Tommaso Proietti

University of Rome II - Department of Economics and Finance

Professor of Economic Statistics

Via Columbia, 2

Rome, 00133

Italy

  • University of Rome II - Department of Economics and Finance

SCHOLARLY PAPERS

37

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Scholarly Papers (37)

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1.

Structural Time Series Models for Business Cycle Analysis

CEIS Research Paper No. 109
Number of pages: 45 Posted: 01 Apr 2008 Last Revised: 24 Feb 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 234 (159,010)
Citation 1

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State Space Models, Kalman Filter and Smoother, Bayesian Estimation

2.

Measuring Core Inflation by Multivariate Structural Time Series Models

CEIS Working Paper No. 83
Number of pages: 22 Posted: 31 May 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 228 (163,073)

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common trends, dynamic factor analysis, homogeneity, exponential smoothing

3.

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

Downloads 196 (187,945)
Citation 1

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

Number of pages: 26 Posted: 19 Dec 2018
Leopoldo Catania and Tommaso Proietti
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
Downloads 128 (268,866)

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realized volatility, forecasting, leverage effect, volatility in volatility

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

CEIS Working Paper No. 450
Number of pages: 29 Posted: 07 Feb 2019
Leopoldo Catania and Tommaso Proietti
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
Downloads 68 (405,497)
Citation 1

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realized volatility, forecasting, leverage effect, volatility in volatility

4.

Dating the Euro Area Business Cycle

Downloads 194 (189,642)
Citation 33

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Michael J. Artis and Tommaso Proietti
Bocconi University - Department of Economics, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 176 (206,760)
Citation 13

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Business cycle, Euro area, cycle dating, cycle synchronization

Dating the Euro Area Business Cycle

Number of pages: 62 Posted: 31 Jan 2003
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 18 (657,460)
Citation 1
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Business cycle, euro area, cycle dating, cycle synchronization

5.

Nowcasting Monthly GDP with Big Data: A Model Averaging Approach

CEIS Working Paper No. 482
Number of pages: 43 Posted: 15 May 2020
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 163 (220,632)

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Mixed-Frequency Data, Dynamic Factor Models, State Space Models, Shrinkage

6.

Exponential Smoothing, Long Memory and Volatility Prediction

CEIS Working Paper No. 319
Number of pages: 31 Posted: 05 Aug 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 163 (220,632)

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Realized Volatility, Signal Extraction, Permanent-Transitory Decomposition, Fractional equal-root IMA model

7.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 149 (237,687)
Citation 29

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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

8.

New Proposals for the Quantification of Qualitative Survey Data

CEIS Working Paper No. 102
Number of pages: 26 Posted: 07 Mar 2007
Tommaso Proietti and Cecilia Frale
University of Rome II - Department of Economics and Finance and Government of the Italian Republic (Italy) - Department of the Treasury
Downloads 130 (264,728)
Citation 1

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Spectral envelope, Seasonality, Deviation cycles, Cumulative Logit

9.

Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach

CEIS Working Paper No. 325
Number of pages: 46 Posted: 24 Aug 2014
Martyna Marczak and Tommaso Proietti
University of Hohenheim and University of Rome II - Department of Economics and Finance
Downloads 118 (284,431)
Citation 6

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Indicator saturation, seasonal adjustment, structural time series model, outliers, structural change, general-to-specific approach, state space model

10.

Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis

CEIS Working Paper No. 112
Number of pages: 26 Posted: 03 Apr 2008
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 107 (304,544)

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Henderson filter, Trend estimation, Nearest Neighbour Bandwidth, Musgrave asymmetric

11.

Growth Accounting for the Euro Area: A Structural Approach

ECB Working Paper No. 804
Number of pages: 48 Posted: 11 Sep 2007
Tommaso Proietti and Alberto Musso
University of Rome II - Department of Economics and Finance and European Central Bank (ECB)
Downloads 104 (310,418)
Citation 1

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Potential output, Output gap, Euro area, Unobserved components, Production function approach, Low-pass filters.

12.

On the Selection of Common Factors for Macroeconomic Forecasting

CEIS Working Paper No. 332
Number of pages: 33 Posted: 14 Mar 2015
Alessandro Giovannelli and Tommaso Proietti
University of Rome Tor Vergata and University of Rome II - Department of Economics and Finance
Downloads 102 (314,537)
Citation 2

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Variable selection; Multiple testing; p-value weighting

13.

On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates

CEIS Working Paper No. 84
Number of pages: 35 Posted: 31 May 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 101 (316,620)
Citation 2

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Signal Extraction, Revisions, Kalman filter and Smoother, Bandpass

14.

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

Downloads 83 (358,001)
Citation 1

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

CEIS Working Paper No. 489
Number of pages: 116 Posted: 04 Jun 2020 Last Revised: 07 Aug 2020
Alessandro Giovannelli, Tommaso Proietti, Ambra Citton, Ottavio Ricchi, Cristian Tegami and Cristina Tinti
University of Rome Tor Vergata, University of Rome II - Department of Economics and Finance, Ministry of Economy and Finance, Italy, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS, Sogei S.p.A. and Ministry of Economy and Finance, Italy
Downloads 73 (389,755)
Citation 1

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Mixed-Frequency Data, Dynamic Factor Models, Growth Accounting, Model Averaging, Ledoit-Wolf Shrinkage.

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 2 (2020)
Number of pages: 48 Posted: 19 Mar 2021
Alessandro Giovannelli, Ambra Citton, Cristian Tegami, Tommaso Proietti, Ottavio Ricchi and Cristina Tinti
University of Rome Tor Vergata, Ministry of Economy and Finance, Italy, Sogei S.p.A., University of Rome II - Department of Economics and Finance, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS and Ministry of Economy and Finance, Italy
Downloads 10 (721,869)

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Mixed frequency data; dynamic factor models; growth accounting; model averaging; Ledoit-Wolf shrinkage

15.

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

CEIS Working Paper No. 272
Number of pages: 39 Posted: 21 Apr 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 67 (403,681)
Citation 2

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Frequency Domain Methods, Generalized linear models, Long Memory, Boosting

16.

Peaks, Gaps, and Time Reversibility of Economic Time Series

CEIS Working Paper No. 492
Number of pages: 28 Posted: 22 Jun 2020
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 64 (413,354)

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Markov chains; Business cycles; Recession duration

17.

The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913

CEIS Research Paper No. 133
Number of pages: 26 Posted: 21 Nov 2008
Carlo Ciccarelli, Stefano Fenoaltea and Tommaso Proietti
University of Rome Tor Vergata - Faculty of Economics, affiliation not provided to SSRN and University of Rome II - Department of Economics and Finance
Downloads 58 (434,007)

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18.

A Data-Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models

CEIS Working Paper No. 374
Number of pages: 30 Posted: 31 Mar 2016
Martyna Marczak, Tommaso Proietti and Stefano Grassi
University of Hohenheim, University of Rome II - Department of Economics and Finance and University of Kent - Canterbury Campus
Downloads 57 (437,664)

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robust filtering, augmented Kalman filter, structural time series model, additive outlier, innovation outlier

19.

EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

CEIS Working Paper No. 287
Number of pages: 40 Posted: 03 Oct 2013
Cecilia Frale, Stefano Grassi, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Aarhus University - CREATES, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 55 (444,983)
Citation 13

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Index of coincident indicators, Temporal Disaggregation, Multivariate State Space Models, Dynamic factor Models, Quarterly National accounts

20.

Band Spectral Estimation for Signal Extraction

CEIS Working Paper No. 105
Number of pages: 29 Posted: 14 May 2007
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 54 (448,621)

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Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain

21.

Seasonal Changes in Central England Temperatures

CEIS Working Paper No. 347
Number of pages: 29 Posted: 17 Jun 2015
Tommaso Proietti and Eric T. Hillebrand
University of Rome II - Department of Economics and Finance and Aarhus University - CREATES
Downloads 48 (472,001)
Citation 1

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Global Warming, Seasonal Models, Structural Change, Amplitude and Phase Shifts

22.

A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices

CEIS Working Paper No. 410
Number of pages: 26 Posted: 19 Jul 2017
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 47 (476,126)

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Toeplitz systems; Optimal linear prediction; Partial autocorrelation function

23.

Generalised Linear Spectral Models

CEIS Working Paper No. 290
Number of pages: 27 Posted: 07 Oct 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 42 (497,769)

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generalized linear models, iteratively weighted least squares, frequency domain methods

24.

Survey Data as Coincident or Leading Indicators

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3
Number of pages: 33 Posted: 01 Jul 2009
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 42 (497,769)
Citation 2

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Survey data, Forecasting, Temporal Disaggregation, Dynamic factor modes, Kalman Filter and smoother

25.

The Generalised Autocovariance Function

CEIS Working Paper No. 276
Number of pages: 33 Posted: 07 May 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 40 (506,927)
Citation 1

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Stationary Gaussian processes, Non-parametric spectral estimation, White noise tests, Feature matching, Discriminant Analysis

26.

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

CEIS Working Paper No. 340
Number of pages: 45 Posted: 14 Apr 2015
Tommaso Proietti, Martyna Marczak and Gian Luigi Mazzi
University of Rome II - Department of Economics and Finance, University of Hohenheim and Eurostat
Downloads 31 (552,128)
Citation 3

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Density Forecast Combination and Evaluation; Mixed–Frequency Data; Dynamic Factor Models; State Space Models

27.

Seasonality in High Frequency Time Series

CEIS Working Paper No. 508
Number of pages: 33 Posted: 12 Mar 2021
Tommaso Proietti and Diego J. Pedregal
University of Rome II - Department of Economics and Finance and University of Castilla-La Mancha
Downloads 30 (557,743)

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State Space Models. Robust filtering. Seasonal Adjustment. Variable selection

28.

Generalised Partial Autocorrelations and the Mutual Information between Past and Future

CEIS Working Paper No. 344
Number of pages: 17 Posted: 06 Jun 2015
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads 27 (575,503)

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Generalised autocovariance, Spectral models, Whittle likelihood, Reparameterisation.

29.

Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models

CEIS Working Paper No. 455
Number of pages: 25 Posted: 22 Mar 2019
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 26 (581,775)

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ARMA models. Steady State Kalman lter. Correlated Components. Nonfundamentalness.

30.

Spikes and Memory in (Nord Pool) Electricity Price Spot Prices

CEIS Working Paper No. 422
Number of pages: 18 Posted: 18 Dec 2017
Tommaso Proietti, Niels Haldrup and Oskar Knapik
University of Rome II - Department of Economics and Finance, Aarhus University, School of Economics and Management and University of Aarhus
Downloads 26 (581,775)
Citation 2

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Robustness; Kalman Filter; Long Memory

31.

Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area

Number of pages: 29 Posted: 07 Sep 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 11 (686,615)
Citation 2
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32.

Characterizing the Business Cycle for Accession Countries

Number of pages: 48 Posted: 30 Jul 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), Bocconi University - Department of Economics and University of Rome II - Department of Economics and Finance
Downloads 10 (694,255)
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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

33.

A Monthly Indicator of the Euro Area GDP

CEPR Discussion Paper No. DP7007
Number of pages: 41 Posted: 18 Dec 2008
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 6 (725,159)
Citation 1
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Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

34.

Hyper-Spherical and Elliptical Stochastic Cycles

Journal of Time Series Analysis, Vol. 31, Issue 3, pp. 169-181, May 2010
Number of pages: 13 Posted: 19 Apr 2010
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads 2 (758,583)
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35.

Transformations and Seasonal Adjustment

Journal of Time Series Analysis, Vol. 30, Issue 1, pp. 47-69, January 2009
Number of pages: 23 Posted: 02 Jan 2009
Tommaso Proietti and Marco Riani
University of Rome II - Department of Economics and Finance and University of Parma
Downloads 2 (758,583)
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36.

Seasonality, Forecast Extensions and Business Cycle Uncertainty

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 555-569, 2012
Number of pages: 15 Posted: 07 Aug 2012
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 1 (770,049)
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Linear filters, Reliability, Seasonal adjustment, Unobserved components

37.

Spurious Periodic Autoregressions

Posted: 09 Apr 1999
Tommaso Proietti
University of Rome II - Department of Economics and Finance

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