Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Giacomo Sbrana"'
Autor:
Giacomo Sbrana, Andrea Silvestrini
Publikováno v:
International Journal of Forecasting. 39:922-937
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02d11854bd3b4e0d7009f3033b7690f1
https://doi.org/10.1016/j.ijforecast.2022.03.003
https://doi.org/10.1016/j.ijforecast.2022.03.003
Autor:
Giacomo Sbrana
Publikováno v:
Journal of the Operational Research Society. 74:465-475
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33f4abb6dbbb8b2ae6864559723f25a2
https://doi.org/10.1080/01605682.2022.2055499
https://doi.org/10.1080/01605682.2022.2055499
Autor:
Andrea Silvestrini, Giacomo Sbrana
Publikováno v:
International Journal of Forecasting. 38:352-366
The random coefficient state-space model was first introduced by McKenzie and Gardner (2010). This model is a stochastic combination of simple and double exponential smoothing, a desirable feature for time-series forecasting. This paper provides a si
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f1a9b22498e76c0186e4d4b3e0f2af5
https://doi.org/10.1016/j.ijforecast.2021.06.003
https://doi.org/10.1016/j.ijforecast.2021.06.003
Autor:
Giacomo Sbrana
Publikováno v:
Journal of the Operational Research Society. 72:701-713
Prediction and trend estimation are vital tasks for managers in business and industry. When the number of series increases and multiple trends arise, the estimation of trend co-movement gains impor...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::521837f2b3e8904ab879b7ae42b88e28
https://doi.org/10.1080/01605682.2019.1700183
https://doi.org/10.1080/01605682.2019.1700183
Autor:
Claudio Morana, Giacomo Sbrana
Publikováno v:
Economic Modelling. 81:274-294
Since their introduction in the mid-1990s, the return per unit of risk or multiple on catastrophe (cat) bonds has steadily declined. This paper investigates whether this pattern is consistent with the historical evolution of natural disaster risk, us
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d867d97c6ff499a4ed13dbb4b7f40cb2
https://doi.org/10.1016/j.econmod.2019.04.020
https://doi.org/10.1016/j.econmod.2019.04.020
Autor:
Giacomo Sbrana, Andrea Silvestrini
Publikováno v:
International Journal of Production Economics
International Journal of Production Economics, Elsevier, 2020, 226, pp.107654-. ⟨10.1016/j.ijpe.2020.107654⟩
International Journal of Production Economics, Elsevier, 2020, 226, pp.107654-. ⟨10.1016/j.ijpe.2020.107654⟩
The damped trend model is a strong benchmark for time series forecasting. This model is usually estimated by adopting the innovations approach rather than the structural one, since the latter is more complex, requiring the use of the Kalman filter. I
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08fb89a25e3b379f9d27cfe98b50fbf5
https://hal.archives-ouvertes.fr/hal-03490795
https://hal.archives-ouvertes.fr/hal-03490795
Publikováno v:
International Journal of Forecasting. 33:1065-1081
Forecasting inflation is an important and challenging task. This paper assumes that the core inflation components evolve as a multivariate local level process. While this model is theoretically attractive for modelling inflation dynamics, its usage t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba829e8c830060a669f22b3ff217914c
https://doi.org/10.1016/j.ijforecast.2017.06.007
https://doi.org/10.1016/j.ijforecast.2017.06.007
Autor:
Matteo Pelagatti, Giacomo Sbrana
Publikováno v:
SSRN Electronic Journal.
This paper proposes tree main results that enable the estimation of high dimensional multivariate stochastic volatility models. The first result is the closed-form steady-state Kalman filter for the multivariate AR(1) plus noise model. The second res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b7be6a97e13d3083721e16a14a35f2b
https://doi.org/10.2139/ssrn.3524618
https://doi.org/10.2139/ssrn.3524618
Autor:
Federico Poloni, Giacomo Sbrana
Publikováno v:
Econometrics and Statistics
Econometrics and Statistics, Elsevier, 2019, 10, pp.27-52. ⟨10.1016/j.ecosta.2018.06.003⟩
Econometrics and Statistics, Elsevier, 2019, 10, pp.27-52. ⟨10.1016/j.ecosta.2018.06.003⟩
The estimation of a vector moving average (VMA) process represents a challenging task since the likelihood estimator is extremely slow to converge, even for small-dimensional systems. An alternative estimation method is provided, based on computing s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2b03129593276d797614b5f0abae6b58
https://hal.archives-ouvertes.fr/hal-03484586/document
https://hal.archives-ouvertes.fr/hal-03484586/document
Autor:
Federico Poloni, Giacomo Sbrana
Publikováno v:
International Journal of Production Economics. 162:143-150
Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other hand, its multivariate version has received little attention due to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4a4f8a74eed05e554b583e00a73165ea
https://doi.org/10.1016/j.ijpe.2015.01.017
https://doi.org/10.1016/j.ijpe.2015.01.017