Alain Hecq : Citation Profile


Are you Alain Hecq?

Maastricht University

11

H index

12

i10 index

370

Citations

RESEARCH PRODUCTION:

38

Articles

67

Papers

RESEARCH ACTIVITY:

   29 years (1992 - 2021). See details.
   Cites by year: 12
   Journals where Alain Hecq has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 72 (16.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phe63
   Updated: 2021-06-12    RAS profile: 2021-05-28    
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Relations with other researchers


Works with:

Telg, Sean (8)

Cubadda, Gianluca (7)

Laurent, Sébastien (6)

Götz, Thomas (4)

Chevillon, Guillaume (4)

Issler, João (3)

Jacobs, Jan (3)

Palm, Franz (2)

Lieb, Lenard (2)

Guardabascio, Barbara (2)

del Barrio Castro, Tomás (2)

Smeekes, Stephan (2)

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

Is cited by:

Guillén, Osmani (60)

Cubadda, Gianluca (28)

Issler, João (24)

Paruolo, Paolo (15)

Weber, Enzo (14)

Athanasopoulos, George (12)

Vahid, Farshid (12)

Carrasco Gutierrez, Carlos Enrique (11)

Candelon, Bertrand (10)

Centoni, Marco (9)

Guardabascio, Barbara (9)

Cites to:

Engle, Robert (79)

Vahid, Farshid (76)

Palm, Franz (63)

Cubadda, Gianluca (62)

Issler, João (47)

Urbain, Jean-Pierre (41)

Guillén, Osmani (36)

Campbell, John (34)

Lanne, Markku (22)

Kozicki, Sharon (21)

Marcellino, Massimiliano (20)

Main data


Where Alain Hecq has published?


Journals with more than one article published# docs
Economics Letters7
Journal of Econometrics4
Applied Economics Letters4
International Journal of Forecasting3
Oxford Bulletin of Economics and Statistics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)9
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)9
CEIS Research Paper / Tor Vergata University, CEIS7
Papers / arXiv.org7
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles6
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)5
MPRA Paper / University Library of Munich, Germany5
CESifo Working Paper Series / CESifo3
LIDAM Discussion Papers IRES / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)2
Working Papers / HAL2
Post-Print / HAL2

Recent works citing Alain Hecq (2021 and 2020)


YearTitle of citing document
2020Lasso Inference for High-Dimensional Time Series. (2020). Smeekes, Stephan ; Wilms, Ines ; Adamek, Robert. In: Papers. RePEc:arx:papers:2007.10952.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Bayesian analysis of seasonally cointegrated VAR model. (2020). Wr, Justyna. In: Papers. RePEc:arx:papers:2012.14820.

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2021Min(d)ing the President: A text analytic approach to measuring tax news. (2021). Smeekes, Stephan ; Bacsturk, Nalan ; Almeida, Rui Jorge ; Lieb, Lenard ; Jassem, Adam. In: Papers. RePEc:arx:papers:2104.03261.

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2021Electricity Consumption and Economic Growth in Turkey: A Mixed Frequency Var Approach. (2021). Berument, Hakan M ; Dogan, Nukhet ; Berksun, Dilara. In: Energy Economics Letters. RePEc:asi:eneclt:2021:p:95-108.

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2020Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira. In: Working Papers Series. RePEc:bcb:wpaper:539.

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2021On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?. (2021). Steinkamp, Sven ; Westermann, Frank ; Grimm, Louisa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9016.

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2020Structural analysis with mixed-frequency data: A model of US capital flows. (2020). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:427-443.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. (2020). Motegi, Kaiji ; Hill, Jonathan B ; Ghysels, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:633-654.

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2021Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit. (2021). Voia, Marcel ; Saunders, Charles J ; Kichian, Maral ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:589-605.

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2020Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors. (2020). al Dohaiman, Mohammed ; Mezghani, Imed ; ben Haddad, Hedi. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518300748.

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2021Commodity prices and global economic activity: A derived-demand approach. (2021). Gaglianone, Wagner ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira ; Duarte, Angelo Mont'Alverne ; Angelo Mont'alverne Duarte, . In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000256.

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2020Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?. (2020). Lu, Xinjie ; Wang, Jiqian ; Ma, Feng ; He, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302404.

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2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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2021Granger causality detection in high-dimensional systems using feedforward neural networks. (2021). Olmo, Jose ; Mancini, Tullio ; Calvo-Pardo, Hector . In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:920-940.

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2020Natural resource abundance, technological innovation, and human capital nexus with financial development: A case study of China. (2020). Shahbaz, Muhammad ; Khan, Zeeshan ; Jiao, Zhilun ; Yang, Siqun ; Hussain, Muzzammil. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719309171.

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2021A Multivariate VAR Model for Evaluating Sustainable Finance and Natural Resource Curse in West Africa: Evidence from Nigeria and Ghana. (2021). Enemona, Joseph Onuche ; Shobande, Olatunji Abdul. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2847-:d:511659.

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2021On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?. (2001). Steinkamp, Sven ; Westermann, Frank ; Grimm, Louisa. In: IEER Working Papers. RePEc:iee:wpaper:wp0120.

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2020Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping. (2020). Franses, Philip Hans ; Wiemann, Thomas. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-020-09986-0.

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2020The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier. (2020). Mansour-Ichrakieh, Layal. In: MPRA Paper. RePEc:pra:mprapa:99376.

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2020Survey on structural breaks and unit root tests. (2020). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0396.

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2020Loan market markups and noncausal autoregressions. (2020). Kramkov, Viacheslav ; Maksimov, Andrey. In: Applied Econometrics. RePEc:ris:apltrx:0406.

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2021Forecasting tourist arrivals: Google Trends meets mixed-frequency data. (2021). Havranek, Tomas ; Zeynalov, Ayaz. In: Tourism Economics. RePEc:sae:toueco:v:27:y:2021:i:1:p:129-148.

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2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234.

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2020Identifying shocks to business cycles with asynchronous propagation. (2020). Weber, Enzo ; Trenkler, Carsten. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1563-z.

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2020Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial. (2020). Gunay, Mahmut. In: Working Papers. RePEc:tcb:wpaper:2002.

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2020Is implied volatility more informative for forecasting realized volatility: An international perspective. (2020). Zhang, Yaojie ; Wei, YU ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1253-1276.

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Works by Alain Hecq:


YearTitleTypeCited
1999Inference in Codependence : Some Monte Carlo Results and Applications In: Annals of Economics and Statistics.
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article1
1999Inference in codependence: some Monte Carlo results and applications.(1999) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 1
paper
2018Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers.
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paper1
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Journal of Econometrics.
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article
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print.
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paper
2018Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure In: Papers.
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paper5
2019Identification of Noncausal Models by Quantile Autoregressions In: Papers.
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paper1
2021Predicting bubble bursts in oil prices during the COVID-19 pandemic with mixed causal-noncausal models In: Papers.
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paper0
2020Dimension Reduction for High Dimensional Vector Autoregressive Models In: Papers.
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paper0
2020Inference in mixed causal and noncausal models with generalized Students t-distributions In: Papers.
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2021Adaptive Random Bandwidth for Inference in CAViaR Models In: Papers.
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paper0
2021Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions In: Papers.
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paper0
2013Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions In: Working Papers Series.
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paper0
2019Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes In: Journal of Time Series Analysis.
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2018Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes.(2018) In: MPRA Paper.
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paper
1997Testing for the Price‐ and Wage‐Setting Model in Belgium Using Multivariate Cointegration Tests In: LABOUR.
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article1
2000Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles In: Oxford Bulletin of Economics and Statistics.
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article31
2019Detecting Co‐Movements in Non‐Causal Time Series In: Oxford Bulletin of Economics and Statistics.
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article0
2017Detecting Co-Movements in Noncausal Time Series.(2017) In: MPRA Paper.
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2018Detecting Co-Movements in Noncausal Time Series.(2018) In: CEIS Research Paper.
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2016On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics.
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article3
2016On the Univariate Representation of BEKK Models with Common Factors.(2016) In: Post-Print.
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2012On the univariate representation of BEKK models with common factors.(2012) In: Research Memorandum.
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1992Limpact du changement de définition de lindice des prix de gros en Belgique sur la causalité prix de gros/prix de détail In: Brussels Economic Review.
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article0
2000Testing for Common Cyclical Features in Nonstationary Panel Data Models In: CESifo Working Paper Series.
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paper4
2001Testing for Common Cyclical Features in Var Models with Cointegration In: CESifo Working Paper Series.
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paper19
2002Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features In: CESifo Working Paper Series.
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2002SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES.(2002) In: Econometric Reviews.
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2016Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions In: CIRANO Working Papers.
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paper1
2019Testing for news and noise in non-stationary time series subject to multiple historical revisions.(2019) In: Journal of Macroeconomics.
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2016Testing for news and noise in non-stationary time series subject to multiple historical revisions.(2016) In: Research Memorandum.
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1998Stability of Okuns Law in a Codependent System In: LIDAM Discussion Papers IRES.
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2000Labor Mobility in Belgium : An Empirical Analysis of the Relationship between Provincial Employment Dynamics and Migration In: LIDAM Discussion Papers IRES.
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paper2
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers.
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2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
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2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
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2007Common shocks, common dynamics, and the international business cycle In: Economic Modelling.
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2003Common Shocks, Common Dynamics, and the International Business Cycle.(2003) In: Economics & Statistics Discussion Papers.
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2008Common Shocks, Common Dynamics, and the International Business Cycle.(2008) In: CEIS Research Paper.
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2013A general to specific approach for constructing composite business cycle indicators In: Economic Modelling.
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2012A General to Specific Approach for Constructing Composite Business Cycle Indicators.(2012) In: CEIS Research Paper.
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2014Nowcasting causality in mixed frequency vector autoregressive models In: Economics Letters.
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article7
2013Nowcasting causality in mixed frequency vector autoregressive models.(2013) In: Research Memorandum.
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2016Testing for deterministic seasonality in mixed-frequency VARs In: Economics Letters.
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article1
2016Testing for Deterministic Seasonality in Mixed-Frequency VARs.(2016) In: DEA Working Papers.
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1993Misspecification tests, unit roots and level shifts In: Economics Letters.
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1995Unit root tests with level shift in the presence of GARCH In: Economics Letters.
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article3
1998Does seasonal adjustment induce common cycles? In: Economics Letters.
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article9
2001On non-contemporaneous short-run co-movements In: Economics Letters.
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article21
2008Macro-panels and reality In: Economics Letters.
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article2
2007Macro-panels and reality.(2007) In: Research Memorandum.
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2006Common cyclical features analysis in VAR models with cointegration In: Journal of Econometrics.
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2009Studying co-movements in large multivariate data prior to multivariate modelling In: Journal of Econometrics.
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article14
2008Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling.(2008) In: CEIS Research Paper.
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2016Testing for Granger causality in large mixed-frequency VARs In: Journal of Econometrics.
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2014Testing for Granger causality in large mixed-frequency VARs.(2014) In: Research Memorandum.
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2015Testing for Granger Causality in Large Mixed-Frequency VARs.(2015) In: Research Memorandum.
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2015Testing for Granger causality in large mixed-frequency VARs.(2015) In: Discussion Papers.
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2015Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions In: International Journal of Forecasting.
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2013Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions.(2013) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2014Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions.(2014) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2015Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2016Combining forecasts from successive data vintages: An application to U.S. growth In: International Journal of Forecasting.
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2017A vector heterogeneous autoregressive index model for realized volatility measures In: International Journal of Forecasting.
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2016A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures.(2016) In: CEIS Research Paper.
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2015A Vector Heterogeneous Autoregressive Index model for realized volatility measures.(2015) In: Research Memorandum.
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2005Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion In: Journal of International Money and Finance.
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article29
1998Codependence and Convergence in the EC Economies In: Journal of Policy Modeling.
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article5
1998Codependence and convergence in the EC economies.(1998) In: ULB Institutional Repository.
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2012A Common-feature approach for testing present-value restrictions with financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2012A common-feature approach for testing present-value restrictions with financial data.(2012) In: Research Memorandum.
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2019Mixed causal-noncausal autoregressions with exogenous regressors In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2020Mixed causal–noncausal autoregressions with exogenous regressors.(2020) In: Journal of Applied Econometrics.
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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? In: Econometrics.
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2016Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?.(2016) In: MPRA Paper.
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2011Testing for common autocorrelation in data‐rich environments In: Journal of Forecasting.
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2009Testing for Common Autocorrelation in Data Rich Environments.(2009) In: CEIS Research Paper.
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2000Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach In: Empirica.
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2003The Role of Common Cyclical Features for Coincident and Leading Indexes Building In: Economics & Statistics Discussion Papers.
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2006Measuring the Sources of Cyclical Fluctuations in the G7 Economies. In: Economics & Statistics Discussion Papers.
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2011Common Intraday Periodicity In: Journal of Financial Econometrics.
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2011Common intraday periodicity.(2011) In: Research Memorandum.
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2017Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors In: MPRA Paper.
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2019Forecasting bubbles with mixed causal-noncausal autoregressive models In: MPRA Paper.
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1997Asymmetric Shocks Inside Future EMU In: Journal of Economic Integration.
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1997Asymmetric shocks inside future EMU.(1997) In: ULB Institutional Repository.
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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector In: CEIS Research Paper.
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2005Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach In: Computing in Economics and Finance 2005.
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2005Should we really care about building business cycle coincident indexes! In: Applied Economics Letters.
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2009Asymmetric business cycle co-movements In: Applied Economics Letters.
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1996IGARCH effect on autoregressive lag length selection and causality tests In: Applied Economics Letters.
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2000Stability of activity-unemployment relationship in a codependent system In: Applied Economics Letters.
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2000Determining a perfect optimum currency area using common cycles In: ULB Institutional Repository.
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1999Convergence des groupes en Europe: une analyse sur données régionales In: ULB Institutional Repository.
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1992Rapport de recherche relatif au développement des comptes des entreprises et des ménages dans le cadre du système européen des comptes In: ULB Institutional Repository.
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paper0
2013Testing for common cycles in non-stationary VARs with varied frecquency data In: Research Memorandum.
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2014Combining distributions of real-time forecasts: An application to U.S. growth In: Research Memorandum.
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2012Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data).(2012) In: Research Memorandum.
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2015Identification of Mixed Causal-Noncausal Models : How Fat Should We Go? In: Research Memorandum.
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2007Studying co-movements in large multivariate models without multivariate modelling In: Research Memorandum.
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2011On the univariate representation of multivariate volatility models with common factors In: Research Memorandum.
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2011Are panel unit root tests useful for real-time data? In: Research Memorandum.
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2012Forecasting Mixed Frequency Time Series with ECM-MIDAS Models In: Research Memorandum.
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2014Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models.(2014) In: Journal of Forecasting.
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