21 citations · 28 across the 2 of their papers we have counts for
3 papers
stat.ME2015
Multivariate trend-cycle extraction with the Hodrick-Prescott filter
Federico Poloni, Giacomo Sbrana
The Hodrick-Prescott filter represents one of the most popular method for trend-cycle extraction in macroeconomic time series. In this paper we provide a multivariate generalizatio…
stat.CO2014★ 21 cited
A note on forecasting demand using the multivariate exponential smoothing framework
Federico Poloni, Giacomo Sbrana
Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other h…
math.ST2013★ 7 cited
A closed-form estimator for the multivariate GARCH(1,1) model
Giacomo Sbrana, Federico Poloni
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear alg…