Marc Hallin : Citation Profile

Are you Marc Hallin?

Université Libre de Bruxelles

22

H index

44

i10 index

4161

Citations

RESEARCH PRODUCTION:

73

Articles

293

Papers

RESEARCH ACTIVITY:

   52 years (1972 - 2024). See details.
   Cites by year: 80
   Journals where Marc Hallin has often published
   Relations with other researchers
   Recent citing documents: 209.    Total self citations: 145 (3.37 %)

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   Permalink: http://citec.repec.org/pha368
   Updated: 2024-12-03    RAS profile: 2024-08-08    
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Relations with other researchers

Works with:

Barigozzi, Matteo (14)

Trucíos, Carlos (8)

Soccorsi, Stefano (6)

Hotta, Luiz (6)

Valls Pereira, Pedro (6)

Zevallos, Mauricio (3)

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

Is cited by:

Marcellino, Massimiliano (119)

Forni, Mario (105)

Lippi, Marco (93)

Giannone, Domenico (89)

Barigozzi, Matteo (86)

Reichlin, Lucrezia (80)

Kapetanios, George (79)

Luciani, Matteo (70)

GUPTA, RANGAN (59)

Pesaran, Mohammad (57)

Giovannelli, Alessandro (47)

Cites to:

Forni, Mario (254)

Lippi, Marco (243)

Reichlin, Lucrezia (173)

Barigozzi, Matteo (82)

Giannone, Domenico (69)

Zaffaroni, Paolo (67)

Bai, Jushan (59)

Chernozhukov, Victor (58)

Ng, Serena (57)

Henry, Marc (55)

Watson, Mark (53)

Main data

Where Marc Hallin has published?

Journals with more than one article published# docs
Journal of Econometrics16
Journal of Multivariate Analysis8
Statistics & Probability Letters5
Journal of the American Statistical Association4
Journal of the American Statistical Association4
Statistical Inference for Stochastic Processes4
International Statistical Review3
Econometric Theory3
Annals of the Institute of Statistical Mathematics3
Journal of the Royal Statistical Society Series B3
Journal of Nonparametric Statistics3
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles148
Working Papers ECARES / ULB -- Universite Libre de Bruxelles75
CEPR Discussion Papers / C.E.P.R. Discussion Papers6
Papers / arXiv.org5
CeMMAP working papers / Institute for Fiscal Studies2
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2
SciencePo Working papers Main / HAL2
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)2
Post-Print / HAL2
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

Recent works citing Marc Hallin (2024 and 2023)

YearTitle of citing document
2024Quasi 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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2024Tensor 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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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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2024CP Factor Model for Dynamic Tensors. (2021). Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

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

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

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2024Finite Sample Inference in Incomplete Models. (2022). Henry, Marc ; Li, Lixiong. In: Papers. RePEc:arx:papers:2204.00473.

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2024Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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

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

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

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

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

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2024Quasi 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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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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

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2024Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454.

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

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

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

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

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

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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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2024Sixty years of global inflation: a post-GFC update. (2024). Schoenle, Raphael ; Pedemonte, Mathieu ; Auer, 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). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes. (2009). Aknouche, Abdelhakim ; Bibi, Abdelouahab . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:1:p:19-46.

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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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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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2023A multi-country trend indicator for euro area inflation: computation and properties. (2001). Mestre, Ricardo ; Henry, Jerome ; Angelini, Elena ; Angeline, E.. In: Working Paper Series. RePEc:ecb:ecbwps:20010060.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. 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). Rauf, Abdul ; Du, Yuting ; Naeem, Muhammad Abubakr ; Zhang, XU. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000194.

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

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

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2024Predicting tourism recovery from COVID-19: A time-varying perspective. (2024). Song, Haiyan ; Liu, Han ; Wen, Long. 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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2023Exploring the distribution of organic farming: Findings from certified rice in Taiwan. (2023). Cheng, Chia-Yi ; Lu, Chen-Fu. In: Ecological Economics. RePEc:eee:ecolec:v:212:y:2023:i:c:s0921800923001787.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2023Linear panel regressions with two-way unobserved heterogeneity. (2023). Weidner, Martin ; Freeman, Hugo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002142.

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2024Rank-based max-sum tests for mutual independence of high-dimensional random vectors. (2024). Feng, Long ; Liu, Binghui ; Wang, Hongfei ; Ma, Yanyuan. 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). Zhu, Liping ; Zhang, Zheng ; Sun, Li-Hsien ; Ai, Chunrong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407622001609.

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

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

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

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

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

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

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

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

Works by Marc Hallin:

YearTitleTypeCited
1987Tests non paramétriques optimaux pour le modéle autorégressif dordre un In: Annals of Economics and Statistics.
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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness In: LIDAM Discussion Papers ISBA.
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2020Time-varying general dynamic factor models and the measurement of financial connectedness.(2020) In: LIDAM Reprints ISBA.
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This paper has nother version. Agregated cites: 17		paper
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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1982The model-building problem for nonstationary multivariate autoregressive processes In: ULB Institutional Repository.
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1977Structures de coalition et problèmes de négociation: échanges dinformation dans les jeux à information incomplète In: ULB Institutional Repository.
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