SBRANA

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SBRANA Giacomo

Post-Doctorat en Econométrie

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 statistiques et méthodes quantitatives aussi avec l’utilisation de Python et 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

POLONI, F., G.SBRANA, "Multivariate trend-cycle extraction with the Hodrick-Prescott filter", Macroeconomic Dynamics, Septembre 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, Mai 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, Juin 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" dans 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, Avril 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, Mars 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, Mars 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, Juillet - Septembre 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, Février 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, Avril 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, Novembre 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, Janvier 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, Mars 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, Août 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, Avril 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, Mai 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, Mai 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, Septembre 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, Octobre 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, Avril 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, Août 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, Octobre 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, Mai 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, Mai 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, Septembre 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, Novembre 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, Juin 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, Septembre 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, Janvier 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, Mai 2012, vol. 53, no. 2, pp. 255-263
SBRANA, G., "Damped trend exponential smoothing: prediction and control", Journal of Quantitative Economics, Juillet 2012, vol. 10, no. 2, pp. 152-159
SBRANA, G., "Aggregation and marginalization of GARCH processes: some further results", Metron : International journal of Statistics, Mars 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, Mai 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, Août 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, Novembre 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, Mars 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, Janvier 2001, vol. 3, pp. 107-125