Details about Marc Hallin

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)

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Short-id: pha368

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Working Papers

2013

A Serial Version of Hodges and Lehmann's "6/pi Result"
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
Efficient R-Estimation of Principal and Common Principal Components
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
See also Journal Article Efficient R-Estimation of Principal and Common Principal Components, Journal of the American Statistical Association, Taylor & Francis Journals (2014) View citations (8) (2014)
Factor Models in High-Dimensional Time Series: A Time-Domain Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (42)
See also Journal Article Factor models in high-dimensional time series—A time-domain approach, Stochastic Processes and their Applications, Elsevier (2013) View citations (19) (2013)
Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (7)
R-Estimation for Asymmetric Independent Component Analysis
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
See also Journal Article R -Estimation for Asymmetric Independent Component Analysis, Journal of the American Statistical Association, Taylor & Francis Journals (2015) View citations (11) (2015)

2012

Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
See also Journal Article Dynamic factor models with infinite-dimensional factor spaces: One-sided representations, Journal of Econometrics, Elsevier (2015) View citations (91) (2015)
Local Constant and Local Bilinear Multiple-Output Quantile Regression
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2012)
Discussion Paper, Tilburg University, Center for Economic Research (2012)
Signal Detection in High Dmension: The Multispiked Case
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)

2011

A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) View citations (3)
A class of simple distribution-free rank-based unit root tests
Post-Print, HAL View citations (12)
See also Journal Article A class of simple distribution-free rank-based unit root tests, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)
Asymptotic Power of Sphericity Tests for High-Dimensional Data
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
Market liquidity as dynamic factors
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (15)
See also Journal Article Market liquidity as dynamic factors, Journal of Econometrics, Elsevier (2011) View citations (16) (2011)
Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
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 View citations (3)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) View citations (3)
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2011) View citations (3)
Optimal Rank-Based Tests for Common Principal Components
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (9)
Rank-based testing in linear models with stable errors
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
See also Journal Article Rank-based testing in linear models with stable errors, Journal of Nonparametric Statistics, Taylor & Francis Journals (2011) View citations (3) (2011)

2010

Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (108)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (14)
On the estimation of cross-information quantities in rank-based inference
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (8)
Rank‐based Optimal Tests for Random Effects in Panel Data
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2009

A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
Optimal rank-based testing for principal component
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (15)

2008

Dynamic Factors in the Presence of Block Structure
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
Also in Economics Working Papers, European University Institute (2008) View citations (10)
On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
Semiparametrically efficient inference based on signs and ranks statistics for median-restricted models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)

2007

Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Optimal tests for non-correlation between multivariate time series
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
See also Journal Article Optimal Tests of Noncorrelation Between Multivariate Time Series, Journal of the American Statistical Association, American Statistical Association (2007) View citations (5) (2007)

2006

Discussion of Quantile autoregression, by Koenker and Xiao
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ (2005)
CIRANO Working Papers, CIRANO (2005)
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005)
See also Journal Article Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, Journal of Econometrics, Elsevier (2006) View citations (3) (2006)
Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2003)
Discussion Paper, Tilburg University, Center for Economic Research (2003) View citations (3)

2005

Testing non-correlation and non-causality between multivariate arma time series
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (14)
See also Journal Article Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (12) (2005)
The generalised dynamic factor model: one sided estimation and forecasting
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (526)
Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (64)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (47)
LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) View citations (56)
See also Journal Article The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting, Journal of the American Statistical Association, American Statistical Association (2005) View citations (589) (2005)

2004

Kernel density estimation for spatial processes: the L1 theory
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (24)
See also Journal Article Kernel density estimation for spatial processes: the L1 theory, Journal of Multivariate Analysis, Elsevier (2004) View citations (26) (2004)
Local linear spatial regression
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (44)
Optimal detection of periodicities in vector autoregressive models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2004) View citations (1)
See also Journal Article Semiparametrically efficient inference based on signs and ranks for median‐restricted models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2008) View citations (3) (2008)
The generalised dynamic factor model: consistency and rates
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (106)
See also Journal Article The generalized dynamic factor model consistency and rates, Journal of Econometrics, Elsevier (2004) View citations (200) (2004)

2003

Do financial variables help forecasting inflation and real activity in the Euro area ?
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (256)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (26)
See also Journal Article Do financial variables help forecasting inflation and real activity in the euro area?, Journal of Monetary Economics, Elsevier (2003) View citations (253) (2003)
Efficient detection of random coefficients in AR(p) models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
Efficient detection of random coefficients in autoregressive models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
Semiparametric efficiency, distribution-freeness and invariance
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (48)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (54)

2002

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
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

Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Coincident and leading indicators for the Euro area
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (150)
Density estimation for spatial linear processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (36)
Estimation in autoregressive models based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (150)
Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
Projection de Hájek et polynômes de Bernstein
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Rank tests
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Sample heterogeneity and the asymptotics of M-estimators
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2000

Kendall's tau for serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (15)
Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
Rank-based partial autocorrelations are not asymptotically distribution-free
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
See also Journal Article Rank-based partial autocorrelations are not asymptotically distribution-free, Statistics & Probability Letters, Elsevier (2000) (2000)
Rank-based partial correlograms are not asymptotically distribution-free
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Reference Cycles: The NBER Methodology Revisited
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
The efficiency of some nonparametric competitors to correlogram-based methods
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
The generalised dynamic factor model: identification and estimation
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (667)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (331)
See also Journal Article The Generalized Dynamic-Factor Model: Identification And Estimation, The Review of Economics and Statistics, MIT Press (2000) View citations (1118) (2000)

1999

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 Adaptive Estimation of the Lag of a Long–memory Process, Statistical Inference for Stochastic Processes, Springer (1998) (1998)
L1-estimation in linear models with heterogeneous white noise
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
See also Journal Article L1-estimation in linear models with heterogeneous white noise, Statistics & Probability Letters, Elsevier (1999) View citations (4) (1999)
Local asymptotic normality for regression models with long-memory disturbance, with statistical applications
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
Nonparametric tests of independence between two autoregressive series based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
Optimal tests for autoregressive models based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
Rank-Based Autoregressive Order Identification
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
Rank-based AR order identification
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1998

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 Characterization of error distributions in time-series regression models, Statistics & Probability Letters, Elsevier (1998) (1998)
Generalized run tests for heteroscedastic time series
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
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 (1)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1998) View citations (14)
Spectral factorization of periodically correlated MA(1) processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1997

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 A Berry-Esséen Theorem for Serial Rank Statistics, Annals of the Institute of Statistical Mathematics, Springer (1997) View citations (1) (1997)
A Berry-Esséen theorem for simple serial rank statistics
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Non-parametric tests in AR models with applications to climatic data
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1997) View citations (1)
Unimodality and the asymptotics of M-estimators
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
When does Edgeworth beat Berry and Esséen?
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1996

A simple proof of asymptotic normality for simple serial rank statistics
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
Eléments de la théorie asymptotique des expériences statistiques
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Is 131,000 a large sample size? a numerical study of Edgeworth expansions
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
See also Journal Article Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation, Annals of the Institute of Statistical Mathematics, Springer (1996) View citations (7) (1996)
Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
Kernel density estimation on random fields: the L1 theory
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (27)
Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
Locally optimal tests against periodic autoregression: parametric and nonparametric approaches
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
See also Journal Article Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches, Econometric Theory, Cambridge University Press (1996) View citations (1) (1996)
Order selection, stochastic complexity and Kullback-Leibler information
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Rank-based tests for autoregressive against bilinear serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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
Tests sans biais, tests de permutation, tests invariants, tests de rangs
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
The asymptotic behavior of the characteristic function of simple serial rank statistics
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1995

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)
Local asymptotic normality of multivariate ARMA processes with a linear trend
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (14)
Also in Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1992)
See also Journal Article Local asymptotic normality of multivariate ARMA processes with a linear trend, Annals of the Institute of Statistical Mathematics, Springer (1995) View citations (14) (1995)

1994

Aligned rank tests for linear models with autocorrelated errors
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (25)
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
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
On the Pitman nonadmissibility of correlogram-based time series methods
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
On the invertibility of periodic moving-average models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
See also Journal Article ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS, Journal of Time Series Analysis, Wiley Blackwell (1994) View citations (1) (1994)

1993

A Chernoff-Savage result for serial signed rank statistics
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (19)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)
Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ (1992)

1992

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 Aligned Rank Tests for Linear Models with Autocorrelated Error Terms, Journal of Multivariate Analysis, Elsevier (1994) View citations (22) (1994)
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 Ã©conomie quantitative, CIREQ (1989)
See also Journal Article Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications, Econometric Theory, Cambridge University Press (1992) (1992)
Optimal rank-based tests against first-order superdiagonal bilinear dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
Rank Tests for Time Series Analysis, A Survey
Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (18)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1992) View citations (18)
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, Universite de Montreal, Departement de sciences economiques (1990)
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ (1990) View citations (2)
Some asymptotic results for a broad class of nonparametric statistics
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1991

An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990)
Nonuniform bounds for nonparametric t-tests
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
See also Journal Article Nonuniform Bounds for Nonparametric t-Tests, Econometric Theory, Cambridge University Press (1991) View citations (8) (1991)
Rank tests for time-series analysis: a bibliographical survey
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Time series analysis via rank-order theory, signed-rank tests for ARMA models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
See also Journal Article Time series analysis via rank order theory: Signed-rank tests for ARMA models, Journal of Multivariate Analysis, Elsevier (1991) View citations (11) (1991)

1990

Distribution-free tests against serial dependence: signed or unsigned ranks?
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)

1989

Asymptotically most powerful rank tests for multivariate randomness against serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
See also Journal Article Asymptotically most powerful rank tests for multivariate randomness against serial dependence, Journal of Multivariate Analysis, Elsevier (1989) View citations (3) (1989)
Contribution to "Discussion of the paper by Bruce and Martin"
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
ON A CONJECTURE OF EDELMAN ON NONPARAMETRIC T-TESTS
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1988

Locally asymptomatically rank-based procedures for testing autoregressive moving average dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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)
On locally asymptotically maximin tests for ARMA processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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 (15)
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 (11)
Rank-based tests for randomness against first-order serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (17)
Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1987

Fractions continuées matricielles et matrices-bandes définies positives infinies
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
La recherche opérationnelle par l'exemple II: théorie des graphes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Linear and quadratic serial rank tests for randomness against serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
See also Journal Article LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE, Journal of Time Series Analysis, Wiley Blackwell (1987) View citations (8) (1987)
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) View citations (1)

1986

La recherche opérationnelle par l'exemple I: P+B141 programmation linéaire
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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
Locally asymptotically optimal tests for randomness
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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 (12)
On fractional linear bounds for probability generating functions
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Tests de rangs localement optimaux pour une hypothèse de bruit blanc multivarié
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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

From premium calculation to premium rating
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Linear serial rank tests for randomness against ARMA alternatives
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (28)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1984) View citations (4)
Tests de rangs linéaires pour une hypothèse de bruit blanc
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Tests de rangs quadratiques pour une hypothèse de bruit blanc
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1984

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
Spectral factorization of nonstationary moving average processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)

1983

Nonstationary Yule-Walker equations
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
See also Journal Article Nonstationary Yule-Walker equations, Statistics & Probability Letters, Elsevier (1983) View citations (3) (1983)
Nonstationary second-order moving average processes II: model-building and invertibility
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
The Swedish automobile portfolio in 1977: a statistical study
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
The theoretical model-building problem for nonstationary moving average processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1982

Moving average models for time-dependent autocovariance functions
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Nonstationary second-order moving average processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
The model-building problem for nonstationary multivariate autoregressive processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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

Addendum to Invertibility and generalized invertibility
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Etude statistique de la probabilité de sinistre en assurance automobile
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
See also Journal Article Étude Statistique de la Probabilité de Sinistre en Assurance Automobile, ASTIN Bulletin, Cambridge University Press (1981) View citations (1) (1981)
Nonstationary first-order moving average processes: the model-building problem
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1980

Invertibility and generalized invertibility of time-series models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
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
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

Band strategies: the random walk of reserves
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
See also Journal Article Mixed autoregressive-moving average multivariate processes with time-dependent coefficients, Journal of Multivariate Analysis, Elsevier (1978) View citations (10) (1978)

1977

Etude statistique des facteurs influençant un risque
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Méthodes statistiques de construction de tarifs
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
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

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

1972

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

Journal Articles

2025

Nonparametric Multiple-Output Center-Outward Quantile Regression
Journal of the American Statistical Association, 2025, 120, (550), 818-832
See also Working Paper Nonparametric Multiple-Output Center-Outward Quantile Regression, Working Papers ECARES (2022) View citations (7) (2022)

2024

Inferential theory for generalized dynamic factor models
Journal of Econometrics, 2024, 239, (2) View citations (5)
See also Working Paper Inferential Theory for Generalized Dynamic Factor Models, Working Papers ECARES (2021) (2021)

2023

Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
Journal of the American Statistical Association, 2023, 118, (543), 1923-1939 View citations (2)
See also Working Paper Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA, Working Papers ECARES (2021) View citations (2) (2021)
Factor models for high‐dimensional functional time series I: Representation results
Journal of Time Series Analysis, 2023, 44, (5-6), 578-600 View citations (5)
Factor models for high‐dimensional functional time series II: Estimation and forecasting
Journal of Time Series Analysis, 2023, 44, (5-6), 601-621 View citations (5)
Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach
Econometrics and Statistics, 2023, 27, (C), 1-15
Special Issue of the Journal of Time Series Analysis in Honor of Professor Masanobu Taniguchi
Journal of Time Series Analysis, 2023, 44, (5-6), 440-441

2022

Center-Outward R-Estimation for Semiparametric VARMA Models
Journal of the American Statistical Association, 2022, 117, (538), 925-938 View citations (2)
See also Working Paper Center-Outward R-Estimation for Semiparametric VARMA Models, Working Papers ECARES (2019) View citations (5) (2019)
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
Journal of Business & Economic Statistics, 2022, 41, (1), 40-52 View citations (1)
See also Working Paper Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach, Working Papers ECARES (2019) View citations (3) (2019)
Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series
Econometrics, 2022, 10, (4), 1-9

2021

Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
International Journal of Forecasting, 2021, 37, (4), 1520-1534 View citations (3)
See also Working Paper Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting, Textos para discussão (2020) View citations (2) (2020)
Time-varying general dynamic factor models and the measurement of financial connectedness
Journal of Econometrics, 2021, 222, (1), 324-343 View citations (19)
See also Working Paper Time-varying general dynamic factor models and the measurement of financial connectedness, LIDAM Reprints ISBA (2020) View citations (8) (2020)

2020

A Simple R-estimation method for semiparametric duration models
Journal of Econometrics, 2020, 218, (2), 736-749
See also Working Paper A Simple R-Estimation Method for Semiparametric Duration Models, Working Papers ECARES (2017) View citations (1) (2017)
A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
Journal of Multivariate Analysis, 2020, 180, (C) View citations (10)
Center-outward quantiles and the measurement of multivariate risk
Insurance: Mathematics and Economics, 2020, 95, (C), 79-100 View citations (4)
See also Working Paper CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK, Working Papers ECARES (2019) View citations (4) (2019)
Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
Journal of Nonparametric Statistics, 2020, 32, (2), 367-402 View citations (2)
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
Journal of Econometrics, 2020, 216, (1), 4-34 View citations (14)
See also Working Paper Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals, Papers (2019) View citations (5) (2019)

2019

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
Journal of Financial Econometrics, 2019, 17, (3), 462-494 View citations (7)
See also Working Paper Identification of global and local shocks in international financial markets via general dynamic factor models, LSE Research Online Documents on Economics (2019) View citations (15) (2019)

2018

Foreword from the editors…
Statistical Inference for Stochastic Processes, 2018, 21, (2), 261-262
From Mahalanobis to Bregman via Monge and Kantorovich
Sankhya B: The Indian Journal of Statistics, 2018, 80, (1), 135-146
On Wignerâ€“Ville Spectra and the Uniqueness of Timeâ€ Varying Copulaâ€ Based Spectral Densities
Journal of Time Series Analysis, 2018, 39, (3), 242-250
Optimal dimension reduction for high-dimensional and functional time series
Statistical Inference for Stochastic Processes, 2018, 21, (2), 385-398 View citations (2)
See also Working Paper Optimal Dimension Reduction for High-dimensional and Functional Time Series, Working Papers ECARES (2017) (2017)

2017

A network analysis of the volatility of high dimensional financial series
Journal of the Royal Statistical Society Series C, 2017, 66, (3), 581-605 View citations (47)
See also Working Paper A network analysis of the volatility of high-dimensionalfinancial series, LSE Research Online Documents on Economics (2017) View citations (33) (2017)
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Journal of Econometrics, 2017, 199, (1), 74-92 View citations (76)
See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis, EIEF Working Papers Series (2016) View citations (16) (2016)
Foreword from the Editors
Statistical Inference for Stochastic Processes, 2017, 20, (3), 273-274
Generalized dynamic factor models and volatilities: estimation and forecasting
Journal of Econometrics, 2017, 201, (2), 307-321 View citations (36)
See also Working Paper Generalized dynamic factor models and volatilities estimation and forecasting, LSE Research Online Documents on Economics (2017) View citations (31) (2017)
Quantile spectral analysis for locally stationary time series
Journal of the Royal Statistical Society Series B, 2017, 79, (5), 1619-1643 View citations (12)
See also Working Paper Quantile Spectral Analysis for Locally Stationary Time Series, Working Papers ECARES (2015) View citations (2) (2015)
R-estimation in semiparametric dynamic location-scale models
Journal of Econometrics, 2017, 196, (2), 233-247 View citations (3)

2016

Elliptical multiple-output quantile regression and convex optimization
Statistics & Probability Letters, 2016, 109, (C), 232-237 View citations (2)
See also Working Paper Elliptical Multiple Output Quantile Regression and Convex Optimization, Working Papers ECARES (2015) (2015)
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
Econometrics Journal, 2016, 19, (1), C33-C60 View citations (54)
See also Working Paper Generalized dynamic factor models and volatilities: recovering the market volatility shocks, LSE Research Online Documents on Economics (2015) View citations (8) (2015)
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 View citations (5)

2015

Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
Journal of Econometrics, 2015, 185, (2), 359-371 View citations (91)
See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations, Working Papers ECARES (2012) View citations (2) (2012)
Dynamic functional principal components
Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 View citations (59)
R -Estimation for Asymmetric Independent Component Analysis
Journal of the American Statistical Association, 2015, 110, (509), 218-232 View citations (11)
See also Working Paper R-Estimation for Asymmetric Independent Component Analysis, Working Papers ECARES (2013) View citations (2) (2013)

2014

Efficient R-Estimation of Principal and Common Principal Components
Journal of the American Statistical Association, 2014, 109, (507), 1071-1083 View citations (8)
See also Working Paper Efficient R-Estimation of Principal and Common Principal Components, Working Papers ECARES (2013) View citations (2) (2013)