Marc Hallin : Citation Profile


Are you Marc Hallin?

Université Libre de Bruxelles

17

H index

27

i10 index

3074

Citations

RESEARCH PRODUCTION:

64

Articles

257

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   48 years (1972 - 2020). See details.
   Cites by year: 64
   Journals where Marc Hallin has often published
   Relations with other researchers
   Recent citing documents: 156.    Total self citations: 103 (3.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha368
   Updated: 2020-08-09    RAS profile: 2020-08-07    
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Relations with other researchers


Works with:

Barigozzi, Matteo (15)

Lippi, Marco (8)

Forni, Mario (6)

Soccorsi, Stefano (5)

Chernozhukov, Victor (5)

Galichon, Alfred (5)

Henry, Marc (4)

Hotta, Luiz (4)

Valls Pereira, Pedro (4)

Trucíos, Carlos (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 (118)

Forni, Mario (90)

Giannone, Domenico (83)

Reichlin, Lucrezia (76)

Barigozzi, Matteo (70)

Lippi, Marco (63)

Luciani, Matteo (61)

Pesaran, M (56)

GUPTA, RANGAN (55)

Rodríguez Caballero, Carlos (51)

Chudik, Alexander (42)

Cites to:

Forni, Mario (204)

Lippi, Marco (178)

Reichlin, Lucrezia (119)

Barigozzi, Matteo (52)

Paindaveine, Davy (47)

Ng, Serena (44)

Giannone, Domenico (39)

Watson, Mark (39)

Engle, Robert (37)

Bai, Jushan (35)

Stock, James (30)

Main data


Where Marc Hallin has published?


Journals with more than one article published# docs
Journal of Econometrics13
Journal of Multivariate Analysis7
Statistics & Probability Letters5
Journal of Time Series Analysis5
Statistical Inference for Stochastic Processes4
Journal of the American Statistical Association4
Journal of the Royal Statistical Society Series B3
Journal of Nonparametric Statistics3
Annals of the Institute of Statistical Mathematics3
International Statistical Review3
Journal of the American Statistical Association2
Econometric Theory2

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles149
Working Papers ECARES / ULB -- Universite Libre de Bruxelles54
Papers / arXiv.org3
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences) / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)2

Recent works citing Marc Hallin (2020 and 2019)


YearTitle of citing document
2019Longevity forecasting by socio-economic groups using compositional data analysis. (2019). Kallestrup-Lamb, Malene ; Oeppen, Jim ; Boucher, Marie-Pier Bergeron ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-08.

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2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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2019Spectral Analysis of Multivariate Time Series. (2019). von Sachs, Rainer. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019008.

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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2019Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2019Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087.

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2019Identifiability of Structural Singular Vector Autoregressive Models. (2019). Braumann, Alexander ; Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04096.

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2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models. (2019). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.09841.

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2019Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2019Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123.

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2020Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518.

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2020Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

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2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

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2020New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2019Forecasting inflation in the euro area: countries matter!. (2019). Pacella, Claudia ; Capolongo, Angela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1224_19.

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2019The Global Financial Cycle and US Monetary Policy in an Interconnected World. (2019). Galesi, Alessandro ; Dees, Stephane. In: Working papers. RePEc:bfr:banfra:744.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2019Disinflation and reliability of underlying inflation measures. (2019). Ponomarenko, Alexey ; Deryugina, Elena. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps44.

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2020Longevity forecasting by socio‐economic groups using compositional data analysis. (2020). Kallestruplamb, Malene ; Oeppen, Jim ; Bergeronboucher, Mariepier ; Ergemen, Yunus Emre ; Kjargaard, Sren. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1167-1187.

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2020On bandwidth choice for spatial data density estimation. (2020). Zhang, Qiang ; Tjstheim, Dag ; Lu, Zudi ; Ling, Nengxiang ; Jiang, Zhenyu. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:82:y:2020:i:3:p:817-840.

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2019Forecasting Imports with Information from Abroad. (2019). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: ifo Working Paper Series. RePEc:ces:ifowps:_294.

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2019Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia. (2019). Enciso, Enrique Lopez. In: Tiempo y Economía. RePEc:col:000485:017226.

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2020Nowcasting German GDP. (2020). Strohsal, Till ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Senftleben-Konig, Charlotte Charlotte ; Andreini, Paolo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14323.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

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2020“Normal†growth of the Chinese economy: new metrics based on consumer confidence data. (2020). Soria, Petar. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00168.

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2019Sign Tests for Weak Principal Directions. (2019). Paindaveine, Davy ; Verdebout, Thomas ; Remy, Julien. In: Working Papers ECARES. RePEc:eca:wpaper:2013/280742.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2019Monetary policy, macroprudential policy, and financial stability. (2019). Repullo, Rafael ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192297.

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2019Forecasting occupancy rate with Bayesian compression methods. (2019). Tsionas, Mike ; Assaf, George A. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:439-449.

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2019Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46.

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2019Bayesian copula spectral analysis for stationary time series. (2019). Zhang, Shibin . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:166-179.

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2020Nonparametric procedures for partially paired data in two groups. (2020). Wencheko, Eshetu ; Feyasa, Merga B ; Harrar, Solomon W. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302580.

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2019Towards a financial cycle for the U.S., 1973–2014. (2019). Jacobs, Jan ; An, J ; Bezemer, Dirk J ; Rozite, Kristiana . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305643.

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2019Did financial factors matter during the Great Recession?. (2019). Paccagnini, Alessia. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:26-30.

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2019Factor models for matrix-valued high-dimensional time series. (2019). Wang, Dong ; Chen, Rong ; Liu, Xialu . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:231-248.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Robust covariance estimation for approximate factor models. (2019). Fan, Jianqing ; Zhong, Yiqiao ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:5-22.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Consistent estimation of time-varying loadings in high-dimensional factor models. (2019). Urga, Giovanni ; Hillebrand, Eric ; Mikkelsen, Jakob Guldbak . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:535-562.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification. (2019). Schumacher, Christian ; Kaufmann, Sylvia. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:116-134.

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2019Rank regularized estimation of approximate factor models. (2019). Bai, Jushan ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:78-96.

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2019A moment-based notion of time dependence for functional time series. (2019). Gleim, Alexander ; Salish, Nazarii . In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:377-392.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2020Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate. (2020). Miller, J. ; Park, Sungkeun ; Kim, Chang Sik ; Kaufmann, Robert K ; Chang, Yoosoon. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:274-294.

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2020Testing serial correlations in high-dimensional time series via extreme value theory. (2020). Tsay, Ruey S. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:106-117.

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2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2020Factor-adjusted regularized model selection. (2020). Ke, Yuan ; Fan, Jianqing ; Wang, Kaizheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:71-85.

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2019Sign tests for dependent observations. (2019). Ibragimov, Rustam ; Brown, Donald. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:1-8.

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2019Joint estimation of multiple network Granger causal models. (2019). Michailidis, G ; Skripnikov, A. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:120-133.

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2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

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2019On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis. (2019). Lu, Zudi ; Ren, Xiaohang ; Shen, Jian ; Shi, Yukun ; Cheng, Cheng. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:234-252.

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2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. (2019). Zhang, Dayong ; Ma, Yan-Ran ; Pan, Jiaofeng ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:536-544.

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2020Energy commodity uncertainties and the systematic risk of US industries. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; de Bruin, Anne ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846.

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2019A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2019). Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302197.

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2019Google data in bridge equation models for German GDP. (2019). Gotz, Thomas B ; Knetsch, Thomas A. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:45-66.

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2019Predictive regressions under asymmetric loss: Factor augmentation and model selection. (2019). Hacioglu Hoke, Sinem ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:80-99.

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2019Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes. (2019). Swanson, Norman R ; Guney, Ethem I ; Cepni, Oguzhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:555-572.

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2019Combining wavelet decomposition with machine learning to forecast gold returns. (2019). Risse, Marian. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:601-615.

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2019Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633.

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2019Bagged neural networks for forecasting Polish (low) inflation. (2019). Szafranek, Karol. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:1042-1059.

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2019Growth in stress. (2019). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Maldonado, Javier. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966.

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2019Forecasting of density functions with an application to cross-sectional and intraday returns. (2019). Shang, Han Lin ; Petersen, Alexander ; Miao, Hong ; Kokoszka, Piotr. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1304-1317.

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2019Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections. (2019). Paredes, Joan ; Lenza, Michele ; Lalik, Magdalena ; Angelini, Elena. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1658-1668.

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2019Macroeconomic news and market reaction: Surprise indexes meet nowcasting. (2019). Caruso, Alberto. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1725-1734.

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2020Forecasting inflation with online prices. (2020). Bertolotto, Manuel I ; Aparicio, Diego. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:232-247.

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2019US monetary policy and the euro area. (2019). Hanisch, Max. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:77-96.

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2020Financial cycles: Characterisation and real-time measurement. (2020). Peltonen, Tuomas A ; Hiebert, Paul P ; Schuler, Yves S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560619301597.

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2019High-dimensional functional time series forecasting: An application to age-specific mortality rates. (2019). Shang, Han Lin ; Yang, Yanrong ; Gao, Yuan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:232-243.

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2019Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress. (2019). Raponi, Valentina ; Petrella, Lea. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:70-84.

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2019Robust factor number specification for large-dimensional elliptical factor model. (2019). Zhang, Xinsheng ; He, Yong ; Yu, Long. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18304378.

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2019A bootstrap-based KPSS test for functional time series. (2019). Pun, Chi Seng ; Chen, Yichao. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18306146.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2019Global real interest rate dynamics from the late 19th century to today. (2019). Probst, Julius. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:522-547.

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2019Historical decoupling in the EU: Evidence from time-frequency analysis. (2019). Kapounek, Svatopluk ; Kuerova, Zuzana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:265-280.

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2019On nonparametric inference for spatial regression models under domain expanding and infill asymptotics. (2019). Kurisu, Daisuke. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:16.

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2019Consistency of generalized dynamic principal components in dynamic factor models. (2019). Smucler, Ezequiel. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:7.

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2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model. (2020). Angelopoulos, Jason ; Visvikis, Ilias D ; Sahoo, Satya. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081.

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2019Large Bayesian vector autoregressions. (2019). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2019-19.

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2019Analyzing credit risk transmission to the non-financial sector in Europe: A network approach. (2019). Siklos, Pierre ; Gross, Christian. In: CAMA Working Papers. RePEc:een:camaaa:2019-43.

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2019Predictive, finite-sample model choice for time series under stationarity and non-stationarity. (2019). Fryzlewicz, Piotr ; Preuss, Philip ; Kley, Tobias. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101748.

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2019What is the investment loss due to uncertainty?. (2019). Printzis, Panagiotis ; Panagiotidis, Theodore. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102648.

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2019Synchronization Patterns in the European Union. (2019). Napoletano, Mauro ; Luu, Duc Thi ; Guerini, Mattia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1918.

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2019Dynamic specification tests for dynamic factor models. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_07.

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2019Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components. (2019). Lingauer, Michael ; Min, Aleksey ; Ramsauer, Franz . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:31-:d:248593.

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2019Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression. (2019). Reschenhofer, Erhard ; Chud, Marek. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:46-:d:293899.

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2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors. (2020). Barigozzi, Matteo ; Luciani, Matteo ; Lippi, Marco. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:1:p:3-:d:316273.

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2019Comparing Sentiment- and Behavioral-Based Leading Indexes for Industrial Production: When Does Each Fail?. (2019). Schroder, Michael ; Yilmaz, Yunus ; Seip, Knut Lehre. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:4:p:104-:d:277261.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis. (2019). Drakeford, Benjamin M ; Huang, Zhehao ; Su, Yaya. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:22:p:6222-:d:284326.

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2019Synchronization Patterns in the European Union. (2019). Napoletano, Mauro ; Luu, Duc Thi ; Guerini, Mattia. In: GREDEG Working Papers. RePEc:gre:wpaper:2019-30.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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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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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
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2020Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
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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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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers.
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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES.
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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics.
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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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2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers.
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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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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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2007Optimal tests for non-correlation between multivariate time series.(2007) In: ULB Institutional Repository.
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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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2017A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics.
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1994ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS In: Journal of Time Series Analysis.
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1994On the invertibility of periodic moving-average models.(1994) In: ULB Institutional Repository.
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1994ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS In: Journal of Time Series Analysis.
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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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2018On Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†Based Spectral Densities In: Journal of Time Series Analysis.
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1987LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE In: Journal of Time Series Analysis.
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1987Linear and quadratic serial rank tests for randomness against serial dependence.(1987) 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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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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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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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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paper217
2003Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics.
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article
2003Do financial variables help forecasting inflation and real activity in the Euro area ?.(2003) In: ULB Institutional Repository.
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paper
1981Étude Statistique de la Probabilité de Sinistre en Assurance Automobile In: ASTIN Bulletin.
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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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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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paper3
2011Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis In: Working Papers ECARES.
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paper7
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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2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
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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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2018Optimal dimension reduction for high-dimensional and functional time series.(2018) In: Statistical Inference for Stochastic Processes.
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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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2018Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression In: Working Papers ECARES.
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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: Working Papers ECARES.
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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach.(2019) In: Textos para discussão.
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2019High-Dimensional Functional Factor Models In: Working Papers ECARES.
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2019Center-Outward R-Estimation for Semiparametric VARMA Models In: Working Papers ECARES.
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2019Optimal tests for elliptical symmetry: specified and unspecified location In: Working Papers ECARES.
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2019CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK In: Working Papers ECARES.
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2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting In: Working Papers ECARES.
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2019A Note on the Regularity of Center-Outward Distribution and Quantile Functions In: Working Papers ECARES.
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2020Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance In: Working Papers ECARES.
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2020Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs In: Working Papers ECARES.
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2010Rank‐based Optimal Tests for Random Effects in Panel Data In: Working Papers ECARES.
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2011Asymptotic Power of Sphericity Tests for High-Dimensional Data In: Working Papers ECARES.
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2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series.
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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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2004The generalized dynamic factor model consistency and rates In: Journal of Econometrics.
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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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1978Mixed autoregressive-moving average multivariate processes with time-dependent coefficients In: Journal of Multivariate Analysis.
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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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2000Rank-based partial autocorrelations are not asymptotically distribution-free In: Statistics & Probability Letters.
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