Marc Hallin : Citation Profile

Are you Marc Hallin?

Université Libre de Bruxelles

22

H index

40

i10 index

3983

Citations

RESEARCH PRODUCTION:

75

Articles

284

Papers

RESEARCH ACTIVITY:

   51 years (1972 - 2023). See details.
   Cites by year: 78
   Journals where Marc Hallin has often published
   Relations with other researchers
   Recent citing documents: 193.    Total self citations: 138 (3.35 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha368
   Updated: 2023-11-04    RAS profile: 2023-11-07    
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Relations with other researchers

Works with:

Barigozzi, Matteo (10)

Trucíos, Carlos (7)

Soccorsi, Stefano (6)

Valls Pereira, Pedro (4)

Hotta, Luiz (4)

Zevallos, Mauricio (2)

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

Is cited by:

Marcellino, Massimiliano (119)

Forni, Mario (105)

Lippi, Marco (93)

Giannone, Domenico (88)

Barigozzi, Matteo (84)

Kapetanios, George (79)

Reichlin, Lucrezia (78)

Luciani, Matteo (70)

Pesaran, Mohammad (56)

GUPTA, RANGAN (56)

Chudik, Alexander (44)

Cites to:

Forni, Mario (212)

Lippi, Marco (200)

Reichlin, Lucrezia (138)

Barigozzi, Matteo (59)

Zaffaroni, Paolo (56)

Chernozhukov, Victor (54)

Giannone, Domenico (51)

Paindaveine, Davy (49)

Henry, Marc (49)

Watson, Mark (46)

Engle, Robert (45)

Main data

Where Marc Hallin has published?

Journals with more than one article published# docs
Journal of Econometrics15
Journal of Multivariate Analysis8
Journal of Time Series Analysis5
Statistics & Probability Letters5
Journal of the American Statistical Association4
Statistical Inference for Stochastic Processes4
Journal of the American Statistical Association4
Econometric Theory3
International Statistical Review3
Annals of the Institute of Statistical Mathematics3
Journal of the Royal Statistical Society Series B3
Journal of Nonparametric Statistics3

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 Bruxelles70
CEPR Discussion Papers / C.E.P.R. Discussion Papers6
Papers / arXiv.org3
LIDAM Reprints 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
Sciences Po publications / Sciences Po2
Post-Print / HAL2
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
CeMMAP working papers / Institute for Fiscal Studies2
SciencePo Working papers Main / HAL2

Recent works citing Marc Hallin (2023 and 2022)

YearTitle of citing document
2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

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2022Graphical and uniform consistency of estimated optimal transport plans. (2022). Segers, Johan. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022022.

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2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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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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2022Tensor Factor Model Estimation by Iterative Projection. (2022). Zhang, Cun-Hui ; Yang, Dan ; Chen, Rong. In: Papers. RePEc:arx:papers:2006.02611.

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2022Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131.

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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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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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2022Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911.

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

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022Lorenz 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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2022Finite Sample Inference in Incomplete Models. (2022). Henry, Marc ; Li, Lixiong. In: Papers. RePEc:arx:papers:2204.00473.

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2022Benchmarking Econometric and Machine Learning Methodologies in Nowcasting. (2022). Hopp, Daniel. In: Papers. RePEc:arx:papers:2205.03318.

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2022Is climate change time reversible?. (2022). Morana, Claudio ; Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2205.07579.

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2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988.

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2022LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling. (2022). Maciejowska, Katarzyna ; Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2207.04794.

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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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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2023Reservoir 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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2022Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2212.13324.

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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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2023Reconciling 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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2022Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models. (2022). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Working Papers Series. RePEc:bcb:wpaper:561.

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2022Nowcasting Brazilian GDP with Electronic Payments Data. (2022). Cesar, Raquel Nadal. In: Working Papers Series. RePEc:bcb:wpaper:564.

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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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2022Non-Independent Components Analysis. (2022). Zwiernik, Piotr ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1358.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2022Estimation of the Impact of Global Shocks on the Russian Economy and GDP Nowcasting Using a Factor Model. (2022). Lomonosov, Daniil ; Zubarev, Andrey ; Rybak, Konstantin. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:49-78.

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2022Assessment of Monthly GDP Growth Using Temporal Disaggregation Methods. (2022). Zhemkov, Michael. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:79-104.

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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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2022Temporal and spatial Taylors law: Application to Japanese subnational mortality rates. (2022). Shang, Han Lin ; Cohen, Joel E ; Yang, Yang. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:4:p:1979-2006.

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2022Quantile mixed hidden Markov models for multivariate longitudinal data: An application to childrens Strengths and Difficulties Questionnaire scores. (2022). Tzavidis, Nikos ; Petrella, Lea ; Merlo, Luca. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:2:p:417-448.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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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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2022Multivariate conditional transformation models. (2022). Kneib, Thomas ; Barbanti, Luisa ; Hothorn, Torsten ; Klein, Nadja. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:116-142.

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2022Multivariate quantiles with both overall and directional probability interpretation. (2022). Iman, Miroslav ; Kotik, Luka ; Hlubinka, Daniel. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:4:p:1586-1604.

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2022Economic performance in Africa: The role of fragile financial system. (2022). Inekwe, John Nkwoma. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:6:p:1910-1936.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214.

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2022.

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2022Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687.

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2022Alternative Measures for the Global Financial Cycle: Do They Make a Difference?. (2022). Jacobs, Jan ; de Haan, Jakob ; Tian, Xin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9730.

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2022Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9839.

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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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2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-06.

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2022Data depth and multiple output regression, the distorted M-quantiles approach. (2022). Fernandez, Ignacio Cascos ; Ochoa, Maicol Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:35465.

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2022Flexible quantile contour estimation for multivariate functional data: Beyond convexity. (2022). Kong, Linglong ; Sun, Ying ; Tu, Wei ; Agarwal, Gaurav. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002346.

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2022Multivariate ranks based on randomized lift-interdirections. (2022). Iman, Miroslav ; Hudecova, Arka. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:172:y:2022:i:c:s0167947322000603.

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2022Marginal M-quantile regression for multivariate dependent data. (2022). Tzavidis, Nikos ; Salvati, Nicola ; Petrella, Lea ; Merlo, Luca. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:173:y:2022:i:c:s0167947322000809.

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2022A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families. (2022). Chen, Feifei ; ZHU, LI XING ; Meintanis, Simos ; Jimenezgamero, Dolores M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:175:y:2022:i:c:s0167947322001281.

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2022Extremal quantile autoregression for heavy-tailed time series. (2022). Zhou, Yuejin ; Wang, Huixia Judy ; He, Fengyang . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:176:y:2022:i:c:s0167947322001438.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2022Emerging market responses to external shocks: A cross-country analysis. (2022). Hallam, Bahar Sungurtekin. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322001948.

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2022A wavelet method for panel models with jump discontinuities in the parameters. (2022). Sickles, R C ; Gualtieri, J ; Mensinger, T ; Liebl, D ; Kneip, A ; Bada, O. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:399-422.

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2022Semiparametric testing with highly persistent predictors. (2022). Zhou, B O. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:347-370.

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2022Projected estimation for large-dimensional matrix factor models. (2022). Zhang, Xinsheng ; Kong, Xinbing ; He, Yong ; Yu, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:201-217.

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2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

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2022Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity. (2022). Ando, Tomohiro ; Li, Kunpeng ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:20-38.

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2022Nowcasting with large Bayesian vector autoregressions. (2022). Monti, Francesca ; Lenza, Michele ; Giannone, Domenico ; Cimadomo, Jacopo ; Sokol, Andrej. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:500-519.

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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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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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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2022The nexus between bank connectedness and investors’ sentiment. (2022). Pochea, Maria Miruna ; Nioi, Mihai. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321004219.

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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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2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness.(2019) In: Working Papers ECARES.
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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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2021Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance.(2021) In: LIDAM Reprints 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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2015Monge-Kantorovich Depth, Quantiles, Ranks and Signs.(2015) In: Working Papers ECARES.
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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: 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: 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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2015Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series.(2015) In: Working Papers ECARES.
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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals In: Papers.
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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals.(2018) In: Working Papers ECARES.
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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals.(2020) In: Journal of Econometrics.
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2005The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting In: Journal of the American Statistical Association.
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2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2002) In: CEPR Discussion Papers.
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2003The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.(2003) In: Computing in Economics and Finance 2003.
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2003The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting.(2003) In: LEM Papers Series.
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2005The generalised dynamic factor model: one sided estimation and forecasting.(2005) In: ULB Institutional Repository.
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2006Comment In: Journal of the American Statistical Association.
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2007Determining the Number of Factors in the General Dynamic Factor Model In: Journal of the American Statistical Association.
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2007Optimal Tests of Noncorrelation Between Multivariate Time Series In: Journal of the American Statistical Association.
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2007Optimal tests for non-correlation between multivariate time series.(2007) In: ULB Institutional Repository.
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2012Editors’ Note In: International Statistical Review.
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2013Editors’ Note In: International Statistical Review.
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2013New Book Review Editor for the International Statistical Review In: International Statistical Review.
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2008Semiparametrically efficient inference based on signs and ranks for median?restricted models In: Journal of the Royal Statistical Society Series B.
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2004Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models.(2004) In: Discussion Paper.
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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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2017A network analysis of the volatility of high-dimensionalfinancial series.(2017) In: LSE Research Online Documents on Economics.
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1994ON THE INVERTIBILITY OF PERIODIC MOVING?AVERAGE MODELS In: Journal of Time Series Analysis.
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1994On the invertibility of periodic moving-average models.(1994) In: ULB Institutional Repository.
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1994ON THE PITMAN NON?ADMISSIBILITY OF CORRELOGRAM?BASED METHODS In: Journal of Time Series Analysis.
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2005Testing Non?Correlation and Non?Causality between Multivariate ARMA Time Series In: Journal of Time Series Analysis.
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2005Testing non-correlation and non-causality between multivariate arma time series.(2005) In: ULB Institutional Repository.
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2018On Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†Based Spectral Densities In: Journal of Time Series Analysis.
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1987LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE In: Journal of Time Series Analysis.
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1987Linear and quadratic serial rank tests for randomness against serial dependence.(1987) In: ULB Institutional Repository.
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2006Parametric and semiparametric inference for shape: the role of the scale functional In: Statistics & Risk Modeling.
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2005Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series In: CIRANO Working Papers.
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2006Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series.(2006) In: Journal of Econometrics.
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2005Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series.(2005) In: Cahiers de recherche.
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2005Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series.(2005) In: Cahiers de recherche.
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2006Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series.(2006) In: ULB Institutional Repository.
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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2015Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Center for Economic Research (RECent).
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1999The Generalized Dynamic Factor Model: Identification and Estimation In: CEPR Discussion Papers.
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2000The Generalized Dynamic-Factor Model: Identification And Estimation.(2000) In: The Review of Economics and Statistics.
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2000The generalised dynamic factor model: identification and estimation.(2000) In: ULB Institutional Repository.
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2000Reference Cycles: The NBER Methodology Revisited In: CEPR Discussion Papers.
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2001EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle In: CEPR Discussion Papers.
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2002Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area? In: CEPR Discussion Papers.
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2003Do financial variables help forecasting inflation and real activity in the euro area?.(2003) In: Journal of Monetary Economics.
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2003Do financial variables help forecasting inflation and real activity in the Euro area ?.(2003) In: ULB Institutional Repository.
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1981Étude Statistique de la Probabilité de Sinistre en Assurance Automobile In: ASTIN Bulletin.
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1996Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches In: Econometric Theory.
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1996Locally optimal tests against periodic autoregression: parametric and nonparametric approaches.(1996) In: ULB Institutional Repository.
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1991Nonuniform Bounds for Nonparametric t-Tests In: Econometric Theory.
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1991Nonuniform bounds for nonparametric t-tests.(1991) In: ULB Institutional Repository.
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1992Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications In: Econometric Theory.
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1989Improved Berry-Esseen-Chebyshev Bounds with Statistical Applications.(1989) In: Cahiers de recherche.
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1989IMPROVED BERRY-ESSEEN-CHEBYSHEV BOUNDS WITH STATISTICAL APPLICATIONS.(1989) In: Cahiers de recherche.
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1992Improved Berry-Esséen-Chebyshev bounds with statistical applications.(1992) In: ULB Institutional Repository.
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2008Dynamic Factors in the Presence of Block Structure In: Working Papers ECARES.
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2008Dynamic Factors in the Presence of Block Structure.(2008) In: Economics Working Papers.
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2008On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance In: Working Papers ECARES.
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2008Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth In: Working Papers ECARES.
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2010Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth.(2010) In: ULB Institutional Repository.
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2009A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests In: Working Papers ECARES.
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2009Optimal rank-based testing for principal component In: Working Papers ECARES.
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2010On the estimation of cross-information quantities in rank-based inference In: Working Papers ECARES.
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2011Optimal Rank-Based Tests for Common Principal Components In: Working Papers ECARES.
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2011Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis In: Working Papers ECARES.
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2012Local Constant and Local Bilinear Multiple-Output Quantile Regression In: Working Papers ECARES.
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2012Signal Detection in High Dmension: The Multispiked Case In: Working Papers ECARES.
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2012Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models In: Working Papers ECARES.
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2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models.(2012) In: Discussion Paper.
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2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models.(2012) In: Other publications TiSEM.
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2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
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2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
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2013Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model In: Working Papers ECARES.
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2013Factor Models in High-Dimensional Time Series: A Time-Domain Approach In: Working Papers ECARES.
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2013Factor models in high-dimensional time series—A time-domain approach.(2013) In: Stochastic Processes and their Applications.
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2013A Serial Version of Hodges and Lehmanns 6/pi Result In: Working Papers ECARES.
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2015R -Estimation for Asymmetric Independent Component Analysis.(2015) In: Journal of the American Statistical Association.
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2013On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result In: Working Papers ECARES.
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2014Quantile Spectral Processes: Asymptotic Analysis and Inference In: Working Papers ECARES.
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2014Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models In: Working Papers ECARES.
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2014Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives In: Working Papers ECARES.
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2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
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2015Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics.
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2016Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal.
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2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
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2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
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2015Elliptical Multiple Output Quantile Regression and Convex Optimization In: Working Papers ECARES.
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2011Market liquidity as dynamic factors.(2011) In: Journal of Econometrics.
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2016On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities In: Working Papers ECARES.
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2017A Simple R-Estimation Method for Semiparametric Duration Models In: Working Papers ECARES.
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2020A Simple R-estimation method for semiparametric duration models.(2020) In: Journal of Econometrics.
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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models In: Working Papers ECARES.
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2017Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients In: Working Papers ECARES.
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2017On Distribution and Quantile Functions, Ranks and Signs in R_d In: Working Papers ECARES.
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2017Optimal Dimension Reduction for High-dimensional and Functional Time Series In: Working Papers ECARES.
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2018Optimal dimension reduction for high-dimensional and functional time series.(2018) In: Statistical Inference for Stochastic Processes.
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2018From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance” In: Working Papers ECARES.
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2018Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions In: Working Papers ECARES.
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2018Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression In: Working Papers ECARES.
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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach.(2019) In: Textos para discussão.
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