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SBRANA Giacomo

Post-Doctorate in Econometrics

Giacomo SBRANA est Professeur à NEOMA Business School depuis 2019. Il a rejoint l'école en tant que professeur assistant en août 2011 et est devenu professeur associé en 2014. Avant de rejoindre NEOMA, de 2005 à 2009, il a travaillé comme expert associé au Département économique et social Affaires des Nations Unies à New York (USA).

Giacomo est titulaire d'un M.Sc. en économie et économétrie de l'Université de Southampton (obtenu en 2003), un doctorat en statistique de l'Université de Rome TRE (obtenu en 2004) et un postdoc au BETA, Université de Strasbourg (de 2009 à 2011).

Il enseigne plusieurs cours de méthodes quantitatives et de programmation avec R au niveau undergraduate (programme PGE) et postgraduate (MSc et doctorat).

Ses principaux intérêts de recherche comprennent l'analyse et la prévision de séries temporelles, en particulier à l'aide de modèles state-space et du filtre de Kalman. Il a publié dans plusieurs revues académiques telles que: International Journal of Production Economics, Journal of Banking & Finance, International Journal of Forecasting, Macroeconomic Dynamics, Cliometrica, Journal of the Operational Research Society, Economic Modeling, Journal of Time Series Analysis, Journal of Prévisions, Journal of Multivariate Analysis, Bulletin of Economic Research

Areas of research

  • Time Series Analysis and Forecasting
  • State-space models, Kalman filter

Recent academic contributions

  • PELAGATTI, M., G. SBRANA, "Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity", Quantitative Finance, January 2024
    DOI : 10.1080/14697688.2023.2278502
  • 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
  • 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

Article

  • 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
  • PELAGATTI, M., G. SBRANA, "Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity", Quantitative Finance, January 2024
    DOI : 10.1080/14697688.2023.2278502
  • 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
  • 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 : 10.1016/j.jbusres.2023.114103
  • 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., "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, "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
  • SBRANA, G., C.MORANA, "Climate change implications for the catastrophe bonds market: An empirical analysis", Economic Modelling, 2019, vol. 81, pp. 274-294
    DOI : 10.1016/j.econmod.2019.04.020
  • 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
  • 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
  • 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 : 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
  • 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
  • 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
  • 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., "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., 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., "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., "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., "Damped trend exponential smoothing: prediction and control", Journal of Quantitative Economics, July 2012, vol. 10, no. 2, pp. 152-159
  • 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., 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., "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., "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

Book chapter

  • 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

Participation at an academic or professional conference

  • 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