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Details about Alain Hecq

E-mail:
Homepage:http://researchers-sbe.unimaas.nl/alainhecq/
Postal address:University of Maastricht Dept. of Quantitative Economics P.O.Box 616 6200 MD Maastricht The Netherlands
Workplace:Vakgroep Kwantitatieve Economie (Department of Quantitative Economics), School of Business and Economics, Maastricht University, (more information at EDIRC)

Access statistics for papers by Alain Hecq.

Last updated 2017-06-07. Update your information in the RePEc Author Service.

Short-id: phe63


Jump to Journal Articles

Working Papers

2017

  1. Detecting Co-Movements in Noncausal Time Series
    MPRA Paper, University Library of Munich, Germany Downloads

2016

  1. A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (1)

    See also Journal Article in International Journal of Forecasting (2017)
  2. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. On the Univariate Representation of BEKK Models with Common Factors
    Post-Print, HAL
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) Downloads View citations (4)

    See also Journal Article in Journal of Time Series Econometrics (2016)
  4. Testing for Deterministic Seasonality in Mixed-Frequency VARs
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads
    See also Journal Article in Economics Letters (2016)
  5. Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) Downloads View citations (1)

2015

  1. Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (3)
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2014) Downloads
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2013) Downloads View citations (1)

    See also Journal Article in International Journal of Forecasting (2015)
  2. Identification of Mixed Causal-Noncausal Models: How Fat Should We Go?
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads View citations (2)
  3. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (2)
    Also in Working Papers, HAL (2015) Downloads View citations (2)
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (2)
  4. Testing for Granger Causality in Large Mixed-Frequency VARs
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads View citations (1)
    Also in Discussion Papers, Deutsche Bundesbank, Research Centre (2015) Downloads
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2014) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2016)

2014

  1. Combining distributions of real-time forecasts: An application to U.S. growth
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) Downloads View citations (2)

2013

  1. Nowcasting causality in mixed frequency vector autoregressive models
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads View citations (1)
    See also Journal Article in Economics Letters (2014)
  2. Testing for common cycles in non-stationary VARs with varied frecquency data
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads View citations (15)
  3. Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2012

  1. A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (7)
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2012) Downloads View citations (3)
  2. A General to Specific Approach for Constructing Composite Business Cycle Indicators
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
    See also Journal Article in Economic Modelling (2013)
  3. Forecasting Mixed Frequency Time Series with ECM-MIDAS Models
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (6)
    See also Journal Article in Journal of Forecasting (2014)

2011

  1. Are Panel Unit Root Tests Useful for Real-Time Data?
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
  2. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (8)
    See also Journal Article in Journal of Financial Econometrics (2011)
  3. On the Univariate Representation of Multivariate Volatility Models with Common Factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)

2009

  1. Testing for Common Autocorrelation in Data Rich Environments
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
    See also Journal Article in Journal of Forecasting (2011)

2008

  1. Common Shocks, Common Dynamics, and the International Business Cycle
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (8)
    Also in Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI (2003) Downloads View citations (8)

    See also Journal Article in Economic Modelling (2007)
  2. Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    See also Journal Article in Journal of Econometrics (2009)

2007

  1. Macro-panels and Reality
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
    See also Journal Article in Economics Letters (2008)
  2. Studying Co-movements in Large Multivariate Models Without Multivariate Modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (5)

2006

  1. Measuring the Sources of Cyclical Fluctuations in the G7 Economies
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (2)

2005

  1. Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (3)

2003

  1. The Role of Common Cyclical Features for Coincident and Leading Indexes Building
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (1)

2002

  1. Multi-Regime Common Cyclical Features
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
  2. Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (17)
    See also Journal Article in Econometric Reviews (2002)

2001

  1. Testing for Common Cyclical Features in Var Models with Cointegration
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (28)

2000

  1. Determining a perfect optimum currency area using common cycles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Labor Mobility in Belgium: An Empirical Analysis of the Relationship between Provincial Employment Dynamics and Migration
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (1)
  3. Testing for Common Cyclical Features in Nonstationary Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)

1999

  1. Convergence des groupes en Europe: une analyse sur données régionales
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
  2. Inference in codependence: some Monte Carlo results and applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article in Annals of Economics and Statistics (1999)

1998

  1. Codependence and convergence in the EC economies
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article in Journal of Policy Modeling (1998)
  2. Stability of Okun's Law in a Codependent System
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (6)

1997

  1. Asymmetric shocks inside future EMU
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
    See also Journal Article in Journal of Economic Integration (1997)

1992

  1. Rapport de recherche relatif au développement des comptes des entreprises et des ménages dans le cadre du système européen des comptes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

Journal Articles

2017

  1. A vector heterogeneous autoregressive index model for realized volatility measures
    International Journal of Forecasting, 2017, 33, (2), 337-344 Downloads View citations (1)
    See also Working Paper (2016)

2016

  1. Combining forecasts from successive data vintages: An application to U.S. growth
    International Journal of Forecasting, 2016, 32, (1), 61-74 Downloads View citations (2)
  2. Identification of Mixed Causal-Noncausal Models in Finite Samples
    Annals of Economics and Statistics, 2016, (123-124), 307-331 Downloads View citations (2)
  3. On the Univariate Representation of BEKK Models with Common Factors
    Journal of Time Series Econometrics, 2016, 8, (2), 91-113 Downloads View citations (2)
    See also Working Paper (2016)
  4. Testing for Granger causality in large mixed-frequency VARs
    Journal of Econometrics, 2016, 193, (2), 418-432 Downloads View citations (1)
    See also Working Paper (2015)
  5. Testing for deterministic seasonality in mixed-frequency VARs
    Economics Letters, 2016, 149, (C), 20-24 Downloads
    See also Working Paper (2016)

2015

  1. Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions
    International Journal of Forecasting, 2015, 31, (3), 862-875 Downloads View citations (3)
    See also Working Paper (2015)

2014

  1. Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
    Journal of Forecasting, 2014, 33, (3), 198-213 Downloads View citations (10)
    See also Working Paper (2012)
  2. Nowcasting causality in mixed frequency vector autoregressive models
    Economics Letters, 2014, 122, (1), 74-78 Downloads View citations (9)
    See also Working Paper (2013)

2013

  1. A general to specific approach for constructing composite business cycle indicators
    Economic Modelling, 2013, 33, (C), 367-374 Downloads View citations (2)
    See also Working Paper (2012)

2011

  1. Common Intraday Periodicity
    Journal of Financial Econometrics, 2011, 10, (2), 325-353 Downloads View citations (2)
    See also Working Paper (2011)
  2. Testing for common autocorrelation in data‐rich environments
    Journal of Forecasting, 2011, 30, (3), 325-335 Downloads View citations (16)
    See also Working Paper (2009)

2009

  1. Asymmetric business cycle co-movements
    Applied Economics Letters, 2009, 16, (6), 579-584 Downloads View citations (2)
  2. Studying co-movements in large multivariate data prior to multivariate modelling
    Journal of Econometrics, 2009, 148, (1), 25-35 Downloads View citations (12)
    See also Working Paper (2008)

2008

  1. Macro-panels and reality
    Economics Letters, 2008, 99, (3), 537-540 Downloads View citations (5)
    See also Working Paper (2007)

2007

  1. Common shocks, common dynamics, and the international business cycle
    Economic Modelling, 2007, 24, (1), 149-166 Downloads View citations (13)
    See also Working Paper (2008)

2006

  1. Common cyclical features analysis in VAR models with cointegration
    Journal of Econometrics, 2006, 132, (1), 117-141 Downloads View citations (37)

2005

  1. Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
    Journal of International Money and Finance, 2005, 24, (8), 1317-1334 Downloads View citations (26)
  2. Should we really care about building business cycle coincident indexes!
    Applied Economics Letters, 2005, 12, (3), 141-144 Downloads View citations (2)

2002

  1. SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
    Econometric Reviews, 2002, 21, (3), 273-307 Downloads View citations (18)
    See also Working Paper (2002)

2001

  1. On non-contemporaneous short-run co-movements
    Economics Letters, 2001, 73, (3), 389-397 Downloads View citations (37)

2000

  1. Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach
    Empirica, 2000, 27, (2), 115-132 Downloads View citations (3)
  2. Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles
    Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 511-32 Downloads View citations (40)
  3. Stability of activity-unemployment relationship in a codependent system
    Applied Economics Letters, 2000, 7, (10), 687-693 Downloads

1999

  1. Inference in Codependence: Some Monte Carlo Results and Applications
    Annals of Economics and Statistics, 1999, (54), 69-90 Downloads
    See also Working Paper (1999)

1998

  1. Codependence and Convergence in the EC Economies
    Journal of Policy Modeling, 1998, 20, (4), 403-426 Downloads View citations (4)
    See also Working Paper (1998)
  2. Does seasonal adjustment induce common cycles?
    Economics Letters, 1998, 59, (3), 289-297 Downloads View citations (13)

1997

  1. Asymmetric Shocks Inside Future EMU
    Journal of Economic Integration, 1997, 12, 131-140 View citations (7)
    See also Working Paper (1997)
  2. Testing for the Price- and Wage-Setting Model in Belgium Using Multivariate Cointegration Tests
    LABOUR, 1997, 11, (1), 177-199 Downloads View citations (1)

1996

  1. IGARCH effect on autoregressive lag length selection and causality tests
    Applied Economics Letters, 1996, 3, (5), 317-323 Downloads View citations (6)

1995

  1. Unit root tests with level shift in the presence of GARCH
    Economics Letters, 1995, 49, (2), 125-130 Downloads View citations (3)

1993

  1. Misspecification tests, unit roots and level shifts
    Economics Letters, 1993, 43, (2), 129-135 Downloads View citations (6)

1992

  1. L'impact du changement de définition de l'indice des prix de gros en Belgique sur la causalité prix de gros/prix de détail
    Brussels Economic Review, 1992, 136, 491-514 Downloads
 
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