Marc Hallin : Citation Profile

Are you Marc Hallin?

Université Libre de Bruxelles

22

H index

42

i10 index

4042

Citations

RESEARCH PRODUCTION:

76

Articles

288

Papers

RESEARCH ACTIVITY:

   52 years (1972 - 2024). See details.
   Cites by year: 77
   Journals where Marc Hallin has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 142 (3.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha368
   Updated: 2024-04-18    RAS profile: 2024-03-07    
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Relations with other researchers

Works with:

Barigozzi, Matteo (12)

Trucíos, Carlos (7)

Soccorsi, Stefano (6)

Valls Pereira, Pedro (5)

Hotta, Luiz (5)

Zevallos, Mauricio (3)

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 (119)

Forni, Mario (105)

Lippi, Marco (93)

Giannone, Domenico (88)

Barigozzi, Matteo (86)

Reichlin, Lucrezia (80)

Kapetanios, George (79)

Luciani, Matteo (70)

GUPTA, RANGAN (59)

Pesaran, Mohammad (57)

Giovannelli, Alessandro (47)

Cites to:

Forni, Mario (224)

Lippi, Marco (216)

Reichlin, Lucrezia (151)

Barigozzi, Matteo (69)

Zaffaroni, Paolo (60)

Giannone, Domenico (59)

Chernozhukov, Victor (54)

Paindaveine, Davy (50)

Bai, Jushan (50)

Watson, Mark (49)

Henry, Marc (49)

Main data

Where Marc Hallin has published?

Journals with more than one article published# docs
Journal of Econometrics16
Journal of Multivariate Analysis8
Statistics & Probability Letters5
Journal of Time Series Analysis5
Statistical Inference for Stochastic Processes4
Journal of the American Statistical Association4
Journal of the American Statistical Association4
International Statistical Review3
Journal of Nonparametric Statistics3
Journal of the Royal Statistical Society Series B3
Econometric Theory3
Annals of the Institute of Statistical Mathematics3

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles146
Working Papers ECARES / ULB -- Universite Libre de Bruxelles73
CEPR Discussion Papers / C.E.P.R. Discussion Papers6
Papers / arXiv.org4
SciencePo Working papers Main / HAL2
CeMMAP working papers / Institute for Fiscal Studies2
Post-Print / HAL2
Sciences Po publications / Sciences Po2
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
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
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)2

Recent works citing Marc Hallin (2024 and 2023)

YearTitle of citing document
2023Scoring 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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2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2023Cupids Invisible Hand: Social Surplus and Identification in Matching Models. (2021). Salani, Bernard ; Galichon, Alfred. In: Papers. RePEc:arx:papers:2106.02371.

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2023Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773.

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2023Scenario generation for market risk models using generative neural networks. (2021). Junike, Gero ; Flaig, Solveig. In: Papers. RePEc:arx:papers:2109.10072.

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2023Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2024Lorenz map, inequality ordering and curves based on multidimensional rearrangements. (2022). Fan, Yanqin ; Rivero, Jorge A ; Pass, Brendan ; Henry, Marc. In: Papers. RePEc:arx:papers:2203.09000.

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2023Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2023Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023High-Dimensional Canonical Correlation Analysis. (2023). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393.

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2023Noise reduction for functional time series. (2023). Wouters, Bram ; Diks, Cees. In: Papers. RePEc:arx:papers:2307.02154.

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2023Robust Impulse Responses using External Instruments: the Role of Information. (2023). Mazzali, Marco ; Franconi, Alessandro ; Brignone, Davide. In: Papers. RePEc:arx:papers:2307.06145.

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2023Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067.

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2023Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454.

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2023Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

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2023Forecasting inflation using disaggregates and machine learning. (2023). Medeiros, Marcelo C ; Boaretto, Gilberto. In: Papers. RePEc:arx:papers:2308.11173.

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2023On propensity score matching with a diverging number of matches. (2023). Han, Fang ; He, Yihui. In: Papers. RePEc:arx:papers:2310.14142.

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2023Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593.

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2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models. (2023). Gaglianone, Wagner ; Moreira, Marta Baltar. In: Working Papers Series. RePEc:bcb:wpaper:574.

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2023Energy price shocks and inflation in the euro area. (2023). Tagliabracci, Alex ; delle Monache, Davide ; Corsello, Francesco ; Conflitti, Cristina ; Busetti, Fabio ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_792_23.

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2023Forecasting models for the Chinese macroeconomy in a data?rich environment: Evidence from large dimensional approximate factor models with mixed?frequency data. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:719-767.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023Tempered functional time series. (2023). Kokoszka, Piotr ; Sabzikar, Farzad. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:3:p:280-293.

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2023Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Manchester School. RePEc:bla:manchs:v:91:y:2023:i:3:p:171-232.

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2023Nonparametric prediction for univariate spatial data: Methods and applications. (2023). Lovatto, Mariel ; Llop, Pamela ; Arancibia, Rodrigo Garcia. In: Papers in Regional Science. RePEc:bla:presci:v:102:y:2023:i:3:p:635-672.

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2023.

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2023El monitoreo del sector de la construcción en el Valle del Cauca. (2023). Ceron-Ordoez, Julieth ; Vidal-Alejandro, Pavel ; Rodriguez, Seydyss Garay. In: Apuntes del Cenes. RePEc:col:000152:020301.

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2023Are African business cycles synchronized? Evidence from spatio-temporal modeling. (2023). Franses, Philip Hans ; Mattera, Raffaele. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002973.

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2023Exploring the distribution of organic farming: Findings from certified rice in Taiwan. (2023). Cheng, Chia-Yi ; Lu, Chen-Fu. In: Ecological Economics. RePEc:eee:ecolec:v:212:y:2023:i:c:s0921800923001787.

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2023A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2023Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154.

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2023High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250.

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2023Vector copulas. (2023). Henry, Marc ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:128-150.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023A condition for the identification of multivariate models with binary instruments. (2023). Gunsilius, Florian F. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:220-238.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Approximate factor models with weaker loadings. (2023). Ng, Serena ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1893-1916.

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2023Large volatility matrix analysis using global and national factor models. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1917-1933.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16.

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2023Rage Against the Mean – A Review of Distributional Regression Approaches. (2023). Safken, Benjamin ; Silbersdorff, Alexander ; Kneib, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:99-123.

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2023A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:83-101.

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2023Change point estimation under a copula-based Markov chain model for binomial time series. (2023). Sun, Li-Hsien ; Lai, Ching-Chieh ; Emura, Takeshi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:120-137.

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2023Inflation and wage growth since the pandemic: A comment. (2023). Lenza, Michele. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s0014292123001678.

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2023Investor sentiment and global economic conditions. (2023). Lutkebohmert, Eva ; Herculano, Miguel C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:134-152.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023A central bankers’ sentiment index of global financial cycle. (2023). Liu, Wei ; Yu, Zhen ; Yang, Fuyu. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005330.

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2023European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688.

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2023FRED-SD: A real-time database for state-level data with forecasting applications. (2023). Owyang, Michael T ; Kliesen, Kevin L ; Jackson, Laura E ; Bokun, Kathryn O. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:279-297.

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2023Nowcasting German GDP: Foreign factors, financial markets, and model averaging. (2023). Senftleben-Konig, Charlotte ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Andreini, Paolo ; Strohsal, Till. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:298-313.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Nowcasting food inflation with a massive amount of online prices. (2023). Szafranek, Karol ; Stelmasiak, Damian ; Macias, Pawe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:809-826.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Factor models for large and incomplete data sets with unknown group structure. (2023). Camacho, Maximo ; Lopez-Buenache, German. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1205-1220.

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2023LASSO principal component averaging: A fully automated approach for point forecast pooling. (2023). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1839-1852.

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2023A distance-based test of independence between two multivariate time series. (2023). Chu, BA. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001427.

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2023A Cramér–Wold theorem for elliptical distributions. (2023). Moreno, Leonardo ; Fraiman, Ricardo ; Ransford, Thomas. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000222.

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2023Nonparametric testing for the specification of spatial trend functions. (2023). Chan, Ngai Hang ; Zhang, Rongmao ; Chi, Changxiong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x2300026x.

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2023Nonparametric goodness-of-fit testing for a continuous multivariate parametric model. (2023). Patil, Prakash N ; Bagkavos, Dimitrios. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000283.

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2023Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk. (2023). Yang, Lu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002015.

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2023Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models. (2023). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000042.

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2023Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. (2023). Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s037843712300136x.

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2023.

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2023Euro area inflation and a new measure of core inflation. (2022). Morana, Claudio. In: Working Papers. RePEc:mib:wpaper:505.

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2023Euro area inflation and a new measure of core inflation. (2022). Morana, Claudio. In: Working Paper series. RePEc:rim:rimwps:22-14.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: CEIS Research Paper. RePEc:rtv:ceisrp:559.

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2023Measuring tourism demand nowcasting performance using a monotonicity test. (2023). Liu, Ying ; Song, Haiyan ; Wang, Yongjing. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:5:p:1302-1327.

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2023Tests for the existence of group effects and interactions for two-way models with dependent errors. (2023). Taniguchi, Masanobu ; Xu, Xiaofei ; Suzuki, Kotone ; Goto, Yuichi. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:3:d:10.1007_s10463-022-00853-3.

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2023A copula spectral test for pairwise time reversibility. (2023). Zhang, Shibin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00859-x.

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2023Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008. (2023). Kim, Hyun Hak ; Swanson, Norman R. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02289-3.

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2023Big data forecasting of South African inflation. (2023). Steenkamp, Daan ; Rankin, Neil ; Kotze, Kevin ; Burger, Rulof ; Botha, Byron. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02329-y.

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2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

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2023Forecasting GDP with many predictors in a small open economy: forecast or information pooling?. (2023). Han, Daniel ; Fei, Yijie ; Chow, Hwee Kwan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02356-9.

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2023Dissecting Brazilian agriculture business cycles in high-dimensional and time-irregular span contexts. (2023). Castro, Nicole Renno ; Maranho, Andre Nunes. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02391-0.

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2023The impact of pandemic on dynamic volatility spillover network of international stock markets. (2023). Shao, Liuguo ; Lan, Tingting ; Yuan, Caijun ; Zhang, Hua. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02422-w.

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

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: LIDAM Discussion Papers ISBA.
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2021Time-varying general dynamic factor models and the measurement of financial connectedness.(2021) In: Journal of Econometrics.
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2020Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance In: LIDAM Discussion Papers ISBA.
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2020Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance.(2020) In: Working Papers ECARES.
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2015Monge-Kantorovich Depth, Quantiles, Ranks, and Signs In: Papers.
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2017Monge-Kantorovich Depth, Quantiles, Ranks, and Signs.(2017) In: Post-Print.
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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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2017Monge-Kantorovich Depth, Quantiles, Ranks, and Signs.(2017) 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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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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2024Dynamic Factor Models: a Genealogy In: Papers.
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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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2004Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models.(2004) In: Other publications TiSEM.
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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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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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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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2006Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series.(2006) In: Journal of Econometrics.
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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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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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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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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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1991Nonuniform Bounds for Nonparametric t-Tests In: Econometric Theory.
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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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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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2009A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests 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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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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2018From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance” 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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