← All authors Gianluca Cubadda University of Rome Tor Vergata (from arXiv:2501.03945, 2025) · ORCID · OpenAlex
35 papers in scope · 34 published · 4 on the econ.EM arXiv · 479 citations · h-index 12 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Joann Jasiak Francesco Giancaterini Alain Hecq Aryan Manafi Neyazi Christian Gouriéroux Stefano Grassi Barbara Guardabascio Daniel Velásquez-Gaviria Elisa Voisin Sean Telg Tomás del Barrio Castro Ivan Ricardo Claudio Morana Ines Wilms Stephen Boyd Kasper Johansson Thomas M. Schmelzer Mehmet Giray Ogut Stephan Smeekes Luca Margaritella Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (6 of 35)
published 2025 · Econometrics · 1 citations · first circulated 2024
working paper 2025 · arXiv
published 2024 · Statistics and Computing · 4 citations · first circulated 2023
published 2024 · International Journal of Forecasting · 3 citations
The vector error correction index model: representation, estimation and identification
published 2023 · Econometrics Journal · 4 citations
published 2023 · Econometrics · 7 citations · first circulated 2022
published 2022 · Oxford Bulletin of Economics and Statistics · 14 citations
On cointegration for processes integrated at different frequencies
published 2021 · Journal of Time Series Analysis · 3 citations · first circulated 2020
Detecting Co‐Movements in Non‐Causal Time Series
published 2018 · Oxford Bulletin of Economics and Statistics · 11 citations
Representation, estimation and forecasting of the multivariate index-augmented autoregressive model
published 2018 · International Journal of Forecasting · 21 citations · first circulated 2017
A vector heterogeneous autoregressive index model for realized volatility measures
published 2017 · International Journal of Forecasting · 37 citations · first circulated 2016
Common Feature Analysis of Economic Time Series: An Overview and Recent Developments
published 2015 · Communications for Statistical Applications and Methods · 4 citations
with Marco Centoni
A general to specific approach for constructing composite business cycle indicators
published 2013 · Economic Modelling · 7 citations · first circulated 2012
Macroeconomic Forecasting and Structural Analysis Through Regularized Reduced-Rank Regression
published 2013 · International Journal of Forecasting · 6 citations
with Emmanuela Bernardini
A medium-N approach to macroeconomic forecasting
published 2012 · Economic Modelling · 2 citations · first circulated 2010
An alternative solution to the Autoregressivity Paradox in time series analysis
published 2011 · Economic Modelling
with Umberto Triacca
Testing for common autocorrelation in data-rich environments
published 2010 · Journal of Forecasting · 8 citations · first circulated 2009
Studying co-movements in large multivariate data prior to multivariate modelling
published 2008 · Journal of Econometrics · 34 citations
Technology shocks, structural breaks and the effects on the business cycle
published 2008 · Economics Letters · 2 citations
with Vincenzo Atella, Marco Centoni
Macro-panels and reality
published 2007 · Economics Letters · 13 citations
A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series
published 2007 · Computational Statistics & Data Analysis · 3 citations
A Reduced Rank Regression Approach to Coincident and Leading Indexes Building*
published 2006 · Oxford Bulletin of Economics and Statistics · 6 citations · first circulated 2004
Common shocks, common dynamics, and the international business cycle
published 2006 · Economic Modelling · 29 citations
Testing for Parameter Stability in Dynamic Models Across Frequencies
published 2006 · Oxford Bulletin of Economics and Statistics · 3 citations
with Bertrand Candelon
Small-sample improvements in the statistical analysis of seasonally cointegrated systems
published 2004 · Computational Statistics & Data Analysis · 20 citations · first circulated 2003
with Pieter Omtzigt
Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
published 2003 · Economics Letters · 32 citations
with Marco Centoni
SEASONALITY, PRODUCTIVITY SHOCKS, AND SECTORAL COMOVEMENTS IN A REAL BUSINESS CYCLE MODEL FOR ITALY
published 2002 · Macroeconomic Dynamics · 9 citations
with Giovanni Savio, Roberto Zelli
On non-contemporaneous short-run co-movements
published 2001 · Economics Letters · 51 citations
Complex Reduced Rank Models For Seasonally Cointegrated Time Series
published 2001 · Oxford Bulletin of Economics and Statistics · 46 citations · first circulated 2000
COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
published 2001 · Econometric Reviews · 10 citations
Common serial correlation and common business cycles: A cautious note
published 1999 · Empirical Economics · 15 citations
Common cycles in seasonal non-stationary time series
published 1999 · Journal of Applied Econometrics · 66 citations
A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN
published 1995 · Journal of Time Series Analysis · 7 citations
Testing for cointegration at any frequency using spectral methods
published 1994 · Statistical Methods & Applications · 1 citations
Is Money Neutral? Some Evidence for Italy
published 1994 · International Finance
with Domenico Mignacca
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