Marc Hallin : Citation Profile

Université Libre de Bruxelles

23

H index

45

i10 index

4316

Citations

RESEARCH PRODUCTION:

79

Articles

296

Papers

RESEARCH ACTIVITY:

   53 years (1972 - 2025). See details.
   Cites by year: 81
   Journals where Marc Hallin has often published
   Relations with other researchers
   Recent citing documents: 149.    Total self citations: 147 (3.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha368
   Updated: 2025-06-07    RAS profile: 2024-08-08    
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Relations with other researchers

Works with:

Barigozzi, Matteo (9)

Trucíos, Carlos (5)

Valls Pereira, Pedro (3)

Hotta, Luiz (3)

Soccorsi, Stefano (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)

Barigozzi, Matteo (96)

Lippi, Marco (93)

Giannone, Domenico (89)

Reichlin, Lucrezia (80)

Kapetanios, George (79)

Luciani, Matteo (71)

GUPTA, RANGAN (59)

Pesaran, Mohammad (57)

Giovannelli, Alessandro (47)

Cites to:

Forni, Mario (272)

Lippi, Marco (259)

Reichlin, Lucrezia (181)

Barigozzi, Matteo (90)

Zaffaroni, Paolo (73)

Giannone, Domenico (69)

Bai, Jushan (64)

Ng, Serena (61)

Paindaveine, Davy (59)

Watson, Mark (59)

Chernozhukov, Victor (58)

Main data

Where Marc Hallin has published?

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

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles149
Working Papers ECARES / ULB -- Universite Libre de Bruxelles77
CEPR Discussion Papers / C.E.P.R. Discussion Papers6
Papers / arXiv.org5
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
SciencePo Working papers Main / HAL2
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
CeMMAP working papers / Institute for Fiscal Studies2
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)2
Post-Print / HAL2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Marc Hallin (2025 and 2024)

YearTitle of citing document
2024Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks. (2024). Yu, Marina. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:2:p:452-475.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024Tensor Factor Model Estimation by Iterative Projection. (2024). Han, Yuefeng ; Chen, Rong ; Yang, Dan ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2006.02611.

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2024CP Factor Model for Dynamic Tensors. (2024). Han, Yuefeng ; Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

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2025Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532.

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

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2024Finite Sample Inference in Incomplete Models. (2024). Li, Lixiong ; Henry, Marc. In: Papers. RePEc:arx:papers:2204.00473.

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2025Linear Multidimensional Regression with Interactive Fixed-Effects. (2025). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2025High-Dimensional Canonical Correlation Analysis. (2025). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393.

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2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2025The Canonical Decomposition of Factor Models: Weak Factors are Everywhere. (2025). Barigozzi, Matteo ; Gersing, Philipp ; Deistler, Manfred ; Rust, Christoph. In: Papers. RePEc:arx:papers:2307.10067.

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2025Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2025). Fisher, Zachary F ; Kim, Younghoon ; Pipiras, Vladas. In: Papers. RePEc:arx:papers:2307.10454.

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2024Composite Quantile Factor Model. (2024). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

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2024Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures. (2024). Li, Degui ; Xia, Yingcun ; Shang, Han Lin ; Leng, Chenlei. In: Papers. RePEc:arx:papers:2401.05784.

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2024Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

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2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

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2024High Dimensional Factor Analysis with Weak Factors. (2024). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2402.05789.

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2024Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network. (2024). Zheng, Tingguo ; Ye, Shiqi ; Zhang, Hongyin. In: Papers. RePEc:arx:papers:2405.02575.

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024Dynamic Matrix Factor Models for High Dimensional Time Series. (2024). Han, Yuefeng ; Yu, Ruofan ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2407.05624.

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2025Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon. (2025). Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2407.09738.

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2024Performance of Empirical Risk Minimization For Principal Component Regression. (2024). Brownlees, Christian ; Wang, Yaping ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2409.03606.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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2024Factors in Fashion: Factor Analysis towards the Mode. (2024). Tu, Yundong ; Sun, Zhe. In: Papers. RePEc:arx:papers:2409.19287.

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2024A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526.

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2025On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model. (2025). Gersing, Philipp. In: Papers. RePEc:arx:papers:2410.18159.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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2024A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM). (2024). Gersing, Philipp. In: Papers. RePEc:arx:papers:2410.20885.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Bayesian inference for dynamic spatial quantile models with interactive effects. (2025). Bai, Jushan ; Ando, Tomohiro ; Song, Yong ; Li, Kunpeng. In: Papers. RePEc:arx:papers:2503.00772.

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2025A primer on optimal transport for causal inference with observational data. (2025). Gunsilius, Florian F. In: Papers. RePEc:arx:papers:2503.07811.

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2025Tracking the Hidden Forces Behind Laos 2022 Exchange Rate Crisis and Balance of Payments Instability. (2025). Cooray, Mariza ; Martinez, Rolando Gonzales. In: Papers. RePEc:arx:papers:2503.13308.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025Measuring the Euro Area Output Gap. (2025). Barigozzi, Matteo ; Luciani, Matteo ; Lissona, Claudio. In: Papers. RePEc:arx:papers:2505.05536.

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2024Measuring the underlying component of inflation. (2024). Lhuissier, Stéphane ; Fontes Baptista, Matthew ; Mogliani, Matteo. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2024:253:05.

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2024Sixty years of global inflation: a post-GFC update. (2024). Pedemonte, Mathieu ; Auer, Raphael ; Schoenle, Raphael. In: BIS Working Papers. RePEc:bis:biswps:1189.

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2024Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks. (2024). Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:53-76.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024A Conversation With Marc Hallin. (2024). Genest, Christian. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:2:p:137-159.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2025How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables. (2025). Kim, Soyoung ; Park, Joon Y ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0136.

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2025Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures. (2025). Li, Degui ; Xia, Yingcun ; Shang, Han Lin ; Leng, Chenlei. In: Working Papers. RePEc:boa:wpaper:202524.

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2025Pandemic Intensity Estimation using Dynamic Factor Modeling. (2025). Aaron, Cooke ; John, Vivian. In: Statistics, Politics and Policy. RePEc:bpj:statpp:v:16:y:2025:i:1:p:37-61:n:1003.

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2024Sixty Years of Global Inflation: A Post-GFC Update. (2024). Pedemonte, Mathieu ; Auer, Raphael ; Schoenle, Raphael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11148.

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2024Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity. (2024). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Piqueras, Pedro Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11486.

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2025Word2Prices: embedding central bank communications for inflation prediction. (2025). Lenza, Michele ; Comazzi, Fabio Alberto ; Araujo, Douglas ; Bokan, Nikola. In: Working Paper Series. RePEc:ecb:ecbwps:20253047.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2024Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?. (2024). Du, Yuting ; Zhang, XU ; Naeem, Muhammad Abubakr ; Rauf, Abdul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000194.

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2024A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series. (2024). Liu, Yixuan ; Meyer, Renate ; Lee, Jeongeun ; Kirch, Claudia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:199:y:2024:i:c:s016794732400094x.

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2025On the use of the cumulant generating function for inference on time series. (2025). Ronchetti, E ; la Vecchia, D ; Moor, A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:201:y:2025:i:c:s0167947324001282.

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2025A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A ; Lvarez-Libana, J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:203:y:2025:i:c:s0167947324001762.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024Dynamic hysteresis effects. (2024). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Muoz, Ivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000629.

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2024Predicting tourism recovery from COVID-19: A time-varying perspective. (2024). Liu, Ying ; Wen, Long ; Song, Haiyan. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000622.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2025Introducing a novel fragility index for assessing financial stability amid asset bubble episodes. (2025). Lupu, Radu ; Clin, Adrian Cantemir ; Dumitrescu, Dan Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400216x.

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2024Rank-based max-sum tests for mutual independence of high-dimensional random vectors. (2024). Ma, Yanyuan ; Feng, Long ; Wang, Hongfei ; Liu, Binghui. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002944.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Identification of a rational inattention discrete choice model. (2024). Liao, Moyu. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000162.

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2024Testing unconditional and conditional independence via mutual information. (2024). Zhang, Zheng ; Zhu, Liping ; Sun, Li-Hsien ; Ai, Chunrong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407622001609.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2024Semiparametrically optimal cointegration test. (2024). Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001611.

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2024Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537.

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2024Robust interactive fixed effects. (2024). Boudt, Kris ; Heyndels, Ewoud. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223.

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2024On some multivariate sign tests for scatter matrix eigenvalues. (2024). Verdebout, Thomas ; Bernard, Gaspard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:252-260.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Li, Yanling ; Wang, Mengxin ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667.

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2024Monetary policies on green financial markets: Evidence from a multi-moment connectedness network. (2024). Zheng, Tingguo ; Ye, Shiqi ; Zhang, Hongyin. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400447x.

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2024Measuring financial stability in the presence of energy shocks. (2024). Cerqueti, Roy ; Cruz-Rambaud, Salvador ; Mattera, Raffaele ; Snchez-Garca, Javier. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006303.

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2024Does high volatility increase connectedness? A study of Asian equity markets. (2024). Wiesen, Thomas ; Afatsao, Richard ; Oliyide, Johnson ; Adekoya, Oluwasegun Babatunde. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006677.

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2024Avoiding jumps in the rotation matrix of time-varying factor models. (2024). Cheung, Ying Lun. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008997.

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2024The nexus of conventional, religious and ethical indexes during crisis. (2024). Ahelegbey, Daniel Felix ; Essanaani, Yassine ; Abdelsalam, Omneya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000933.

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2024Forecasting Australian fertility by age, region, and birthplace. (2024). Shang, Han Lin ; Yang, Yang ; Raymer, James. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:532-548.

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2024On the role of fundamentals, private signals, and beauty contests to predict exchange rates. (2024). Raggi, Davide ; Pignataro, Giuseppe ; Pancotto, Francesca. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:687-705.

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2024Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States. (2024). Moramarco, Graziano. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:777-795.

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2024Reservoir computing for macroeconomic forecasting with mixed-frequency data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1206-1237.

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2024Multivariate probabilistic CRPS learning with an application to day-ahead electricity prices. (2024). Berrisch, Jonathan ; Ziel, Florian. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1568-1586.

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2024Factor-augmented forecasting in big data. (2024). Bae, Juhee. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1660-1688.

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2025Forecasting house price growth rates with factor models and spatio-temporal clustering. (2025). Franses, Philip Hans ; Mattera, Raffaele. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:398-417.

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2024The transmission of U.S. monetary policy to small open economies. (2024). de Simone, Francisco Nadal. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000251.

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2024On testing the equality of latent roots of scatter matrices under ellipticity. (2024). Verdebout, Thomas ; Bernard, Gaspard. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x23000787.

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2024Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests. (2024). Iman, Miroslav ; Hudecov, Rka. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:204:y:2024:i:c:s0047259x24000514.

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2025Scaled envelope models for multivariate time series. (2025). Samadi, Yaser S ; Wiranthe, H M. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000770.

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2025Explicit bivariate simplicial depth. (2025). Nagy, Stanislav ; Mendro, Erik. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000824.

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2024Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China. (2024). Ouyang, Zhongzhe ; Lu, Min ; Zhou, Xuewei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002853.

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2024Do market conditions affect interconnectedness pattern of socially responsible equities?. (2024). Anwer, Zaheer ; Naeem, Muhammad Abubakr ; Khan, Ashraf ; Paltrinieri, Andrea. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:611-630.

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2024Monetary policy shocks and the high-frequency network connectedness of stock markets. (2024). Caraiani, Petre ; Anghel, Dan Gabriel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005501.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min ; Liu, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2024Factor-Augmented Autoregressive Neural Network to forecast NOx in the city of Madrid. (2024). Scepi, Germana ; Mattera, Raffaele ; Fernandez-Aviles, Gema. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001575.

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2024The robustification of distance-based linear models: Some proposals. (2024). Grane, Aurea ; Boj, Eva. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001915.

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2024Investors’ attention and network spillover for commodity market forecasting. (2024). Mattera, Raffaele ; Ficcadenti, Valerio ; Cerqueti, Roy. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002222.

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2024Asymptotic normality of spectral means of Hilbert space valued random processes. (2024). Kreiss, Jens-Peter ; Paparoditis, Efstathios ; Rademacher, Daniel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:173:y:2024:i:c:s0304414924000632.

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2024Empirical optimal transport under estimated costs: Distributional limits and statistical applications. (2024). Munk, Axel ; Weitkamp, Christoph A ; Mordant, Gilles ; Hundrieser, Shayan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001686.

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2024Necessary and sufficient conditions for continuity of hypercontractive processes and fields. (2024). Nummi, Patrik ; Viitasaari, Lauri. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s016771522400018x.

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2024Simultaneous computation of Kendall’s tau and its jackknife variance. (2024). Perreault, Samuel. In: Statistics & Probability Letters. RePEc:eee:stapro:v:213:y:2024:i:c:s0167715224001500.

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2024Deep functional factor models: forecasting high-dimensional functional time series via Bayesian nonparametric factorization. (2024). Wang, Liying ; Pei, Yulong ; Qiao, Xinghao ; Liu, Yirui. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125587.

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2024Multiple-output composite quantile regression through an optimal transport lens. (2024). Wang, Tengyao ; Yang, Xuzhi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125589.

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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: 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: Working Papers ECARES.
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2017Monge-Kantorovich Depth, Quantiles, Ranks, and Signs.(2017) In: Post-Print.
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2017Monge-Kantorovich Depth, Quantiles, Ranks, and Signs.(2017) In: SciencePo Working papers Main.
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2015Monge-Kantorovich Depth, Quantiles, Ranks, and Signs.(2015) In: SciencePo Working papers Main.
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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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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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2024Dynamic Factor Models: a Genealogy In: Papers.
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2023Dynamic Factor Models: a Genealogy.(2023) In: Working Papers ECARES.
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2025The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series In: Papers.
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2024The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series.(2024) In: Working Papers ECARES.
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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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2023Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi In: Journal of Time Series Analysis.
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2023Factor models for high‐dimensional functional time series I: Representation results In: Journal of Time Series Analysis.
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2023Factor models for high‐dimensional functional time series II: Estimation and forecasting 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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This paper has nother version. Agregated cites: 8		paper
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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1981Etude statistique de la probabilité de sinistre en assurance automobile.(1981) In: ULB Institutional Repository.
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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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2013Efficient R-Estimation of Principal and Common Principal Components In: Working Papers ECARES.
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2014Efficient R-Estimation of Principal and Common Principal Components.(2014) In: Journal of the American Statistical Association.
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2013R-Estimation for Asymmetric Independent Component Analysis In: Working Papers ECARES.
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2015R -Estimation for Asymmetric Independent Component Analysis.(2015) In: Journal of the American Statistical Association.
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2013On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result In: Working Papers ECARES.
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2014Quantile Spectral Processes: Asymptotic Analysis and Inference In: Working Papers ECARES.
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2014Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models In: Working Papers ECARES.
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2014Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives In: Working Papers ECARES.
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2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks In: Working Papers ECARES.
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2015Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2015) In: LSE Research Online Documents on Economics.
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2016Generalized dynamic factor models and volatilities: recovering the market volatility shocks.(2016) In: Econometrics Journal.
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2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting In: Working Papers ECARES.
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2017Generalized dynamic factor models and volatilities: estimation and forecasting.(2017) In: Journal of Econometrics.
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2017Generalized dynamic factor models and volatilities estimation and forecasting.(2017) In: LSE Research Online Documents on Economics.
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2015Elliptical Multiple Output Quantile Regression and Convex Optimization In: Working Papers ECARES.
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2016Elliptical multiple-output quantile regression and convex optimization.(2016) In: Statistics & Probability Letters.
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2016Multiple-Output Quantile Regression In: Working Papers ECARES.
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2011Market liquidity as dynamic factors In: Working Papers ECARES.
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2011Market liquidity as dynamic factors.(2011) In: Journal of Econometrics.
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2016On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities In: Working Papers ECARES.
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2017A Simple R-Estimation Method for Semiparametric Duration Models In: Working Papers ECARES.
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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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2022Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach.(2022) In: Journal of Business & Economic Statistics.
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2019High-Dimensional Functional Factor Models In: Working Papers ECARES.
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2019Center-Outward R-Estimation for Semiparametric VARMA Models In: Working Papers ECARES.
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2022Center-Outward R-Estimation for Semiparametric VARMA Models.(2022) In: Journal of the American Statistical Association.
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2019Optimal tests for elliptical symmetry: specified and unspecified location In: Working Papers ECARES.
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1988Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence In: ULB Institutional Repository.
[Citation analysis]		paper0
1988Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA In: ULB Institutional Repository.
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1994Les séquences généralisées, outil pour lanalyse des séries hétéroscédastiques? conférence prononcée à loccasion de la remise du prix du statisticien dexpression française In: ULB Institutional Repository.
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1987La recherche opérationnelle par lexemple II: théorie des graphes In: ULB Institutional Repository.
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1986La recherche opérationnelle par lexemple I: P+B141 programmation linéaire In: ULB Institutional Repository.
[Citation analysis]		paper0
1981Nonstationary first-order moving average processes: the model-building problem In: ULB Institutional Repository.
[Citation analysis]		paper0
1982The model-building problem for nonstationary multivariate autoregressive processes In: ULB Institutional Repository.
[Citation analysis]		paper0
1982Nonstationary second-order moving average processes In: ULB Institutional Repository.
[Citation analysis]		paper0
1983Nonstationary second-order moving average processes II: model-building and invertibility In: ULB Institutional Repository.
[Citation analysis]		paper1
1993A Chernoff-Savage result for serial signed rank statistics In: ULB Institutional Repository.
[Citation analysis]		paper0
1996Tests sans biais, tests de permutation, tests invariants, tests de rangs In: ULB Institutional Repository.
[Citation analysis]		paper0
1996Eléments de la théorie asymptotique des expériences statistiques In: ULB Institutional Repository.
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1996Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek In: ULB Institutional Repository.
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1996Tests de rangs et tests de rangs signés pour le modèle linéaire général et les modèles autorégressifs In: ULB Institutional Repository.
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1997Unimodality and the asymptotics of M-estimators In: ULB Institutional Repository.
[Citation analysis]		paper0
1998Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests In: ULB Institutional Repository.
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1998Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests.(1998) In: ULB Institutional Repository.
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This paper has nother version. Agregated cites: 10		paper
2001Rank tests In: ULB Institutional Repository.
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2002Chernoff-Savage theorems, contiguity, differentiability in quadratic mean, Hoeffdings U statistics, Lebesgue decomposition, Le Cams first lemma, Le Cams third lemma, local asymptotic mixed normality, local asymptotic normality, oP and OP notation, rank autocorrelation coefficients, serial rank statistics, U-statistics In: ULB Institutional Repository.
[Citation analysis]		paper0
1984Modèles non stationnaires-Séries univariées et multivariées In: ULB Institutional Repository.
[Citation analysis]		paper0
1988Modèles non stationnaires-Séries univariées et multivariées.(1988) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
1986Locally asymptotically optimal tests for randomness In: ULB Institutional Repository.
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2004Optimal detection of periodicities in vector autoregressive models In: ULB Institutional Repository.
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1972Jeux à information incomplète In: ULB Institutional Repository.
[Citation analysis]		paper0
1973Jeux de survie économique et théorie moderne du risque In: ULB Institutional Repository.
[Citation analysis]		paper0
1973Stratégies subjectivement mixtes In: ULB Institutional Repository.
[Citation analysis]		paper0
1973Caractérisation des échelles de production optimales en avenir déterministe In: ULB Institutional Repository.
[Citation analysis]		paper0
1977Structures de coalition et problèmes de négociation: échanges dinformation dans les jeux à information incomplète In: ULB Institutional Repository.
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1980Jeux de marchandage et fonctions dutilité multidimensionnelles: comptes rendus du colloque Aide à la décision et jeux de stratégies, Institut des Hautes Etudes de Belgique, Bruxelles, Avril 1979 In: ULB Institutional Repository.
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1980Modèles non inversibles de séries chronologiques: comptes rendus du colloque Processus aléatoires et problèmes de prévision, Institut des Hautes Etudes de Belgique, Bruxelles, Avril 1980 In: ULB Institutional Repository.
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1982Une propriété des opérateurs moyenne-mobile: mélanges offerts au Professeur P.P. Gillis à loccasion de son 70e anniversaire In: ULB Institutional Repository.
[Citation analysis]		paper0
1995Comportement asymptotique de la moyenne et de la variance dune statistique de rangs sérielle simple In: ULB Institutional Repository.
[Citation analysis]		paper1
2006Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality In: ULB Institutional Repository.
[Citation analysis]		paper3
2006Discussion of Quantile autoregression, by Koenker and Xiao In: ULB Institutional Repository.
[Citation analysis]		paper1
2007Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks In: ULB Institutional Repository.
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