Umberto Triacca

Associate Professor

Coppito 1, Room
umberto.triacca@univaq.it
  • Time series analysis 
  • Econometric analysis of nancial time series 
  • Causality in econometrics
  • Cointegration 
  • Econometric analysis of global warming
Teaching web pages:
Office hours:
After the lectures or by appointment / Contact the teacher

PUBLICATIONS OF UMBERTO TRIACCA


42 Measuring persistence in time series of temperature anomalies (with A. Pasini and A. Attanasio) to be published in Theoretical and Applied Climatology.

41 The geometric meaning of the notion of joi nt unpredictability of a bivariate VAR(1) stochastic process, Econometrics (2013).

40 Granger Causality Analyses for Climatic Attribution (with A. Attanasio and A. Pasini) Atmospheric and Climate Sciences 09/2013; 3:515-522.

39 Estimate of Volatility's Common Component in ARVS Models: a Simulation Study (with F. Focker) to be published in QASS Quantitative and Qualitative Analysis in Social Sciences

38 Anthropogenic global warming hypothesis: testing its robustness by Granger causality analysis (with A. Atanasio and A. Pasini) Environmetrics Vol. 24, Issue 4, pages 260-268,(2013).

37 Testing for non-causality using the autoregressive metric, (with F. Di Iorio) Economic Modelling Vol. 33, July, pages 120-125 (2013).

36 Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach, (with F. Focker) to be published in Decisions in Economics and Finance.

35 Evidence of recent causal decoupling between solar radiation and global temperature, (with A. Pasini and A. Atanasio) Environmental Research Letters Vol. 7, No. 3, 034020, (2012).

34 Cointegration and distance between di erenced processes, Quality & Quantity, Vol. 46, issue 6, pages 1953-1957 (2012).

33 A few remarks on the geometry of the uncentered coecient of determination, (with A. Volodin) Lobachevskii Journal of Mathematics, Vol. 33, No. 3, pp. 284-292 (2012).

32 On the limit of the variation of the explanatory variable in simplelinear regression model, Economics Bulletin, Vol. 32 No. 3 pp. 1927-1932(2012).

31 A contribution to attribution of recent global warming by out-of-sample Granger-causality analysis, (with A. Attanasio and A. Pasini) Atmospheric Science Letters, 13, pp. 67-72 (2012).

30 An Alternative Solution to the Autoregressivity Paradox in TimeSeries Analysis, (with G. Cubadda) Economic Modelling, 28, pp. 1451-1454 (2011).

29 Detecting human inuence on climate using neural networks basedGranger causality, (with A. Atanasio) Theoretical and Applied Climatology, Volume 103, Issue 1-2, pp. 103-107 (2011). 

28 On a Characterization of Orthogonality with respect to a StochasticProcess from a Particular Sequences of Subsets in L2, (with A. Volodin) Applications of Mathematics, 4, 329335 (2010).

27 Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models, Central European Journal of Economic Modelling and Econometrics, 1, (2009).

26. Dall'econometria strutturale all'econometria delle serie storiche, Economia & Lavoro Anno XLIII, n. 3., (2009).

25. Is a subspace containing a splitting subspace a splitting subspace? Statistics and Probability Letters 78, (2008).

24. Testing for equal predictability of stationary ARMA processes(withEdoardo Otranto) Journal of Applied Statistics 34, (2007).

23. On the variance of the error associated to the squared return asproxy of volatility Applied Financial Economics Letters vol.3 No.4,(2007).

22. A Hilbert space proof of equivalence of the Granger and Sims no-tions of causality International Journal of Applied Mathematics & Statistics Vol. 1, No A07, (2007).

21. Granger causality and contiguity between stochastic processes Physics Letters A, 362-4, (2007)

20. A new proxy of the average volatility of a basket of returns: A Monte Carlo study (with Fulvia Focker) Economics Bulletin Vol. 3, No.15 (2006).

19. Interpreting the concept of joint unpredictability of asset returns: adistance approach (with Fulvia Focker) Physica A: Statistical Mechanics and its Applications, 369,(2006).

18. Is Granger causality analysis appropriate to investigate the rela-tionship between atmospheric concentration of carbon dioxide and globalsurface air temperature? Theoretical and Applied Climatology, Vol.81 No.3-4, (2005).

17. A note on distance and parallelism between two ARIMA processes Quaderni di Statistica, Vol. 6, (2004).

16. Dimensionality problem in testing for non causality between timeseries. A partial solution (with Francesca Di Iorio). In Compstat 2004.Poceedings in Computational Statistics, 911-918, edit by Jaromir An-toch. Physica-Verlag Heidelberg.

15. Feeedback, causality and distance between ARMA models Mathematics and Computers in Simulation, 64, (2004). 

14. Government Spending and Coalition Parties in Italy (1960-1993): A Cointegration-based Approach (with Nadia Fiorino) Journal of PublicFinance and Public Choice / Economia delle scelte pubbliche, Vol.XXI, Nos. 2-3, (2003).

13. Measures to Evaluate the Discrepancy between Direct and Indirect Model-Based Seasonal Adjustment (with Edoardo Otranto) Journalof Official Statistics, 18, (2002).

12. Velocita media, lamette da barba, e statistica descrittiva Lettera matematica PRISTEM 46, (2002).

11. Selection of the relevant set for predictive relationship analysis Journal of Forecasting, 21, (2002).

10. Cointegration in VAR(1) process: characterization and testing Statistical Papers, 43, (2002).

9. The partial autocorrelation function of a fi rst order non-invertiblemoving average process Applied Economic Letters, 9, (2002).

8. On the use of Granger causality to investigate the human inuenceon climate Theoretical and Applied Climatology, 69, (2001).

7. On Hsiao Non-causality Economics Letters, 66, (2000).

6. Cointegration and Distance between Information Sets, EconometricTheory, 16, (2000).

5. The Splitting Subspace of Autoregressive Process, Rivista di Statistica Applicata Vol. 11, n.1 (1999).

4. A Geometrical Characterization of Weakly Feeedback Fre Process System and Control Letters 36 (1999).

3. Social Change: Measurement and Theory (with Paolo Garonna), International Statistical Review 67 (1999).

2. Non Causalita in Sistemi Cointegrati: Uno Studio di Simulazione,(with Fabrizio Cipollini) in Atti della XXXIX Riunione Scienti cadella Societa Italiana di Statistica, Sorrento, Aprile 1998.

1. Non-causality: The role of the omitted variables Economics Letters 60 (1998).