Alain Hecq : Citation Profile


Are you Alain Hecq?

Maastricht University

11

H index

13

i10 index

452

Citations

RESEARCH PRODUCTION:

43

Articles

80

Papers

2

Chapters

RESEARCH ACTIVITY:

   31 years (1992 - 2023). See details.
   Cites by year: 14
   Journals where Alain Hecq has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 88 (16.3 %)

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   Permalink: http://citec.repec.org/phe63
   Updated: 2024-01-16    RAS profile: 2024-01-11    
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Relations with other researchers


Works with:

Cubadda, Gianluca (9)

MORANA, CLAUDIO (3)

Telg, Sean (3)

Smeekes, Stephan (2)

Issler, João (2)

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

Is cited by:

Cubadda, Gianluca (33)

Issler, João (27)

Guillén, Osmani (25)

Paruolo, Paolo (15)

Weber, Enzo (14)

Vahid, Farshid (13)

Athanasopoulos, George (12)

Carrasco Gutierrez, Carlos (11)

Candelon, Bertrand (10)

Guardabascio, Barbara (9)

Centoni, Marco (9)

Cites to:

Engle, Robert (113)

Cubadda, Gianluca (88)

Palm, Franz (82)

Vahid, Farshid (78)

Issler, João (55)

Lanne, Markku (39)

Campbell, John (39)

Kozicki, Sharon (37)

Marcellino, Massimiliano (32)

Saikkonen, Pentti (31)

gourieroux, christian (29)

Main data


Where Alain Hecq has published?


Journals with more than one article published# docs
Economics Letters7
Applied Economics Letters4
Journal of Econometrics4
International Journal of Forecasting3
Econometrics3
Oxford Bulletin of Economics and Statistics3
Economic Modelling2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org15
CEIS Research Paper / Tor Vergata University, CEIS10
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)9
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)9
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
Post-Print / HAL2
Working Papers / HAL2
LIDAM Discussion Papers IRES / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)2

Recent works citing Alain Hecq (2024 and 2023)


YearTitle of citing document
2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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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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2023Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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2023Reduced-rank Envelope Vector Autoregressive Models. (2023). Herath, Wiranthe B ; Samadi, Yaser S. In: Papers. RePEc:arx:papers:2309.12902.

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2023Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2023.

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2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

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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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2023Lasso inference for high-dimensional time series. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1114-1143.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023.

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2023Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?. (2023). Zhang, Weike ; Chang, Hsu-Ling ; Song, Yuru ; Su, Chi-Wei ; Qin, Meng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7479-:d:1138222.

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2023The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556.

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2023Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

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2023Sparse Warcasting. (2023). Constantinescu, Mihnea. In: Working Papers. RePEc:ukb:wpaper:01/2023.

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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 nother version. Agregated cites: 1
paper
2018Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers.
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paper5
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 5
article
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 5
paper
2018Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 5
paper
2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure In: Papers.
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paper7
2019Identification of Noncausal Models by Quantile Autoregressions In: Papers.
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paper2
2022Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models In: Papers.
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paper0
2023Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models.(2023) In: Advances in Econometrics.
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This paper has nother version. Agregated cites: 0
chapter
2022Dimension Reduction for High Dimensional Vector Autoregressive Models In: Papers.
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paper2
2022Dimension Reduction for High?Dimensional Vector Autoregressive Models.(2022) In: Oxford Bulletin of Economics and Statistics.
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This paper has nother version. Agregated cites: 2
article
2022Dimension Reduction for High Dimensional Vector Autoregressive Models.(2022) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 2
paper
2022Inference in mixed causal and noncausal models with generalized Students t-distributions In: Papers.
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paper0
2021Adaptive Random Bandwidth for Inference in CAViaR Models In: Papers.
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paper0
2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions In: Papers.
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paper1
2022A short term credibility index for central banks under inflation targeting: an application to Brazil In: Papers.
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paper0
2022Is climate change time reversible? In: Papers.
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paper4
2022Is Climate Change Time-Reversible?.(2022) In: Econometrics.
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This paper has nother version. Agregated cites: 4
article
2022Is climate change time-reversible?.(2022) In: Working Papers.
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paper
2022Is climate change time reversible?.(2022) In: Working Paper series.
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This paper has nother version. Agregated cites: 4
paper
2022Detecting common bubbles in multivariate mixed causal-noncausal models In: Papers.
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paper0
2023Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models.(2023) In: Econometrics.
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article
2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models.(2023) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 0
paper
2022Spectral estimation for mixed causal-noncausal autoregressive models In: Papers.
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paper0
2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions In: Papers.
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paper1
2023Inference in Non-stationary High-Dimensional VARs In: Papers.
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paper0
2023Optimization of the Generalized Covariance Estimator in Noncausal Processes In: Papers.
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paper0
2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models 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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paper1
2019Granger Causality Testing in Mixed?Frequency VARs with Possibly (Co)Integrated Processes In: Journal of Time Series Analysis.
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article4
2018Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4
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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article41
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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This paper has nother version. Agregated cites: 0
paper
2018Detecting Co-Movements in Noncausal Time Series.(2018) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 0
paper
2016On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics.
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article4
2016On the Univariate Representation of BEKK Models with Common Factors.(2016) In: Post-Print.
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This paper has nother version. Agregated cites: 4
paper
2012On the univariate representation of BEKK models with common factors.(2012) In: Research Memorandum.
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This paper has nother version. Agregated cites: 4
paper
2021Selecting between causal and noncausal models with quantile autoregressions In: Studies in Nonlinear Dynamics & Econometrics.
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article1
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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paper27
2002SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES.(2002) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 27
article
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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This paper has nother version. Agregated cites: 1
article
2016Testing for news and noise in non-stationary time series subject to multiple historical revisions.(2016) In: Research Memorandum.
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This paper has nother version. Agregated cites: 1
paper
1998Stability of Okuns Law in a Codependent System In: LIDAM Discussion Papers IRES.
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paper4
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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paper1
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 1
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2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
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This paper has nother version. Agregated cites: 1
paper
2007Common shocks, common dynamics, and the international business cycle In: Economic Modelling.
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article16
2003Common Shocks, Common Dynamics, and the International Business Cycle.(2003) In: Economics & Statistics Discussion Papers.
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paper
2008Common Shocks, Common Dynamics, and the International Business Cycle.(2008) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 16
paper
2013A general to specific approach for constructing composite business cycle indicators In: Economic Modelling.
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article5
2012A General to Specific Approach for Constructing Composite Business Cycle Indicators.(2012) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 5
paper
2014Nowcasting causality in mixed frequency vector autoregressive models In: Economics Letters.
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article9
2013Nowcasting causality in mixed frequency vector autoregressive models.(2013) In: Research Memorandum.
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This paper has nother version. Agregated cites: 9
paper
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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This paper has nother version. Agregated cites: 1
paper
1993Misspecification tests, unit roots and level shifts In: Economics Letters.
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article9
1995Unit root tests with level shift in the presence of GARCH In: Economics Letters.
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article4
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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article22
2008Macro-panels and reality In: Economics Letters.
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article2
2007Macro-panels and reality.(2007) In: Research Memorandum.
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This paper has nother version. Agregated cites: 2
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2006Common cyclical features analysis in VAR models with cointegration In: Journal of Econometrics.
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article45
2009Studying co-movements in large multivariate data prior to multivariate modelling In: Journal of Econometrics.
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article15
2008Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling.(2008) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 15
paper
2016Testing for Granger causality in large mixed-frequency VARs In: Journal of Econometrics.
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article17
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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paper
2021Forecasting bubbles with mixed causal-noncausal autoregressive models In: Econometrics and Statistics.
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article5
2019Forecasting bubbles with mixed causal-noncausal autoregressive models.(2019) In: MPRA Paper.
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This paper has nother version. Agregated cites: 5
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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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article3
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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This paper has nother version. Agregated cites: 3
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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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This paper has nother version. Agregated cites: 3
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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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This paper has nother version. Agregated cites: 3
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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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article2
2017A vector heterogeneous autoregressive index model for realized volatility measures In: International Journal of Forecasting.
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article16
2016A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures.(2016) In: CEIS Research Paper.
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This paper has nother version. Agregated cites: 16
paper
2015A Vector Heterogeneous Autoregressive Index model for realized volatility measures.(2015) In: Research Memorandum.
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This paper has nother version. Agregated cites: 16
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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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article33
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.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2013Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data In: Advances in Econometrics.
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chapter9
2013Testing for common cycles in non-stationary VARs with varied frecquency data.(2013) In: Research Memorandum.
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This paper has nother version. Agregated cites: 9
paper
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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paper1
2012A common-feature approach for testing present-value restrictions with financial data.(2012) In: Research Memorandum.
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This paper has nother version. Agregated cites: 1
paper
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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This paper has nother version. Agregated cites: 6
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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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This paper has nother version. Agregated cites: 4
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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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paper2
2006Measuring the Sources of Cyclical Fluctuations in the G7 Economies. In: Economics & Statistics Discussion Papers.
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paper2
2011Common Intraday Periodicity In: The 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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paper0
1997Asymmetric Shocks Inside Future EMU In: Journal of Economic Integration.
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article10
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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paper1
2021Reduced Rank Regression Models in Economics and Finance In: CEIS Research Paper.
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paper1
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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article2
1996IGARCH effect on autoregressive lag length selection and causality tests In: Applied Economics Letters.
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article8
2000Stability of activity-unemployment relationship in a codependent system In: Applied Economics Letters.
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article0
2000Determining a perfect optimum currency area using common cycles In: ULB Institutional Repository.
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paper0
1999Convergence des groupes en Europe: une analyse sur données régionales In: ULB Institutional Repository.
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paper5
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
2014Combining distributions of real-time forecasts: An application to U.S. growth In: Research Memorandum.
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paper1
2012Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data).(2012) In: Research Memorandum.
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This paper has nother version. Agregated cites: 1
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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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paper1
2012Forecasting Mixed Frequency Time Series with ECM-MIDAS Models In: Research Memorandum.
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paper19
2014Forecasting Mixed?Frequency Time Series with ECM?MIDAS Models.(2014) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 19
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