Details about Marc Hallin
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Last updated 2023-01-06. Update your information in the RePEc Author Service.
Short-id: pha368
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Working Papers
2022
- Center-OutwardMultiple-Output Lorenz Curves and Gini Indices a measure transportation approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Center-outward Rank- and Sign-based VARMA Portmanteau Tests
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Nonparametric Measure-transportation-based Methods for Directional Data
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Nonparametric Multiple-Output Center-Outward Quantile Regression
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
2021
- Center-Outward Sign- and Rank-Based Quadrant, Spearman, and Kendall Tests for Multivariate Independence
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- Inferential Theory for Generalized Dynamic Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Measure Transportation and Statistical Decision Theory
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (4)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2020) View citations (1) Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2020)
- On the Finite-Sample Performance of Measure Transportation-Based Multivariate Rank Tests
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- The Integrated Copula Spectrum
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
2020
- Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Fully Distribution-free Center-outward Rank Tests for Multiple-output Regression and Manova
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
- Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
- Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
See also Journal Article in International Journal of Forecasting (2021)
- Time-varying general dynamic factor models and the measurement of financial connectedness
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019)  Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) View citations (1)
See also Journal Article in Journal of Econometrics (2021)
2019
- A Note on the Regularity of Center-Outward Distribution and Quantile Functions
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (4)
See also Journal Article in Insurance: Mathematics and Economics (2020)
- Center-Outward R-Estimation for Semiparametric VARMA Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) View citations (3)
- Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
Papers, arXiv.org View citations (2)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) View citations (4)
See also Journal Article in Journal of Econometrics (2020)
- High-Dimensional Functional Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- Identification of global and local shocks in international financial markets via general dynamic factor models
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
See also Journal Article in The Journal of Financial Econometrics (2019)
- On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Optimal tests for elliptical symmetry: specified and unspecified location
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
2018
- From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance”
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (8)
2017
- A Simple R-Estimation Method for Semiparametric Duration Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
See also Journal Article in Journal of Econometrics (2020)
- A network analysis of the volatility of high-dimensionalfinancial series
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (23)
See also Journal Article in Journal of the Royal Statistical Society Series C (2017)
- Generalized dynamic factor models and volatilities estimation and forecasting
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (26)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (8)
See also Journal Article in Journal of Econometrics (2017)
- Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
Sciences Po publications, Sciences Po View citations (26)
Also in Papers, arXiv.org (2015)  Working Papers, HAL (2015)  Sciences Po publications, Sciences Po (2015) View citations (1) Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1) Post-Print, HAL (2017) View citations (25) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (1) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (13)
- On Distribution and Quantile Functions, Ranks and Signs in R_d
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (10)
- Optimal Dimension Reduction for High-dimensional and Functional Time Series
Working Papers ECARES, ULB -- Universite Libre de Bruxelles 
See also Journal Article in Statistical Inference for Stochastic Processes (2018)
- Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
2016
- Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (16)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (54) Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) View citations (28) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (54)
See also Journal Article in Journal of Econometrics (2017)
- Multiple-Output Quantile Regression
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
- Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
Papers, arXiv.org View citations (2)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
- On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
2015
- Elliptical Multiple Output Quantile Regression and Convex Optimization
Working Papers ECARES, ULB -- Universite Libre de Bruxelles 
See also Journal Article in Statistics & Probability Letters (2016)
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (8)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (3)
See also Journal Article in Econometrics Journal (2016)
- Quantile Spectral Analysis for Locally Stationary Time Series
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (4)
See also Journal Article in Journal of the Royal Statistical Society Series B (2017)
2014
- Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- Quantile Spectral Processes: Asymptotic Analysis and Inference
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (15)
- Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
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 in Journal of the American Statistical Association (2014)
- Factor Models in High-Dimensional Time Series: A Time-Domain Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (33)
See also Journal Article in Stochastic Processes and their Applications (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 in Journal of the American Statistical Association (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 in Journal of Econometrics (2015)
- Local Constant and Local Bilinear Multiple-Output Quantile Regression
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
- 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 
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 in Journal of Econometrics (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 (10)
See also Journal Article in Journal of Econometrics (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
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (3)
Also in DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2011) View citations (3) Working Papers ECARES, ULB -- Universite Libre de Bruxelles (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 in Journal of Nonparametric Statistics (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 (85)
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 (7)
- 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
Economics Working Papers, European University Institute View citations (10)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (12)
- 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 (2)
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 in Journal of the American Statistical Association (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, Universite de Montreal, Departement de sciences economiques (2005)  Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005)  CIRANO Working Papers, CIRANO (2005) 
See also Journal Article in Journal of Econometrics (2006)
- Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
- 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 (12)
See also Journal Article in Journal of Time Series Analysis (2005)
- Testing non-correlation and non-causality between two multivariate ARMA time series
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
- The generalised dynamic factor model: one sided estimation and forecasting
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (449)
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) View citations (56) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (47) Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (64)
See also Journal Article in Journal of the American Statistical Association (2005)
2004
- Kernel density estimation for spatial processes: the L1 theory
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (21)
See also Journal Article in Journal of Multivariate Analysis (2004)
- Local linear spatial regression
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (39)
- 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 in Journal of the Royal Statistical Society Series B (2008)
- The generalised dynamic factor model: consistency and rates
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (85)
See also Journal Article in Journal of Econometrics (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 (231)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (26)
See also Journal Article in Journal of Monetary Economics (2003)
- Efficient detection of random coefficients in AR(p) models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
- Efficient detection of random coefficients in autoregressive models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
- Semiparametric efficiency, distribution-freeness and invariance
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (44)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (50)
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
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2001) View citations (1)
- Coincident and leading indicators for the Euro area
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (147)
- Density estimation for spatial linear processes
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (32)
- 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 (149)
- Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
- 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 (9)
- 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 in Statistics & Probability Letters (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 (45)
- 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 (574)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (334)
See also Journal Article in The Review of Economics and Statistics (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 in Statistical Inference for Stochastic Processes (1998)
- L1-estimation in linear models with heterogeneous white noise
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
See also Journal Article in Statistics & Probability Letters (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 (3)
- Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
- Optimal tests for autoregressive models based on autoregression rank scores
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
- 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 in Statistics & Probability Letters (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 (1)
- 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 (14)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1998) View citations (1)
- 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 in Annals of the Institute of Statistical Mathematics (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
- 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 (6)
See also Journal Article in Annals of the Institute of Statistical Mathematics (1996)
- Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
- Kernel density estimation on random fields: the L1 theory
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (24)
- Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
- 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)
- 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
- A multivariate Wald-Wolfowitz rank test against serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (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)
- Local asymptotic normality of multivariate ARMA processes with a linear trend
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
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
- Aligned rank tests for linear models with autocorrelated errors
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (24)
- 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 (6)
See also Journal Article in Journal of Time Series Analysis (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 (18)
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 économie 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 in Journal of Multivariate Analysis (1994)
- Improved Berry-Esséen-Chebyshev bounds with statistical applications
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1989) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
See also Journal Article in Econometric Theory (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
- Rank Tests for Time Series Analysis, A Survey
Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (17)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1992) View citations (16)
- 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)
- 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 économie quantitative, CIREQ
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
- Nonuniform bounds for nonparametric t-tests
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
See also Journal Article in Econometric Theory (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 (10)
See also Journal Article in Journal of Multivariate Analysis (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 (3)
See also Journal Article in Journal of Multivariate Analysis (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 économie 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 (14)
- 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 (10)
- Rank-based tests for randomness against first-order serial dependence
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
- 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 (5)
See also Journal Article in Journal of Time Series Analysis (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 (10)
- 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 (26)
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 (6)
1983
- Nonstationary Yule-Walker equations
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
See also Journal Article in Statistics & Probability Letters (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 (5)
- 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
- 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 (8)
See also Journal Article in Journal of Multivariate Analysis (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
2021
- Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
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See also Working Paper (2020)
- Time-varying general dynamic factor models and the measurement of financial connectedness
Journal of Econometrics, 2021, 222, (1), 324-343 View citations (4)
See also Working Paper (2020)
2020
- A Simple R-estimation method for semiparametric duration models
Journal of Econometrics, 2020, 218, (2), 736-749 
See also Working Paper (2017)
- A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
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See also Working Paper (2019)
- Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
Journal of Nonparametric Statistics, 2020, 32, (2), 367-402
- Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
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See also Working Paper (2019)
2019
- Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
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See also Working Paper (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 Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†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 (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 (27)
See also Working Paper (2017)
- Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Journal of Econometrics, 2017, 199, (1), 74-92 View citations (55)
See also Working Paper (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 (25)
See also Working Paper (2017)
- Quantile spectral analysis for locally stationary time series
Journal of the Royal Statistical Society Series B, 2017, 79, (5), 1619-1643 View citations (10)
See also Working Paper (2015)
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Journal of Econometrics, 2017, 196, (2), 233-247 View citations (2)
2016
- Elliptical multiple-output quantile regression and convex optimization
Statistics & Probability Letters, 2016, 109, (C), 232-237 View citations (2)
See also Working Paper (2015)
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
Econometrics Journal, 2016, 19, (1), C33-C60 View citations (38)
See also Working Paper (2015)
- Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
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2015
- Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
Journal of Econometrics, 2015, 185, (2), 359-371 View citations (79)
See also Working Paper (2012)
- Dynamic functional principal components
Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 View citations (36)
- R -Estimation for Asymmetric Independent Component Analysis
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See also Working Paper (2013)
2014
- Efficient R-Estimation of Principal and Common Principal Components
Journal of the American Statistical Association, 2014, 109, (507), 1071-1083 View citations (5)
See also Working Paper (2013)
2013
- Editors’ Note
International Statistical Review, 2013, 81, (1), 1-1
- Factor models in high-dimensional time series—A time-domain approach
Stochastic Processes and their Applications, 2013, 123, (7), 2678-2695 View citations (12)
See also Working Paper (2013)
- New Book Review Editor for the International Statistical Review
International Statistical Review, 2013, 81, (3), 337-337
- One-step R-estimation in linear models with stable errors
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2012
- Editors’ Note
International Statistical Review, 2012, 80, (1), 1-1
- 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 View citations (1)
2011
- A class of simple distribution-free rank-based unit root tests
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See also Working Paper (2011)
- Dynamic factors in the presence of blocks
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- Market liquidity as dynamic factors
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See also Working Paper (2011)
- Rank-based testing in linear models with stable errors
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See also Working Paper (2011)
2010
- Testing for Common Principal Components under Heterokurticity
Journal of Nonparametric Statistics, 2010, 22, (7), 879-895 View citations (7)
2009
- Optimal tests for homogeneity of covariance, scale, and shape
Journal of Multivariate Analysis, 2009, 100, (3), 422-444 View citations (8)
2008
- 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 View citations (2)
See also Working Paper (2004)
2007
- Determining the Number of Factors in the General Dynamic Factor Model
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- Optimal Tests of Noncorrelation Between Multivariate Time Series
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See also Working Paper (2007)
2006
- Comment
Journal of the American Statistical Association, 2006, 101, 996-998
- Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
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See also Working Paper (2006)
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2005
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- Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
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See also Working Paper (2005)
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2004
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- The generalized dynamic factor model consistency and rates
Journal of Econometrics, 2004, 119, (2), 231-255 View citations (186)
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2003
- Do financial variables help forecasting inflation and real activity in the euro area?
Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations (213)
See also Working Paper (2003)
2000
- Rank-based partial autocorrelations are not asymptotically distribution-free
Statistics & Probability Letters, 2000, 47, (3), 219-227 
See also Working Paper (2000)
- The Generalized Dynamic-Factor Model: Identification And Estimation
The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations (1023)
See also Working Paper (2000)
1999
- L1-estimation in linear models with heterogeneous white noise
Statistics & Probability Letters, 1999, 45, (4), 305-315 View citations (4)
See also Working Paper (1999)
1998
- Adaptive Estimation of the Lag of a Long–memory Process
Statistical Inference for Stochastic Processes, 1998, 1, (2), 111-129 
See also Working Paper (1999)
- Characterization of error distributions in time-series regression models
Statistics & Probability Letters, 1998, 38, (4), 335-345 
See also Working Paper (1998)
1997
- A Berry-Esséen Theorem for Serial Rank Statistics
Annals of the Institute of Statistical Mathematics, 1997, 49, (4), 777-799 View citations (1)
See also Working Paper (1997)
1996
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Annals of the Institute of Statistical Mathematics, 1996, 48, (3), 429-449 View citations (6)
See also Working Paper (1996)
- Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
Econometric Theory, 1996, 12, (1), 88-112 View citations (1)
See also Working Paper (1996)
1995
- Local asymptotic normality of multivariate ARMA processes with a linear trend
Annals of the Institute of Statistical Mathematics, 1995, 47, (3), 551-579 View citations (12)
See also Working Paper (1995)
1994
- Aligned Rank Tests for Linear Models with Autocorrelated Error Terms
Journal of Multivariate Analysis, 1994, 50, (2), 175-237 View citations (22)
See also Working Paper (1992)
- ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS
Journal of Time Series Analysis, 1994, 15, (3), 263-268 
See also Working Paper (1994)
- ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS
Journal of Time Series Analysis, 1994, 15, (6), 607-611
1992
- Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
Econometric Theory, 1992, 8, (2), 223-240 
See also Working Paper (1992)
1991
- Nonuniform Bounds for Nonparametric t-Tests
Econometric Theory, 1991, 7, (2), 253-263 View citations (8)
See also Working Paper (1991)
- Time series analysis via rank order theory: Signed-rank tests for ARMA models
Journal of Multivariate Analysis, 1991, 39, (1), 1-29 View citations (10)
See also Working Paper (1991)
1989
- Asymptotically most powerful rank tests for multivariate randomness against serial dependence
Journal of Multivariate Analysis, 1989, 30, (1), 34-71 View citations (3)
See also Working Paper (1989)
1987
- LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
Journal of Time Series Analysis, 1987, 8, (4), 409-424 View citations (5)
See also Working Paper (1987)
- Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
Annals of Economics and Statistics, 1987, (6-7), 411-434 View citations (1)
1983
- Nonstationary Yule-Walker equations
Statistics & Probability Letters, 1983, 1, (4), 189-195 View citations (3)
See also Working Paper (1983)
1981
- Étude Statistique de la Probabilité de Sinistre en Assurance Automobile
ASTIN Bulletin, 1981, 12, (1), 40-56
1978
- Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
Journal of Multivariate Analysis, 1978, 8, (4), 567-572 View citations (8)
See also Working Paper (1978)
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