Marc Hallin : Citation Profile


Are you Marc Hallin?

Université Libre de Bruxelles

15

H index

23

i10 index

2677

Citations

RESEARCH PRODUCTION:

55

Articles

239

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   46 years (1972 - 2018). See details.
   Cites by year: 58
   Journals where Marc Hallin has often published
   Relations with other researchers
   Recent citing documents: 161.    Total self citations: 83 (3.01 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha368
   Updated: 2018-09-22    RAS profile: 2018-09-05    
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Relations with other researchers


Works with:

Barigozzi, Matteo (10)

Lippi, Marco (7)

Forni, Mario (6)

Galichon, Alfred (5)

Chernozhukov, Victor (5)

Henry, Marc (4)

Soccorsi, Stefano (2)

Paindaveine, Davy (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marc Hallin.

Is cited by:

Marcellino, Massimiliano (112)

Giannone, Domenico (82)

Forni, Mario (80)

Reichlin, Lucrezia (76)

Lippi, Marco (55)

Luciani, Matteo (55)

Pesaran, M (53)

GUPTA, RANGAN (53)

Barigozzi, Matteo (47)

Chudik, Alexander (40)

Kabundi, Alain (40)

Cites to:

Forni, Mario (125)

Lippi, Marco (109)

Reichlin, Lucrezia (91)

Paindaveine, Davy (43)

Giannone, Domenico (32)

Ng, Serena (31)

Dufour, Jean-Marie (28)

Engle, Robert (27)

Stock, James (25)

Bai, Jushan (25)

Watson, Mark (24)

Main data


Where Marc Hallin has published?


Journals with more than one article published# docs
Journal of Econometrics12
Journal of Multivariate Analysis7
Statistics & Probability Letters5
Journal of the American Statistical Association4
Annals of the Institute of Statistical Mathematics3
Journal of the Royal Statistical Society Series B3
Econometric Theory3
International Statistical Review3
Journal of the American Statistical Association2
Statistical Inference for Stochastic Processes2
Journal of Nonparametric Statistics2

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles150
Working Papers ECARES / ULB -- Universite Libre de Bruxelles42
Papers / arXiv.org2
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Marc Hallin (2018 and 2017)


YearTitle of citing document
2017Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn.

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2017A Monetary Stress Indicator for the Economic Community of West African States. (2017). Winker, Peter ; Tillmann, Peter ; PeterTillmann, ; Diop, Samba. In: Journal of African Development. RePEc:afe:journl:v:19:y:2017:i:2:p:1-18.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2018Multivariate Geometric Expectiles. (2018). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius . In: Papers. RePEc:arx:papers:1704.01503.

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2017Forecasting the U.S. Real House Price Index. (2017). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis. In: Papers. RePEc:arx:papers:1707.04868.

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2018Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2017Principal Components and Regularized Estimation of Factor Models. (2017). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:1708.08137.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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2017A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth. (2017). Chernis, Tony ; Velasco, Gabriella ; Cheung, Calista . In: Discussion Papers. RePEc:bca:bocadp:17-8.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong . In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2017Regional business cycles across europe. (2017). Gómez-Loscos, Ana ; Gadea, María ; Bandres, Eduardo ; Gomez-Loscos, Ana ; Gadea-Rivas, Maria Dolores . In: Occasional Papers. RePEc:bde:opaper:1702.

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2017The interbank network across the global financial crisis: evidence from Italy. (2017). Pozzolo, Alberto ; Affinito, Massimiliano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1118_17.

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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Carriero, Andrea ; Corsello, Francesco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18.

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2018Short term forecasts of economic activity: are fortnightly factors useful?. (2018). Monteforte, Libero ; Raponi, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1177_18.

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2017Are daily financial data useful for forecasting GDP? Evidence from Mexico. (2017). Ibarra, Raul ; Luis, Gomez-Zamudio. In: Working Papers. RePEc:bdm:wpaper:2017-17.

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2018Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach. (2018). Vasilenko, Alexey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps30.

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2017DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS. (2017). Henzel, Steffen ; Rengel, Malte. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:843-877.

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2017Multivariate Hill Estimators. (2017). Dominicy, Yves ; Veredas, David ; Ilmonen, Pauliina. In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:1:p:108-142.

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2017ADMM for Penalized Quantile Regression in Big Data. (2017). Yu, Liqun ; Lin, Nan. In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:3:p:494-518.

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2017On estimation of the noise variance in high dimensional probabilistic principal component analysis. (2017). Passemier, Damien ; Yao, Jianfeng ; Li, Zhaoyuan . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:51-67.

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2017Estimation of extreme depth-based quantile regions. (2017). He, YI ; John , . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:2:p:449-461.

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2017Oracally efficient estimation and consistent model selection for auto-regressive moving average time series with trend. (2017). Shao, Qin ; Yang, Lijian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:2:p:507-524.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Milidonis, Andreas ; Lin, Yijia ; Biffis, Enrico ; Morales, Marco ; Blake, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532.

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2017Factor Modelling for High-Dimensional Time Series: Inference and Model Selection. (2017). Rao, Tata Subba ; Yau, Chun Yip ; Lu, YE ; Chan, Ngai Hang ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:285-307.

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2017Transmission of Chinas Shocks to the BRIS Countries. (2017). Kabundi, Alain ; Çakır, Mustafa ; Akir, Mustafa . In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:430-454.

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2018Developing an underlying inflation gauge for China. (2018). Amstad, Marlene ; Ma, Guonan ; Ye, Huan. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_011.

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2018Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach. (2018). Siklos, Pierre ; Gross, Christian. In: CQE Working Papers. RePEc:cqe:wpaper:7218.

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2017Fast computation of Tukey trimmed regions and median in dimension p > 2. (2017). Mosler, Karl ; Mozharovskyi, Pavlo ; Liu, Xiaohui. In: Working Papers. RePEc:crs:wpaper:2017-71.

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2017Nonparametric imputation by data depth. (2017). Mozharovskyi, Pavlo ; Husson, Franois ; Josse, Julie. In: Working Papers. RePEc:crs:wpaper:2017-72.

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2017Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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2018Estimation of the common component in Dynamic Factor Models. (2018). Sanchez, Daniel Pea ; Navarro, Angela Caro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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2017US Monetary Policy and the Euro Area. (2017). Hanisch, Max. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1701.

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2017Halfspace Depths for Scatter, Concentration and Shape Matrices. (2017). Paindaveine, Davy ; van Bever, Germain . In: Working Papers ECARES. RePEc:eca:wpaper:2013/250239.

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2017Tyler Shape Depth. (2017). Paindaveine, Davy ; van Bever, Germain . In: Working Papers ECARES. RePEc:eca:wpaper:2013/255000.

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2017Testing for Principal Component Directions under Weak Identifiability. (2017). Paindaveine, Davy ; Verdebout, Thomas ; Remy, Julien. In: Working Papers ECARES. RePEc:eca:wpaper:2013/259598.

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2017Power in High-dimensional testing Problems. (2017). Kock, Anders ; Preinerstorfer, David . In: Working Papers ECARES. RePEc:eca:wpaper:2013/260442.

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2017On the sources of business cycles: implications for DSGE models. (2017). Solmaz, Serhat ; Bruha, Jan ; Andrle, Michal ; Brha, Jan . In: Working Paper Series. RePEc:ecb:ecbwps:20172058.

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2017Common factors of commodity prices. (2017). Giannone, Domenico ; Ferrara, Laurent ; Delle Chiaie, Simona. In: Working Paper Series. RePEc:ecb:ecbwps:20172112.

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2017Transformed contribution ratio test for the number of factors in static approximate factor models. (2017). Xia, Qiang ; Wu, Jianhong ; Liang, Rubing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:235-241.

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2018Bayesian quantile regression using the skew exponential power distribution. (2018). Bernardi, Mauro ; Petrella, Lea ; Bottone, Marco. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:126:y:2018:i:c:p:92-111.

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2017The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model. (2017). Kishor, N ; Ma, Jun ; Bhatt, Vipul . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:206-222.

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2017Monetary policy and indeterminacy after the 2001 slump. (2017). Weder, Mark ; Haque, Qazi ; Groshenny, Nicolas ; Doko Tchatoka, Firmin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:83-95.

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2017The new MIBA model: Real-time nowcasting of French GDP using the Banque de Frances monthly business survey. (2017). Mogliani, Matteo ; Darné, Olivier ; Pluyaud, Bertrand ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:26-39.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2018Using rule-based updating procedures to improve the performance of composite indicators. (2018). Sturm, Jan-Egbert ; Abberger, Klaus ; Siliverstovs, Boriss ; Graff, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:127-144.

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2018Nowcasting with the help of foreign indicators: The case of Mexico. (2018). Caruso, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:160-168.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2017The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries. (2017). Kempa, Bernd ; Hanisch, Max. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:70-88.

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2017Cointegration in singular ARMA models. (2017). Wagner, Martin ; Deistler, Manfred. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:39-42.

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2017Identification and estimation of non-Gaussian structural vector autoregressions. (2017). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:288-304.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017Spatial dynamic panel data models with interactive fixed effects. (2017). Shi, Wei ; Lee, Lung-Fei. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:323-347.

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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2017Inferences in panel data with interactive effects using large covariance matrices. (2017). Bai, Jushan ; Liao, Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:59-78.

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2017Sufficient forecasting using factor models. (2017). Fan, Jianqing ; Yao, Jiawei ; Xue, Lingzhou. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2018A spectral EM algorithm for dynamic factor models. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:249-279.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2017Change point and trend analyses of annual expectile curves of tropical storms. (2017). Xiong, Q ; Burdejova, P ; Kokoszka, P ; Hardle, W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:101-117.

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2017Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149.

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2017Preliminary test estimation for multi-sample principal components. (2017). Paindaveine, Davy ; Verdebout, Thomas ; Rasoafaraniaina, Rondrotiana Josea . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:106-116.

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2017Supervised dimension reduction for multivariate time series. (2017). Matilainen, M ; Croux, C ; Nordhausen, K ; Oja, H. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:57-69.

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2018Density estimation over spatio-temporal data streams. (2018). Amiri, Aboubacar ; Dabo-Niang, Sophie . In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:148-170.

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2017Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals. (2017). Duangnate, Kannika ; Mjelde, James W. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:411-423.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Now-casting the Japanese economy. (2017). Bragoli, Daniela. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:390-402.

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2017Economic forecasting in theory and practice: An interview with David F. Hendry. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:523-542.

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2017A wavelet-based multivariate multiscale approach for forecasting. (2017). Rua, António. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:581-590.

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2017Real-time inflation forecasting with high-dimensional models: The case of Brazil. (2017). Medeiros, Marcelo. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:679-693.

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2017Short-term inflation forecasting: The M.E.T.A. approach. (2017). Venditti, Fabrizio ; Silvestrini, Andrea ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1065-1081.

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2017Nowcasting BRIC+M in real time. (2017). Dahlhaus, Tatjana ; Vasishtha, Garima ; Guenette, Justin-Damien . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:915-935.

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2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods. (2018). Kim, Hyun Hak ; Swanson, Norman R. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:339-354.

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2018Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430.

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2017The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan. (2017). Hanisch, Max. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:110-134.

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2017Bayesian regularized quantile structural equation models. (2017). Feng, Xiang-Nan ; Song, Xin-Yuan ; Lu, Bin ; Wang, Yifan . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:234-248.

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2017On the CLT for discrete Fourier transforms of functional time series. (2017). Cerovecki, Clement ; Hormann, Siegfried. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:282-295.

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2017An innovations algorithm for the prediction of functional linear processes. (2017). Klepsch, J ; Kluppelberg, C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:252-271.

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2017On local linear regression for strongly mixing random fields. (2017). ElMachkouri, Mohamed ; Ouassou, Idir ; Es-Sebaiy, Khalifa ; El Machkouri, Mohamed . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:156:y:2017:i:c:p:103-115.

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2017A weighted localization of halfspace depth and its properties. (2017). Kotik, Luka ; Hlubinka, Daniel . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:53-69.

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2017Reduced form vector directional quantiles. (2017). Montes-Rojas, Gabriel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:20-30.

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2017Vector quantile regression beyond the specified case. (2017). Chernozhukov, Victor ; Carlier, Guillaume ; Galichon, Alfred. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:161:y:2017:i:c:p:96-102.

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2018Nonparametric density estimation for spatial data with wavelets. (2018). , Johannes. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:300-319.

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2017Level and volatility factors in macroeconomic data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:91:y:2017:i:c:p:52-68.

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2017A model-free characterization of recurrences in stationary time series. (2017). Chicheportiche, Remy ; Chakraborti, Anirban. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:312-318.

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2017Measuring uncertainty in the stock market. (2017). Uribe, Jorge ; Chuliá, Helena ; Chulia, Helena ; Guillen, Montserrat. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:18-33.

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2017Forecasting tourism demand with composite search index. (2017). Li, Xin ; Huang, Xiankai ; Law, Rob ; Pan, Bing . In: Tourism Management. RePEc:eee:touman:v:59:y:2017:i:c:p:57-66.

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2017Testing for high-dimensional white noise using maximum cross correlations. (2017). Chang, Jinyuan ; Zhou, Wen ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531.

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2017OPTION FOR PREDICTING THE CZECH REPUBLICS FOREIGN TRADE TIME SERIES AS COMPONENTS IN GROSS DOMESTIC PRODUCT. (2017). Marek, Lubo ; Hindls, Richard ; Hronova, Stanislava . In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:3:p:481-500.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2017Non-Stationary Dynamic Factor Models for Large Datasets. (2017). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-24.

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2017A Unified Framework for Dimension Reduction in Forecasting. (2017). Barbarino, Alessandro ; Bura, Efstathia. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-04.

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More than 100 citations found, this list is not complete...

Marc Hallin is editor of


Journal
International Statistical Review
Statistical Inference for Stochastic Processes

Works by Marc Hallin:


YearTitleTypeCited
1987Tests non paramétriques optimaux pour le modéle autorégressif dordre un In: Annals of Economics and Statistics.
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2015Monge-Kantorovich Depth, Quantiles, Ranks, and Signs In: Papers.
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2015Monge-Kantorovich Depth, Quantiles, Ranks and Signs.(2015) In: Working Papers ECARES.
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2015Monge-Kantorovich depth, quantiles, ranks and signs.(2015) In: CeMMAP working papers.
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2015Monge-Kantorovich depth, quantiles, ranks and signs.(2015) In: CeMMAP working papers.
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2015Monge-Kantorovich Depth, Quantiles, Ranks, and Signs.(2015) In: Sciences Po publications.
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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series In: Papers.
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2015Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series.(2015) In: Working Papers ECARES.
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2005The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting In: Journal of the American Statistical Association.
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2003The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2003) In: Computing in Economics and Finance 2003.
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2003The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting.(2003) In: LEM Papers Series.
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2005The generalised dynamic factor model: one sided estimation and forecasting.(2005) In: ULB Institutional Repository.
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2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers.
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2006Comment In: Journal of the American Statistical Association.
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2007Determining the Number of Factors in the General Dynamic Factor Model In: Journal of the American Statistical Association.
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2007Optimal Tests of Noncorrelation Between Multivariate Time Series In: Journal of the American Statistical Association.
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2012Editors’ Note In: International Statistical Review.
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2013Editors’ Note In: International Statistical Review.
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2013New Book Review Editor for the International Statistical Review In: International Statistical Review.
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2008Semiparametrically efficient inference based on signs and ranks for median-restricted models In: Journal of the Royal Statistical Society Series B.
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2004Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models.(2004) In: Discussion Paper.
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2015Dynamic functional principal components In: Journal of the Royal Statistical Society Series B.
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2017Quantile spectral analysis for locally stationary time series In: Journal of the Royal Statistical Society Series B.
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2014Quantile Spectral Analysis for Locally Stationary Time Series.(2014) In: Working Papers ECARES.
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2015Quantile Spectral Analysis for Locally Stationary Time Series.(2015) In: Working Papers ECARES.
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2017A network analysis of the volatility of high dimensional financial series In: Journal of the Royal Statistical Society Series C.
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2005Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series In: Journal of Time Series Analysis.
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2005Testing non-correlation and non-causality between multivariate arma time series.(2005) In: ULB Institutional Repository.
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2006Parametric and semiparametric inference for shape: the role of the scale functional In: Statistics & Risk Modeling.
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2005Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series In: CIRANO Working Papers.
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2006Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series.(2006) In: Journal of Econometrics.
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2005Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series.(2005) In: Cahiers de recherche.
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2005Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series.(2005) In: Cahiers de recherche.
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2006Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series.(2006) In: ULB Institutional Repository.
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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2015Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Center for Economic Research (RECent).
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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1999The Generalized Dynamic Factor Model: Identification and Estimation In: CEPR Discussion Papers.
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2000The Generalized Dynamic-Factor Model: Identification And Estimation.(2000) In: The Review of Economics and Statistics.
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2000The generalised dynamic factor model: identification and estimation.(2000) In: ULB Institutional Repository.
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2000Reference Cycles: The NBER Methodology Revisited In: CEPR Discussion Papers.
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2001EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle In: CEPR Discussion Papers.
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2002Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area? In: CEPR Discussion Papers.
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2003Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics.
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2003Do financial variables help forecasting inflation and real activity in the Euro area ?.(2003) In: ULB Institutional Repository.
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1981Étude Statistique de la Probabilité de Sinistre en Assurance Automobile In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1981Etude statistique de la probabilité de sinistre en assurance automobile.(1981) In: ULB Institutional Repository.
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1996Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches In: Econometric Theory.
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1996Locally optimal tests against periodic autoregression: parametric and nonparametric approaches.(1996) In: ULB Institutional Repository.
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1991Nonuniform Bounds for Nonparametric t-Tests In: Econometric Theory.
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1991Nonuniform bounds for nonparametric t-tests.(1991) In: ULB Institutional Repository.
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1992Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications In: Econometric Theory.
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1989Improved Berry-Esseen-Chebyshev Bounds with Statistical Applications.(1989) In: Cahiers de recherche.
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1989IMPROVED BERRY-ESSEEN-CHEBYSHEV BOUNDS WITH STATISTICAL APPLICATIONS.(1989) In: Cahiers de recherche.
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1992Improved Berry-Esséen-Chebyshev bounds with statistical applications.(1992) In: ULB Institutional Repository.
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2008Dynamic Factors in the Presence of Block Structure In: Working Papers ECARES.
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2008Dynamic Factors in the Presence of Block Structure.(2008) In: Economics Working Papers.
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2008On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance In: Working Papers ECARES.
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2008Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth In: Working Papers ECARES.
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2010Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth.(2010) In: ULB Institutional Repository.
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2009A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests In: Working Papers ECARES.
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2009Optimal rank-based testing for principal component In: Working Papers ECARES.
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2010On the estimation of cross-information quantities in rank-based inference In: Working Papers ECARES.
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2011Optimal Rank-Based Tests for Common Principal Components In: Working Papers ECARES.
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2011Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis In: Working Papers ECARES.
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2012Local Constant and Local Bilinear Multiple-Output Quantile Regression In: Working Papers ECARES.
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2012Signal Detection in High Dmension: The Multispiked Case In: Working Papers ECARES.
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2012Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models In: Working Papers ECARES.
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2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models.(2012) In: Discussion Paper.
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2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
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2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
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2013Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model In: Working Papers ECARES.
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2013Factor Models in High-Dimensional Time Series: A Time-Domain Approach In: Working Papers ECARES.
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2013Factor models in high-dimensional time series—A time-domain approach.(2013) In: Stochastic Processes and their Applications.
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2013A Serial Version of Hodges and Lehmanns 6/pi Result In: Working Papers ECARES.
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2013Efficient R-Estimation of Principal and Common Principal Components In: Working Papers ECARES.
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2014Efficient R-Estimation of Principal and Common Principal Components.(2014) In: Journal of the American Statistical Association.
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2013R-Estimation for Asymmetric Independent Component Analysis In: Working Papers ECARES.
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2015R -Estimation for Asymmetric Independent Component Analysis.(2015) In: Journal of the American Statistical Association.
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2013On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result In: Working Papers ECARES.
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2014Quantile Spectral Processes: Asymptotic Analysis and Inference In: Working Papers ECARES.
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2014Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models In: Working Papers ECARES.
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2014Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives In: Working Papers ECARES.
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2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
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2015Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics.
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2016Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal.
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2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
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2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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2015Elliptical Multiple Output Quantile Regression and Convex Optimization In: Working Papers ECARES.
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2016Elliptical multiple-output quantile regression and convex optimization.(2016) In: Statistics & Probability Letters.
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2016Multiple-Output Quantile Regression In: Working Papers ECARES.
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2011Market liquidity as dynamic factors In: Working Papers ECARES.
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2011Market liquidity as dynamic factors.(2011) In: Journal of Econometrics.
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2016On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities In: Working Papers ECARES.
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2017A Simple R-Estimation Method for Semiparametric Duration Models In: Working Papers ECARES.
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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
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2017Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients In: Working Papers ECARES.
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2017On Distribution and Quantile Functions, Ranks and Signs in R_d In: Working Papers ECARES.
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2017Optimal Dimension Reduction for High-dimensional and Functional Time Series In: Working Papers ECARES.
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2018From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance” In: Working Papers ECARES.
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2018Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions In: Working Papers ECARES.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series.
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2011Dynamic factors in the presence of blocks In: Journal of Econometrics.
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2011A class of simple distribution-free rank-based unit root tests In: Journal of Econometrics.
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2011A class of simple distribution-free rank-based unit root tests.(2011) In: Post-Print.
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2012Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels In: Journal of Econometrics.
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2013One-step R-estimation in linear models with stable errors In: Journal of Econometrics.
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2016Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank In: Journal of Econometrics.
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2017R-estimation in semiparametric dynamic location-scale models In: Journal of Econometrics.
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2009Optimal tests for homogeneity of covariance, scale, and shape In: Journal of Multivariate Analysis.
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1989Asymptotically most powerful rank tests for multivariate randomness against serial dependence In: Journal of Multivariate Analysis.
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1989Asymptotically most powerful rank tests for multivariate randomness against serial dependence.(1989) In: ULB Institutional Repository.
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1991Time series analysis via rank order theory: Signed-rank tests for ARMA models In: Journal of Multivariate Analysis.
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1991Time series analysis via rank-order theory, signed-rank tests for ARMA models.(1991) In: ULB Institutional Repository.
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1994Aligned Rank Tests for Linear Models with Autocorrelated Error Terms In: Journal of Multivariate Analysis.
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2004Kernel density estimation for spatial processes: the L1 theory In: Journal of Multivariate Analysis.
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2004Kernel density estimation for spatial processes: the L1 theory.(2004) In: ULB Institutional Repository.
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1978Mixed autoregressive-moving average multivariate processes with time-dependent coefficients In: Journal of Multivariate Analysis.
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1978Mixed autoregressive-moving average multivariate processes with time-dependent coefficients.(1978) In: ULB Institutional Repository.
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2005Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors In: Journal of Multivariate Analysis.
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1983Nonstationary Yule-Walker equations In: Statistics & Probability Letters.
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1983Nonstationary Yule-Walker equations.(1983) In: ULB Institutional Repository.
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1998Characterization of error distributions in time-series regression models In: Statistics & Probability Letters.
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1998Characterization of error distributions in time-series regression models.(1998) In: ULB Institutional Repository.
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1998Characterization of error distributions in time series regression models.(1998) In: ULB Institutional Repository.
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1999L1-estimation in linear models with heterogeneous white noise In: Statistics & Probability Letters.
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1999L1-estimation in linear models with heterogeneous white noise.(1999) In: ULB Institutional Repository.
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2000Rank-based partial autocorrelations are not asymptotically distribution-free In: Statistics & Probability Letters.
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1992Improved Eaton Bounds for Linear Combinations of Bounded Random Variables with Statistical Applications..(1992) In: Cahiers de recherche.
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1993Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications.(1993) In: ULB Institutional Repository.
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1992Rank Tests for Time Series Analysis , A Survey. In: Universite Libre de Bruxelles - C.E.M.E..
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1992Local Asymptotic Normality of Multivariate ARMA Processes with a Linear Trend. In: Universite Libre de Bruxelles - C.E.M.E..
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1986Tests Non Parametriques Optimaux Pour une Autoregression Dordre Un In: Cahiers de recherche.
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1990Simple Exact Bounds for Distributions of Linear Signed Rank Statistics. In: Cahiers de recherche.
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1992Simple exact bounds for distributions of linear signed rank statistics.(1992) In: ULB Institutional Repository.
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1991An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient. In: Cahiers de recherche.
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1996Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation In: Annals of the Institute of Statistical Mathematics.
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1997A Berry-Esséen Theorem for Serial Rank Statistics In: Annals of the Institute of Statistical Mathematics.
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