04022)
by Cubadda, Gianluca - Measuring the Sources of Cyclical Fluctuations in the G7 Economies (repec:mol:ecsdps:esdp06028)
by Centoni, Marco & Cubadda, Gianluca & Hecq, Alain - Technology shocks, structural breaks and the effects on the business cycle (repec:mol:ecsdps:esdp07041)
by Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca - The vector error correction index model: representation, estimation and identification (RePEc:oup:emjrnl:v:27:y:2024:i:1:p:126-150.)
by Gianluca Cubadda & Marco Mazzali - On cointegration for processes integrated at different frequencies (repec:pra:mprapa:102611)
by del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R. - Detecting Co-Movements in Noncausal Time Series (repec:pra:mprapa:77254)
by Cubadda, Gianluca & Hecq, Alain & Telg, Sean - A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series (repec:rtv:ceisrp:102)
by Gianluca Cubadda - Technology shocks, structural breaks and the effects on the business cycle (repec:rtv:ceisrp:105)
by Vincenzo Atella & Marco Centoni & Gianluca Cubadda - Common Shocks, Common Dynamics, and the International Business Cycle (repec:rtv:ceisrp:106)
by Marco Centoni & Gianluca Cubadda & Alain Hecq - Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling (repec:rtv:ceisrp:125)
by Gianluca Cubadda & Alain Hecq & Franz C. Palm - Testing for cointegration in high-dimensional systems (repec:rtv:ceisrp:148)
by Jorg Breitung & Gianluca Cubadda - Testing for Common Autocorrelation in Data Rich Environments (repec:rtv:ceisrp:153)
by Gianluca Cubadda & Alain Hecq - A Medium-N Approach to Macroeconomic Forecasting (repec:rtv:ceisrp:176)
by Gianluca Cubadda & Barbara Guardabascio - An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis (repec:rtv:ceisrp:184)
by Gianluca Cubadda & Umberto Triacca - Modelling Comovements of Economic Time Series: A Selective Survey (repec:rtv:ceisrp:215)
by Marco Centoni & Gianluca Cubadda - A General to Specific Approach for Constructing Composite Business Cycle Indicators (repec:rtv:ceisrp:224)
by Gianluca Cubadda & Barbara Guardabascio & Alain Hecq - Macroeconomic forecasting and structural analysis through regularized reduced-rank regression (repec:rtv:ceisrp:289)
by Emmanuela Bernardini & Gianluca Cubadda - Common Feature Analysis of Economic Time Series: An Overview and Recent Developments (repec:rtv:ceisrp:355)
by Marco Centoni & Gianluca Cubadda - A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures (repec:rtv:ceisrp:391)
by Gianluca Cubadda & Barbara Guardabascio & Alain Hecq - Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model (repec:rtv:ceisrp:397)
by Gianluca Cubadda & Barbara Guardabascio - Detecting Co-Movements in Noncausal Time Series (repec:rtv:ceisrp:430)
by Gianluca Cubadda & Alain Hecq & Sean Telg - Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector (repec:rtv:ceisrp:445)
by Gianluca Cubadda & Alain Hecq & Antonio Riccardo - On Cointegration for Processes Integrated at Different Frequencies (repec:rtv:ceisrp:502)
by Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn - Reduced Rank Regression Models in Economics and Finance (repec:rtv:ceisrp:525)
by Gianluca Cubadda & Alain Hecq - Dimension Reduction for High Dimensional Vector Autoregressive Models (repec:rtv:ceisrp:534)
by Gianluca Cubadda & Alain Hecq - Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models (repec:rtv:ceisrp:555)
by Gianluca Cubadda & Alain Hecq & Elisa Voisin - The Vector Error Correction Index Model: Representation, Estimation and Identification (repec:rtv:ceisrp:556)
by Gianluca Cubadda & Marco Mazzali - The Time-Varying Multivariate Autoregressive Index Model (repec:rtv:ceisrp:571)
by Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio - Optimization of the Generalized Covariance Estimator in Noncausal Processes (repec:rtv:ceisrp:574)
by Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak - VAR Models With An Index Structure: A Survey With New Results (repec:rtv:ceisrp:611)
by Gianluca Cubadda - Testing for Parameter Stability in Dynamic Models Across Frequencies (repec:rtv:ceisrp:82)
by Bertrand Candelon & Gianluca Cubadda - Common serial correlation and common business cycles: A cautious note (repec:spr:empeco:v:24:y:1999:i:3:p:529-535)
by Gianluca Cubadda - Common Features In Time Series With Both Deterministic And Stochastic Seasonality (repec:taf:emetrv:v:20:y:2001:i:2:p:201-216)
by Gianluca Cubadda - A Vector Heterogeneous Autoregressive Index model for realized volatility measures (repec:unm:umagsb:2015033)
by Cubadda, G. & Guardabascio, B. & Hecq, A.W. - Testing for parameter stability in dynamic models across frequencies (repec:unm:umamet:2005021)
by Candelon, B. & Cubadda, G. - Macro-panels and reality (repec:unm:umamet:2007009)
by Cubadda, G. & Hecq, A.W. & Palm, F.C. - Studying co-movements in large multivariate models without multivariate modelling (repec:unm:umamet:2007032)
by Cubadda, G. & Hecq, A.W. & Palm, F.C. - Common cycles in seasonal non‐stationary time series (repec:wly:japmet:v:14:y:1999:i:3:p:273-291)
by Gianluca Cubadda - Is Money Neutral? Some Evidence for Italy (repec:wpa:wuwpif:9410001)
by Gianluca Cubadda & Domenico Mignacca