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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 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

Domaines de spécialisation

  • Analyse et prévisions des séries temporelles
  • modèles État-espace, filtre Kalman

Récentes contributions académiques

  • SBRANA, G., "High-dimensional Holt-Winters trend model: Fast estimation and prediction", Journal of the Operational Research Society, Novembre 2020
    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

Academic Journals

  • 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
  • SBRANA, G., "High-dimensional Holt-Winters trend model: Fast estimation and prediction", Journal of the Operational Research Society, Novembre 2020
    DOI : 10.1080/01605682.2019.1700183
  • 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, Mai 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, Avril 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, Septembre 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, 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
  • 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
  • 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, "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
  • 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., 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., "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., 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., "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., "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., "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

Book chapter

  • 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