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SBRANA Giacomo

Post-Doctorat en Econométrie

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Systèmes d’Information, Supply Chain Management & aide à la Décision
Post-Doctorat en Econométrie

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).

He teaches several courses in quantitative methods and programming with R both at undergraduate (PGE program) 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

Domaines de spécialisation

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

Récentes contributions académiques

  • 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., M. PELAGATTI, "Optimal hierarchical EWMA forecasting  ", International Journal of Forecasting, Janvier 2023
    DOI : 10.1016/j.ijforecast.2022.12.008

Article

  • SBRANA, G., "Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity" à paraître Quantitative Finance
  • 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 : 10.1016/j.jbusres.2023.114103
  • SBRANA, G., M. PELAGATTI, "Optimal hierarchical EWMA forecasting  ", International Journal of Forecasting, Janvier 2023
    DOI : 10.1016/j.ijforecast.2022.12.008
  • 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., "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, "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
  • 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
  • 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., "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., 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., "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, "Measuring core inflation in Italy comparing aggregate vs. disaggregate price data", Cliometrica, Août 2011, vol. 5, no. 3, pp. 239-258
  • 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., "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

Chapitre d'ouvrage

  • 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

Communication dans une conférence sans actes

  • 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

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