SBRANA

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SBRANA Giacomo

Post-Doctorate in Econometrics

Giacomo SBRANA is Full professor at NEOMA Business School since 2019. He joined the school as assistant professor in August 2011 and became Associate professor in 2014. Before joining NEOMA, from 2005 until 2009, he worked as associate expert at the Department of Economic and Social Affairs of the United Nations in New York (USA).

Giacomo holds a M.Sc. in Economics and Econometrics from the University of Southampton (obtained in 2003), a PhD in Statistics from the University of Roma TRE (obtained in 2004) and a postdoc at BETA, Université de Strasbourg (from 2009 until 2011).

His teaching activities mainly focus on statistics and quantitative methods also coding with Python and R at both undergraduate (MiM programme) and postgraduate level (MSc and PhD).

His primary research interests include time series analysis and forecasting especially using State-Space models and the Kalman filter. He has published in several academic journals such as: International Journal of Production Economics, Journal of Banking & Finance, International Journal of Forecasting, Macroeconomic Dynamics, Cliometrica, Journal of the Operational Research Society, Economic Modelling, Journal of Time Series Analysis, Journal of Forecasting, Journal of Multivariate Analysis, Bulletin of Economic Research

POLONI, F., G.SBRANA, "Multivariate trend-cycle extraction with the Hodrick-Prescott filter", Macroeconomic Dynamics, September 2017, vol. 21, no. 6, pp. 1336-1360
http://dx.doi.org/10.1017/S1365100515000887
SBRANA, G., "Structural time series models and aggregation: some analytical results", Journal of Time Series Analysis, May 2011, vol. 32, no. 3, pp. 315-316
10.1111/j.1467-9892.2010.00701
SBRANA, G., A.SILVESTRINI, "Temporal aggregation of cyclical models with business cycle applications", Statistical Methods and Applications, June 2012, vol. 21, no. 1, pp. 93-107
10.1007/s10260-011-0181-0.

SBRANA, G., "Portfolio risk evaluation: univariate and multivariate approaches" Brown Bag Seminar - Pôle Finance Responsable - Rouen Business School. 2012, Rouen, France
SBRANA, G., "Portfolio risk evaluation: A simple (but rigorous) alternative to "Riskmetrics"" Brown Bag Seminar - Pôle Finance Responsable - Rouen Business School. 2012, Rouen, France
SBRANA, G., "Closed form results for Multivariate volatility models" Brown Bag Seminar - Pôle Finance Responsable - Rouen Business School. 2012, Rouen, France

SBRANA, G., A.SILVESTRINI, "Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility" in Mathematical and Statistical Methods for Actuarial Science and Finance., Ed., Springer Verlag, pp. 375-382, 2011

SBRANA, G., M. PELAGATTI, "Optimal hierarchical EWMA forecasting  ", International Journal of Forecasting, April 2024, vol. 40, no. 2, pp. 616-625 DOI : 10.1016/j.ijforecast.2022.12.008
PELAGATTI, M., G. SBRANA, "Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity", Quantitative Finance, March 2024, vol. 24, no. 3-4, pp. 451-464 DOI : 10.1080/14697688.2023.2278502
SBRANA, G., H. YU, "Forecasting retail fuel demand in Chinese gasoline stations: a structural (double) damped trend approach", Journal of the Operational Research Society, March 2024 DOI : https://doi.org/10.1080/01605682.2024.2333321
SBRANA, G., A. SILVESTRINI, "The structural Theta method and its predictive performance in the M4-Competition", International Journal of Forecasting, July-September 2024, vol. 41, no. 3, pp. 940-952 DOI : 10.1016/j.ijforecast.2024.08.003
SBRANA, G., "Modelling intermittent time series and forecasting COVID-19 spread in the USA", Journal of the Operational Research Society, February 2023, vol. 74, no. 2, pp. 465-475 DOI : 10.1080/01605682.2022.2055499
SBRANA, G., A. SILVESTRINI, "The RWDAR model: A novel state-space approach to forecasting", International Journal of Forecasting, April 2023, vol. 39, no. 2, pp. 922-937 DOI : 10.1016/j.ijforecast.2022.03.003
SBRANA, G., P. ANTONETTI, "Persistence modeling for sales prediction: A simple, self-contained approach", Journal of Business Research, November 2023, vol. 166, no. 114103 DOI : https://doi.org/10.1016/j.jbusres.2023.114103
SBRANA, G., A. SILVESTRINI, "Random coefficient state-space model: Estimation and performance in M3–M4 competitions", International Journal of Forecasting, January 2022, vol. 38, no. 1, pp. 352-366 DOI : 10.1016/j.ijforecast.2021.06.003
SBRANA, G., "High-dimensional Holt-Winters trend model: Fast estimation and prediction", Journal of the Operational Research Society, March 2021, vol. 72, no. 3, pp. 701-713 DOI : 10.1080/01605682.2019.1700183
SBRANA, G., A.SILVESTRINI, "Forecasting with the damped trend model using the structural approach", International Journal of Production Economics, August 2020, vol. 226, pp. 107654 DOI : 10.1016/j.ijpe.2020.107654
POLONI, F., G.SBRANA, "Closed-form results for vector moving average models with a univariate estimation approach", Econometrics and Statistics, April 2019, no. 10, pp. 27-52 DOI : 10.1016/j.ecosta.2018.06.003
SBRANA, G., A.SILVESTRINI, "Random switching exponential smoothing : a new estimation approach", International Journal of Production Economics, May 2019, vol. 211, pp. 211-220 DOI : 10.1016/j.ijpe.2019.01.038
SBRANA, G., C. MORANA, "Climate change implications for the catastrophe bonds market: An empirical analysis", Economic Modelling, May 2019, vol. 81, pp. 274-294 DOI : 10.1016/j.econmod.2019.04.020
POLONI, F., G.SBRANA, "Multivariate trend-cycle extraction with the Hodrick-Prescott filter", Macroeconomic Dynamics, September 2017, vol. 21, no. 6, pp. 1336-1360 DOI : http://dx.doi.org/10.1017/S1365100515000887
SBRANA, G., A.SILVESTRINI, F.VENDITTI, "Short-term inflation forecasting: The M.E.T.A. approach", International Journal of Forecasting, October 2017, vol. 4, no. 33, pp. 1065–1081 DOI : 10.1016/j.ijforecast.2017.06.007
POLONI, F., G.SBRANA, "A note on forecasting demand using the multivariate exponential smoothing framework", International Journal of Production Economics, April 2015, vol. 162, pp. 143-150 DOI : 10.1016/j.ijpe.2015.01.017
POLONI , F., G.SBRANA, "Feasible generalized least squares estimation of multivariate GARCH (1,1) models", Journal of Multivariate Analysis, August 2014, vol. 129, pp. 151–159 DOI : 10.1016/j.jmva.2014.04.015
SBRANA, G., A.SILVESTRINI, "Random switching exponential smoothing and inventory forecasting", International Journal of Production Economics, October 2014, vol. 156, pp. 283–294 DOI : 10.1016/j.ijpe.2014.06.016
GRIGOLI, F., G.SBRANA, "Determinants and Dynamics of Schooling and Child Labor in Bolivia", Bulletin of Economic Research, May 2013, vol. 65, no. Supplément s1, pp. s17-s37 DOI : 10.1111/j.1467-8586.2012.00462.x
SBRANA, G., A.SILVESTRINI, "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation", Journal of Banking and Finance, May 2013, vol. 37, no. 5, pp. 1437-1450 DOI : 10.1016/j.jbankfin.2012.06.015
SBRANA, G., F.POLONI, "A closed-form estimator for the multivariate GARCH (1,1) model", Journal of Multivariate Analysis, September 2013, vol. 120, pp. 152-162 DOI : 10.1016/j.jmva.2013.05.005
SBRANA, G., A.SILVESTRINI, "Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework", International Journal of Production Economics, November 2013, vol. 146, no. 1, pp. 185-198 DOI : 10.1016/j.ijpe.2013.06.022
SBRANA, G., A.SILVESTRINI, "Temporal aggregation of cyclical models with business cycle applications", Statistical Methods and Applications, June 2012, vol. 21, no. 1, pp. 93-107 DOI : 10.1007/s10260-011-0181-0.
SBRANA, G., "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions", Economic Modelling, September 2012, vol. 30, pp. 311-316 DOI : 10.1016/j.econmod.2012.09.039
SBRANA, G., "Forecasting aggregated moving average processes with an application to the Euro-area real interest rate", Journal of Forecasting, January 2012, vol. 31, no. 1, pp. 85-98
SBRANA, G., A.SILVESTRINI, "Comparing aggregate and disaggregate forecasts of first order moving average models", Statistical Papers, May 2012, vol. 53, no. 2, pp. 255-263
SBRANA, G., "Damped trend exponential smoothing: prediction and control", Journal of Quantitative Economics, July 2012, vol. 10, no. 2, pp. 152-159
SBRANA, G., "Aggregation and marginalization of GARCH processes: some further results", Metron : International journal of Statistics, March 2012, vol. 70, no. 2-3, pp. 165-172
SBRANA, G., "Structural time series models and aggregation: some analytical results", Journal of Time Series Analysis, May 2011, vol. 32, no. 3, pp. 315-316 DOI : 10.1111/j.1467-9892.2010.00701
SBRANA, G., A.SILVESTRINI, "Measuring core inflation in Italy comparing aggregate vs. disaggregate price data", Cliometrica, August 2011, vol. 5, no. 3, pp. 239-258
SBRANA, G., "On the use of area-wide models in the Euro-zone: the money demand case", Statistical Methods and Applications, November 2008, vol. 17, no. 4, pp. 499-518
SBRANA, G., "Testing for model selection in predicting aggregate variables", Giornale degli Economisti e Annali di Economia, March 2007, vol. 66, no. 1, pp. 3-27
SBRANA, G., "Una generalizzazione del metodo L.O.D.E. per la stima dei parametri strutturali di un sistema di equazioni simultanee", Quaderni di Statistica, January 2001, vol. 3, pp. 107-125