EconPapers    
Economics at your fingertips  
 

Details about Marc Hallin

E-mail:
Workplace:European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management, Université Libre de Bruxelles (Free University of Brussels), (more information at EDIRC)

Access statistics for papers by Marc Hallin.

Last updated 2017-09-23. Update your information in the RePEc Author Service.

Short-id: pha368


Jump to Journal Articles Editor

Working Papers

2017

  1. A Simple R-Estimation Method for Semiparametric Duration Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. On Distribution and Quantile Functions, Ranks and Signs in R_d
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  4. Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2016

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (9)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (9)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2017)
  2. Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
    Papers, arXiv.org Downloads
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (1)
  4. On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2015

  1. Elliptical Multiple Output Quantile Regression and Convex Optimization
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article in Statistics & Probability Letters (2016)
  2. Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (5)
  3. Monge-Kantorovich Depth, Quantiles, Ranks and Signs
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (1)
    Sciences Po publications, Sciences Po (2015) Downloads View citations (1)
  4. Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  5. Quantile Spectral Analysis for Locally Stationary Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (1)

2014

  1. Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article in Econometrics Journal (2016)
  2. Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. Quantile Spectral Processes: Asymptotic Analysis and Inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  4. Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2013

  1. A Serial Version of Hodges and Lehmann's "6/pi Result"
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Efficient R-Estimation of Principal and Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2014)
  3. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article in Stochastic Processes and their Applications (2013)
  4. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  5. On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
  6. R-Estimation for Asymmetric Independent Component Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2015)
  7. R-estimation in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

2012

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article in Journal of Econometrics (2015)
  2. Local Constant and Local Bilinear Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  3. Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2012) Downloads
  4. Signal Detection in High Dmension: The Multispiked Case
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2011

  1. A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
  2. A class of simple distribution-free rank-based unit root tests
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2011)
  3. Asymptotic Power of Sphericity Tests for High-Dimensional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (8)
  4. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2011)
  5. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  6. One-Sided Representations of Generalized Dynamic Factor Models
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) Downloads View citations (2)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2011) Downloads View citations (2)
  7. Optimal Rank-Based Tests for Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (5)
  8. Rank-based testing in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)

2010

  1. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (37)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (9)
  3. On the estimation of cross-information quantities in rank-based inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (4)
  4. Rank‐based Optimal Tests for Random Effects in Panel Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2009

  1. A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
  2. Optimal rank-based testing for principal component
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (9)

2008

  1. Dynamic Factors in the Presence of Block Structure
    Economics Working Papers, European University Institute Downloads View citations (5)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (10)
  2. On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. Semiparametrically efficient inference based on signs and ranks statistics for median-restricted models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2007

  1. Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Optimal tests for non-correlation between multivariate time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2006

  1. Discussion of Quantile autoregression, by Koenker and Xiao
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  2. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005) Downloads
    CIRANO Working Papers, CIRANO (2005) Downloads

    See also Journal Article in Journal of Econometrics (2006)
  3. Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  4. Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2003) Downloads View citations (2)

2005

  1. Testing non-correlation and non-causality between multivariate arma time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (5)
    See also Journal Article in Journal of Time Series Analysis (2005)
  2. Testing non-correlation between two multivariate ARMA time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (89)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (38)
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) Downloads View citations (51)
    Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (48)

    See also Journal Article in Journal of the American Statistical Association (2005)

2004

  1. Kernel density estimation for spatial processes: the L1 theory
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
    See also Journal Article in Journal of Multivariate Analysis (2004)
  2. Local linear spatial regression
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (19)
  3. Optimal detection of periodicities in vector autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2008)
  5. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (44)
    See also Journal Article in Journal of Econometrics (2004)

2003

  1. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (166)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (22)

    See also Journal Article in Journal of Monetary Economics (2003)
  2. Efficient detection of random coefficients in AR(p) models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  3. Efficient detection of random coefficients in autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
  4. Semiparametric efficiency, distribution-freeness and invariance
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (27)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (30)

2002

  1. Chernoff-Savage theorems, contiguity, differentiability in quadratic mean, Hoeffding's U statistics, Lebesgue decomposition, Le Cam's first lemma, Le Cam's third lemma, local asymptotic mixed normality, local asymptotic normality, oP and OP notation, rank autocorrelation coefficients, serial rank statistics, U-statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Estimation of the innovation quantile density function of an AR(p) process, based on autoregression quantiles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2001

  1. Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2001) View citations (1)
  2. Coincident and leading indicators for the Euro area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (110)
  3. Density estimation for spatial linear processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (22)
  4. Estimation in autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (122)
  6. Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  7. Projection de Hájek et polynômes de Bernstein
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  8. Rank tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  9. Sample heterogeneity and the asymptotics of M-estimators
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2000

  1. Kendall's tau for serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
  2. Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
  3. Rank-based partial autocorrelations are not asymptotically distribution-free
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article in Statistics & Probability Letters (2000)
  4. Rank-based partial correlograms are not asymptotically distribution-free
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (26)
  6. The efficiency of some nonparametric competitors to correlogram-based methods
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  7. The generalised dynamic factor model: identification and estimation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (274)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads View citations (266)

    See also Journal Article in The Review of Economics and Statistics (2000)

1999

  1. Adaptive estimation of the lag of a long-memory process
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article in Statistical Inference for Stochastic Processes (1998)
  2. L1-estimation in linear models with heterogeneous white noise
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article in Statistics & Probability Letters (1999)
  3. Local asymptotic normality for regression models with long-memory disturbance, with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  4. Nonparametric tests of independence between two autoregressive series based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  5. Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  6. Optimal tests for autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
  7. Rank-Based Autoregressive Order Identification
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  8. Rank-based AR order identification
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1998

  1. Characterization of error distributions in time series regression models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1998)

    See also Journal Article in Statistics & Probability Letters (1998)
  2. Generalized run tests for heteroscedastic time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
  3. Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  4. Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1998) View citations (1)
  5. Spectral factorization of periodically correlated MA(1) processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1997

  1. A Berry-Esséen theorem for serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1995)

    See also Journal Article in Annals of the Institute of Statistical Mathematics (1997)
  2. A Berry-Esséen theorem for simple serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Non-parametric tests in ar models with applications to climatic data
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  4. Nonparametric AR order identification with application to climatic data
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. Unimodality and the asymptotics of M-estimators
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  6. When does Edgeworth beat Berry and Esséen?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  7. When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1996

  1. A simple proof of asymptotic normality for simple serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Eléments de la théorie asymptotique des expériences statistiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Is 131,000 a large sample size? a numerical study of Edgeworth expansions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    See also Journal Article in Annals of the Institute of Statistical Mathematics (1996)
  5. Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  6. Kernel density estimation on random fields: the L1 theory
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
  7. Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  8. Locally optimal tests against periodic autoregression: parametric and nonparametric approaches
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article in Econometric Theory (1996)
  9. Order selection, stochastic complexity and Kullback-Leibler information
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  10. Rank-based tests for autoregressive against bilinear serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  11. Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  12. Tests de rangs et tests de rangs signés pour le modèle linéaire général et les modèles autorégressifs
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  13. Tests sans biais, tests de permutation, tests invariants, tests de rangs
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  14. The asymptotic behavior of the characteristic function of simple serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1995

  1. A multivariate Wald-Wolfowitz rank test against serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  2. Comportement asymptotique de la moyenne et de la variance d'une statistique de rangs sérielle simple
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  3. Local asymptotic normality of multivariate ARMA processes with a linear trend
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    Also in Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1992)

    See also Journal Article in Annals of the Institute of Statistical Mathematics (1995)

1994

  1. Aligned rank tests for linear models with autocorrelated errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
  2. Asymptotic influence of initial values on parametric and rank-based measures of residual autocorrelation: proceedings of the colloque de mathématiques appliquées, April 1993, Oujda
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Les séquences généralisées, outil pour l'analyse des séries hétéroscédastiques? conférence prononcée à l'occasion de la remise du prix du statisticien d'expression française
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. On the Pitman nonadmissibility of correlogram-based time series methods
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
  5. On the invertibility of periodic moving-average models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)

1993

  1. A Chernoff-Savage result for serial signed rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (14)
    Also in Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)

1992

  1. Aligned Rank tests for Linear Models with Autocorrelated Error Terms
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (1994)
  2. Improved Berry-Esséen-Chebyshev bounds with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1989)

    See also Journal Article in Econometric Theory (1992)
  3. Optimal rank-based tests against first-order superdiagonal bilinear dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  4. Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads
  5. Rank Tests for Time Series Analysis, A Survey
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (16)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1992) View citations (6)
  6. Simple exact bounds for distributions of linear signed rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1990) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)
  7. Some asymptotic results for a broad class of nonparametric statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1991

  1. An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990)
  2. Nonuniform bounds for nonparametric t-tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article in Econometric Theory (1991)
  3. Rank tests for time-series analysis: a bibliographical survey
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Time series analysis via rank-order theory, signed-rank tests for ARMA models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article in Journal of Multivariate Analysis (1991)

1990

  1. Distribution-free tests against serial dependence: signed or unsigned ranks?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads

1989

  1. Asymptotically most powerful rank tests for multivariate randomness against serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (1989)
  2. Contribution to "Discussion of the paper by Bruce and Martin"
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads
  3. ON A CONJECTURE OF EDELMAN ON NONPARAMETRIC T-TESTS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1988

  1. Locally asymptomatically rank-based procedures for testing autoregressive moving average dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Modèles non stationnaires-Séries univariées et multivariées
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1984)
  4. On locally asymptotically maximin tests for ARMA processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
  6. Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
  7. Rank-based tests for randomness against first-order serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
  8. Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1987

  1. Fractions continuées matricielles et matrices-bandes définies positives infinies
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. La recherche opérationnelle par l'exemple II: théorie des graphes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Linear and quadratic serial rank tests for randomness against serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
  4. Tests non paramétriques optimaux pour une autorégression d'ordre un
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986)

1986

  1. La recherche opérationnelle par l'exemple I: P+B141 programmation linéaire
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Les tests de rangs dans l'analyse des séries chronologiques: comptes rendus du colloque Approches non paramétriques en analyse chronologique, Institut des Hautes Etudes de Belgique, Bruxelles, Septembre 1985
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Locally asymptotically optimal tests for randomness
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
  5. On fractional linear bounds for probability generating functions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  6. Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  7. Tests de rangs localement optimaux pour une hypothèse de bruit blanc multivarié
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  8. Tests de rangs pour une contre-hypothèse de dépendance ARMA multivariée contigue: comptes rendus du colloque Approches non paramétriques en analyse chronologique, Institut des Hautes Etudes de Belgique, Bruxelles, Septembre 1985
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1985

  1. From premium calculation to premium rating
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Linear serial rank tests for randomness against ARMA alternatives
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (20)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1984) View citations (4)
  3. Tests de rangs linéaires pour une hypothèse de bruit blanc
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Tests de rangs quadratiques pour une hypothèse de bruit blanc
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1984

  1. Efficacité asymptotique relative de quelques statistiques de rangs pour le test d'une autorégression d'ordre un
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Spectral factorization of nonstationary moving average processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1983

  1. Nonstationary Yule-Walker equations
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article in Statistics & Probability Letters (1983)
  2. Nonstationary second-order moving average processes II: model-building and invertibility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. The Swedish automobile portfolio in 1977: a statistical study
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  4. The theoretical model-building problem for nonstationary moving average processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1982

  1. Moving average models for time-dependent autocovariance functions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Nonstationary second-order moving average processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. The model-building problem for nonstationary multivariate autoregressive processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Une propriété des opérateurs moyenne-mobile: mélanges offerts au Professeur P.P. Gillis à l'occasion de son 70e anniversaire
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1981

  1. Addendum to Invertibility and generalized invertibility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Etude statistique de la probabilité de sinistre en assurance automobile
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article in ASTIN Bulletin: The Journal of the International Actuarial Association (1981)
  3. Nonstationary first-order moving average processes: the model-building problem
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1980

  1. Invertibility and generalized invertibility of time-series models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  2. Jeux de marchandage et fonctions d'utilité multidimensionnelles: comptes rendus du colloque Aide à la décision et jeux de stratégies, Institut des Hautes Etudes de Belgique, Bruxelles, Avril 1979
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Modèles non inversibles de séries chronologiques: comptes rendus du colloque Processus aléatoires et problèmes de prévision, Institut des Hautes Etudes de Belgique, Bruxelles, Avril 1980
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1978

  1. Band strategies: the random walk of reserves
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  2. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article in Journal of Multivariate Analysis (1978)

1977

  1. Etude statistique des facteurs influençant un risque
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Méthodes statistiques de construction de tarifs
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Subjectively mixed strategies: the public event case
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1976)

1973

  1. Caractérisation des échelles de production optimales en avenir déterministe
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Jeux de survie économique et théorie moderne du risque
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Stratégies subjectivement mixtes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1972

  1. Jeux à information incomplète
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

Journal Articles

2017

  1. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
    Journal of Econometrics, 2017, 199, (1), 74-92 Downloads View citations (1)
    See also Working Paper (2016)
  2. R-estimation in semiparametric dynamic location-scale models
    Journal of Econometrics, 2017, 196, (2), 233-247 Downloads

2016

  1. Elliptical multiple-output quantile regression and convex optimization
    Statistics & Probability Letters, 2016, 109, (C), 232-237 Downloads View citations (1)
    See also Working Paper (2015)
  2. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 Downloads
    See also Working Paper (2014)
  3. Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
    Journal of Econometrics, 2016, 190, (1), 46-61 Downloads View citations (1)

2015

  1. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 Downloads View citations (12)
    See also Working Paper (2012)
  2. Dynamic functional principal components
    Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 Downloads View citations (7)
  3. R -Estimation for Asymmetric Independent Component Analysis
    Journal of the American Statistical Association, 2015, 110, (509), 218-232 Downloads View citations (2)
    See also Working Paper (2013)

2014

  1. Efficient R-Estimation of Principal and Common Principal Components
    Journal of the American Statistical Association, 2014, 109, (507), 1071-1083 Downloads View citations (3)
    See also Working Paper (2013)

2013

  1. Editors’ Note
    International Statistical Review, 2013, 81, (1), 1-1 Downloads
  2. Factor models in high-dimensional time series—A time-domain approach
    Stochastic Processes and their Applications, 2013, 123, (7), 2678-2695 Downloads View citations (2)
    See also Working Paper (2013)
  3. New Book Review Editor for the International Statistical Review
    International Statistical Review, 2013, 81, (3), 337-337 Downloads
  4. One-step R-estimation in linear models with stable errors
    Journal of Econometrics, 2013, 172, (2), 195-204 Downloads View citations (9)

2012

  1. Editors’ Note
    International Statistical Review, 2012, 80, (1), 1-1 Downloads
  2. Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels
    Journal of Econometrics, 2012, 170, (1), 50-67 Downloads

2011

  1. A class of simple distribution-free rank-based unit root tests
    Journal of Econometrics, 2011, 163, (2), 200-214 Downloads View citations (3)
    See also Working Paper (2011)
  2. Dynamic factors in the presence of blocks
    Journal of Econometrics, 2011, 163, (1), 29-41 Downloads View citations (18)
  3. Market liquidity as dynamic factors
    Journal of Econometrics, 2011, 163, (1), 42-50 Downloads View citations (10)
    See also Working Paper (2011)

2009

  1. Optimal tests for homogeneity of covariance, scale, and shape
    Journal of Multivariate Analysis, 2009, 100, (3), 422-444 Downloads View citations (5)

2008

  1. Semiparametrically efficient inference based on signs and ranks for median-restricted models
    Journal of the Royal Statistical Society Series B, 2008, 70, (2), 389-412 Downloads View citations (1)
    See also Working Paper (2004)

2007

  1. Determining the Number of Factors in the General Dynamic Factor Model
    Journal of the American Statistical Association, 2007, 102, 603-617 Downloads View citations (152)
  2. Optimal Tests of Noncorrelation Between Multivariate Time Series
    Journal of the American Statistical Association, 2007, 102, 938-951 Downloads

2006

  1. Comment
    Journal of the American Statistical Association, 2006, 101, 996-998 Downloads
  2. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    Journal of Econometrics, 2006, 130, (1), 123-142 Downloads View citations (2)
    See also Working Paper (2006)
  3. Parametric and semiparametric inference for shape: the role of the scale functional
    Statistics & Risk Modeling, 2006, 24, (3), 24 Downloads View citations (8)

2005

  1. Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
    Journal of Multivariate Analysis, 2005, 93, (1), 122-163 Downloads View citations (13)
  2. Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series
    Journal of Time Series Analysis, 2005, 26, (1), 83-105 Downloads View citations (7)
    See also Working Paper (2005)
  3. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 Downloads View citations (338)
    See also Working Paper (2005)

2004

  1. Kernel density estimation for spatial processes: the L1 theory
    Journal of Multivariate Analysis, 2004, 88, (1), 61-75 Downloads View citations (13)
    See also Working Paper (2004)
  2. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 Downloads View citations (141)
    See also Working Paper (2004)

2003

  1. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 Downloads View citations (135)
    See also Working Paper (2003)

2000

  1. Rank-based partial autocorrelations are not asymptotically distribution-free
    Statistics & Probability Letters, 2000, 47, (3), 219-227 Downloads
    See also Working Paper (2000)
  2. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 Downloads View citations (652)
    See also Working Paper (2000)

1999

  1. L1-estimation in linear models with heterogeneous white noise
    Statistics & Probability Letters, 1999, 45, (4), 305-315 Downloads View citations (1)
    See also Working Paper (1999)

1998

  1. Adaptive Estimation of the Lag of a Long–memory Process
    Statistical Inference for Stochastic Processes, 1998, 1, (2), 111-129 Downloads
    See also Working Paper (1999)
  2. Characterization of error distributions in time-series regression models
    Statistics & Probability Letters, 1998, 38, (4), 335-345 Downloads
    See also Working Paper (1998)

1997

  1. A Berry-Esséen Theorem for Serial Rank Statistics
    Annals of the Institute of Statistical Mathematics, 1997, 49, (4), 777-799 Downloads View citations (1)
    See also Working Paper (1997)

1996

  1. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    Annals of the Institute of Statistical Mathematics, 1996, 48, (3), 429-449 Downloads View citations (5)
    See also Working Paper (1996)
  2. Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
    Econometric Theory, 1996, 12, (01), 88-112 Downloads View citations (1)
    See also Working Paper (1996)

1995

  1. Local asymptotic normality of multivariate ARMA processes with a linear trend
    Annals of the Institute of Statistical Mathematics, 1995, 47, (3), 551-579 Downloads View citations (3)
    See also Working Paper (1995)

1994

  1. Aligned Rank Tests for Linear Models with Autocorrelated Error Terms
    Journal of Multivariate Analysis, 1994, 50, (2), 175-237 Downloads View citations (17)
    See also Working Paper (1992)

1992

  1. Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
    Econometric Theory, 1992, 8, (02), 223-240 Downloads
    See also Working Paper (1992)

1991

  1. Nonuniform Bounds for Nonparametric t-Tests
    Econometric Theory, 1991, 7, (02), 253-263 Downloads View citations (8)
    See also Working Paper (1991)
  2. Time series analysis via rank order theory: Signed-rank tests for ARMA models
    Journal of Multivariate Analysis, 1991, 39, (1), 1-29 Downloads View citations (4)
    See also Working Paper (1991)

1989

  1. Asymptotically most powerful rank tests for multivariate randomness against serial dependence
    Journal of Multivariate Analysis, 1989, 30, (1), 34-71 Downloads View citations (2)
    See also Working Paper (1989)

1987

  1. Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
    Annals of Economics and Statistics, 1987, (6-7), 411-434 Downloads

1983

  1. Nonstationary Yule-Walker equations
    Statistics & Probability Letters, 1983, 1, (4), 189-195 Downloads View citations (2)
    See also Working Paper (1983)

1981

  1. Étude Statistique de la Probabilité de Sinistre en Assurance Automobile
    ASTIN Bulletin: The Journal of the International Actuarial Association, 1981, 12, (01), 40-56 Downloads
    See also Working Paper (1981)

1978

  1. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
    Journal of Multivariate Analysis, 1978, 8, (4), 567-572 Downloads View citations (6)
    See also Working Paper (1978)

Editor

  1. International Statistical Review
    International Statistical Institute
  2. Statistical Inference for Stochastic Processes
    Springer
 
Page updated 2017-09-24