Details about Marc Hallin

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

Access statistics for papers by Marc Hallin.

Last updated 2022-01-06. Update your information in the RePEc Author Service.

Short-id: pha368

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Working Papers

2021

1. Center-Outward Sign- and Rank-Based Quadrant, Spearman, and Kendall Tests for Multivariate Independence
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
2. Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
3. Inferential Theory for Generalized Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
4. Measure Transportation and Statistical Decision Theory
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
5. 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 (1)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2020)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2020) View citations (1)
6. On the Finite-Sample Performance of Measure Transportation-Based Multivariate Rank Tests
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
7. The Integrated Copula Spectrum
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2020

8. Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
9. Fully Distribution-free Center-outward Rank Tests for Multiple-output Regression and Manova
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
10. Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
11. 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 (1)
12. 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)
13. 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 (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019)
    See also Journal Article in Journal of Econometrics (2021)

2019

14. A Note on the Regularity of Center-Outward Distribution and Quantile Functions
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
15. 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)
16. Center-Outward R-Estimation for Semiparametric VARMA Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
17. 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)
18. 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)
19. High-Dimensional Functional Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
20. 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 (11)
    See also Journal Article in Journal of Financial Econometrics (2019)
21. 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
22. Optimal tests for elliptical symmetry: specified and unspecified location
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2018

23. From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance”
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
24. Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
25. Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (8)

2017

26. 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)
27. 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 (21)
    See also Journal Article in Journal of the Royal Statistical Society Series C (2017)
28. 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 (23)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (7)
    See also Journal Article in Journal of Econometrics (2017)
29. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
30. Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
    Sciences Po publications, Sciences Po View citations (10)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (13)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (1)
    Papers, arXiv.org (2015)
    Post-Print, HAL (2017) View citations (2)
    Sciences Po publications, Sciences Po (2015) View citations (1)
31. On Distribution and Quantile Functions, Ranks and Signs in R_d
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (8)
32. 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)
33. Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2016

34. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (15)
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) View citations (22)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (47)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (47)
    See also Journal Article in Journal of Econometrics (2017)
35. Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
36. 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)
37. 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

38. 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)
39. 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)
40. 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

41. Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
42. Quantile Spectral Processes: Asymptotic Analysis and Inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (15)
43. Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2013

44. A Serial Version of Hodges and Lehmann's "6/pi Result"
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
45. 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)
46. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (30)
    See also Journal Article in Stochastic Processes and their Applications (2013)
47. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
48. On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (7)
49. 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

50. 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)
51. Local Constant and Local Bilinear Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
52. Signal Detection in High Dmension: The Multispiked Case
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)

2011

53. A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2011)
54. A class of simple distribution-free rank-based unit root tests
    Post-Print, HAL View citations (6)
    See also Journal Article in Journal of Econometrics (2011)
55. Asymptotic Power of Sphericity Tests for High-Dimensional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
56. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (4)
    See also Journal Article in Journal of Econometrics (2011)
57. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
58. One-Sided Representations of Generalized Dynamic Factor Models
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) View citations (3)
    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)
59. Optimal Rank-Based Tests for Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (10)
60. 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

61. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
62. Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (68)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (14)
63. On the estimation of cross-information quantities in rank-based inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)
64. Rank‐based Optimal Tests for Random Effects in Panel Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2009

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

2008

67. 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 (6)
68. On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
69. 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

70. Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
71. 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

72. Discussion of Quantile autoregression, by Koenker and Xiao
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
73. 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)
74. Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
75. Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
    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

76. Testing non-correlation and non-causality between multivariate arma time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
    See also Journal Article in Journal of Time Series Analysis (2005)
77. Testing non-correlation and non-causality between two multivariate ARMA time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
78. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (186)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (42)
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) View citations (52)
    Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (59)
    See also Journal Article in Journal of the American Statistical Association (2005)

2004

79. 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)
80. Local linear spatial regression
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (38)
81. Optimal detection of periodicities in vector autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
82. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2004) View citations (2)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2008)
83. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (79)
    See also Journal Article in Journal of Econometrics (2004)

2003

84. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (223)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (25)
    See also Journal Article in Journal of Monetary Economics (2003)
85. Efficient detection of random coefficients in AR(p) models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
86. Efficient detection of random coefficients in autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (14)
87. Semiparametric efficiency, distribution-freeness and invariance
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (41)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (47)

2002

88. 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
89. 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

90. 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)
91. Coincident and leading indicators for the Euro area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (141)
92. Density estimation for spatial linear processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (31)
93. Estimation in autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
94. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (147)
95. Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
96. Projection de Hájek et polynômes de Bernstein
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
97. Rank tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
98. Sample heterogeneity and the asymptotics of M-estimators
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2000

99. Kendall's tau for serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
100. Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
101. 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)
102. Rank-based partial correlograms are not asymptotically distribution-free
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
103. Reference Cycles: The NBER Methodology Revisited
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
104. The efficiency of some nonparametric competitors to correlogram-based methods
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
105. The generalised dynamic factor model: identification and estimation
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (526)
     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

106. 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)
107. 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)
108. Local asymptotic normality for regression models with long-memory disturbance, with statistical applications
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
109. Nonparametric tests of independence between two autoregressive series based on autoregression rank scores
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
110. 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)
111. Optimal tests for autoregressive models based on autoregression rank scores
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
112. Rank-Based Autoregressive Order Identification
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
113. Rank-based AR order identification
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1998

114. 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)
115. Generalized run tests for heteroscedastic time series
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
116. Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
117. 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)
118. Spectral factorization of periodically correlated MA(1) processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1997

119. 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)
120. A Berry-Esséen theorem for simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
121. Non-parametric tests in AR models with applications to climatic data
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
     Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1997) View citations (1)
122. Unimodality and the asymptotics of M-estimators
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
123. When does Edgeworth beat Berry and Esséen?
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
124. When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1996

125. A simple proof of asymptotic normality for simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
126. Eléments de la théorie asymptotique des expériences statistiques
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
127. Is 131,000 a large sample size? a numerical study of Edgeworth expansions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
128. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
     See also Journal Article in Annals of the Institute of Statistical Mathematics (1996)
129. Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
130. Kernel density estimation on random fields: the L1 theory
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (22)
131. Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
132. 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)
133. Order selection, stochastic complexity and Kullback-Leibler information
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
134. Rank-based tests for autoregressive against bilinear serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
135. Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
136. 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
137. Tests sans biais, tests de permutation, tests invariants, tests de rangs
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
138. The asymptotic behavior of the characteristic function of simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1995

139. A multivariate Wald-Wolfowitz rank test against serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
140. 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)
141. Local asymptotic normality of multivariate ARMA processes with a linear trend
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
     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

142. Aligned rank tests for linear models with autocorrelated errors
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (17)
143. 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
144. 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
145. On the Pitman nonadmissibility of correlogram-based time series methods
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
146. 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

147. A Chernoff-Savage result for serial signed rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
148. Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (17)
     Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)
     Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)

1992

149. 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)
150. Improved Berry-Esséen-Chebyshev bounds with statistical applications
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
     Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1989)
     See also Journal Article in Econometric Theory (1992)
151. Optimal rank-based tests against first-order superdiagonal bilinear dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
152. Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
153. 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 (6)
154. 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 économie quantitative, CIREQ (1990) View citations (2)
155. Some asymptotic results for a broad class of nonparametric statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1991

156. An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
     Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991)
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990)
157. 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)
158. Rank tests for time-series analysis: a bibliographical survey
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
159. Time series analysis via rank-order theory, signed-rank tests for ARMA models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
     See also Journal Article in Journal of Multivariate Analysis (1991)

1990

160. Distribution-free tests against serial dependence: signed or unsigned ranks?
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1989

161. 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)
162. Contribution to "Discussion of the paper by Bruce and Martin"
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
163. 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

164. Locally asymptomatically rank-based procedures for testing autoregressive moving average dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
165. Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
166. 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)
167. On locally asymptotically maximin tests for ARMA processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
168. 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 (12)
169. 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)
170. Rank-based tests for randomness against first-order serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (15)
171. Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1987

172. Fractions continuées matricielles et matrices-bandes définies positives infinies
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
173. La recherche opérationnelle par l'exemple II: théorie des graphes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
174. 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)
175. 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

176. La recherche opérationnelle par l'exemple I: P+B141 programmation linéaire
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
177. 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
178. Locally asymptotically optimal tests for randomness
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
179. 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)
180. On fractional linear bounds for probability generating functions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
181. Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
182. Tests de rangs localement optimaux pour une hypothèse de bruit blanc multivarié
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
183. 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

184. From premium calculation to premium rating
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
185. 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)
186. Tests de rangs linéaires pour une hypothèse de bruit blanc
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
187. Tests de rangs quadratiques pour une hypothèse de bruit blanc
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1984

188. 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
189. Spectral factorization of nonstationary moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)

1983

190. Nonstationary Yule-Walker equations
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
     See also Journal Article in Statistics & Probability Letters (1983)
191. Nonstationary second-order moving average processes II: model-building and invertibility
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
192. The Swedish automobile portfolio in 1977: a statistical study
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
193. The theoretical model-building problem for nonstationary moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1982

194. Moving average models for time-dependent autocovariance functions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
195. Nonstationary second-order moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
196. The model-building problem for nonstationary multivariate autoregressive processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
197. 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

198. Addendum to Invertibility and generalized invertibility
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
199. Etude statistique de la probabilité de sinistre en assurance automobile
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
200. Nonstationary first-order moving average processes: the model-building problem
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1980

201. Invertibility and generalized invertibility of time-series models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
202. 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
203. 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

204. Band strategies: the random walk of reserves
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
205. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
     See also Journal Article in Journal of Multivariate Analysis (1978)

1977

206. Etude statistique des facteurs influençant un risque
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
207. Méthodes statistiques de construction de tarifs
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
208. Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
209. 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

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

1972

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

Journal Articles

2021

1. 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 (1)
   See also Working Paper (2020)
2. Time-varying general dynamic factor models and the measurement of financial connectedness
   Journal of Econometrics, 2021, 222, (1), 324-343 View citations (1)
   See also Working Paper (2020)

2020

3. A Simple R-estimation method for semiparametric duration models
   Journal of Econometrics, 2020, 218, (2), 736-749
   See also Working Paper (2017)
4. A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
   Journal of Multivariate Analysis, 2020, 180, (C) View citations (4)
5. Center-outward quantiles and the measurement of multivariate risk
   Insurance: Mathematics and Economics, 2020, 95, (C), 79-100 View citations (3)
   See also Working Paper (2019)
6. Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
   Journal of Nonparametric Statistics, 2020, 32, (2), 367-402
7. Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
   Journal of Econometrics, 2020, 216, (1), 4-34 View citations (3)
   See also Working Paper (2019)

2019

8. 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 (5)
   See also Working Paper (2019)

2018

9. Foreword from the editors…
   Statistical Inference for Stochastic Processes, 2018, 21, (2), 261-262
10. From Mahalanobis to Bregman via Monge and Kantorovich
    Sankhya B: The Indian Journal of Statistics, 2018, 80, (1), 135-146
11. On Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†Based Spectral Densities
    Journal of Time Series Analysis, 2018, 39, (3), 242-250
12. 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

13. 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 (21)
    See also Working Paper (2017)
14. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
    Journal of Econometrics, 2017, 199, (1), 74-92 View citations (41)
    See also Working Paper (2016)
15. Foreword from the Editors
    Statistical Inference for Stochastic Processes, 2017, 20, (3), 273-274
16. Generalized dynamic factor models and volatilities: estimation and forecasting
    Journal of Econometrics, 2017, 201, (2), 307-321 View citations (22)
    See also Working Paper (2017)
17. Quantile spectral analysis for locally stationary time series
    Journal of the Royal Statistical Society Series B, 2017, 79, (5), 1619-1643 View citations (6)
    See also Working Paper (2015)
18. R-estimation in semiparametric dynamic location-scale models
    Journal of Econometrics, 2017, 196, (2), 233-247 View citations (1)

2016

19. Elliptical multiple-output quantile regression and convex optimization
    Statistics & Probability Letters, 2016, 109, (C), 232-237 View citations (2)
    See also Working Paper (2015)
20. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 View citations (31)
    See also Working Paper (2015)
21. 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 (4)

2015

22. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 View citations (70)
    See also Working Paper (2012)
23. Dynamic functional principal components
    Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 View citations (29)
24. R -Estimation for Asymmetric Independent Component Analysis
    Journal of the American Statistical Association, 2015, 110, (509), 218-232 View citations (7)
    See also Working Paper (2013)

2014

25. 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

26. Editors’ Note
    International Statistical Review, 2013, 81, (1), 1-1
27. 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)
28. New Book Review Editor for the International Statistical Review
    International Statistical Review, 2013, 81, (3), 337-337
29. One-step R-estimation in linear models with stable errors
    Journal of Econometrics, 2013, 172, (2), 195-204 View citations (9)

2012

30. Editors’ Note
    International Statistical Review, 2012, 80, (1), 1-1
31. 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

32. A class of simple distribution-free rank-based unit root tests
    Journal of Econometrics, 2011, 163, (2), 200-214 View citations (6)
    See also Working Paper (2011)
33. Dynamic factors in the presence of blocks
    Journal of Econometrics, 2011, 163, (1), 29-41 View citations (34)
34. Market liquidity as dynamic factors
    Journal of Econometrics, 2011, 163, (1), 42-50 View citations (11)
    See also Working Paper (2011)
35. Rank-based testing in linear models with stable errors
    Journal of Nonparametric Statistics, 2011, 23, (2), 305-320
    See also Working Paper (2011)

2010

36. Testing for Common Principal Components under Heterokurticity
    Journal of Nonparametric Statistics, 2010, 22, (7), 879-895 View citations (4)

2009

37. Optimal tests for homogeneity of covariance, scale, and shape
    Journal of Multivariate Analysis, 2009, 100, (3), 422-444 View citations (7)

2008

38. 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

39. Determining the Number of Factors in the General Dynamic Factor Model
    Journal of the American Statistical Association, 2007, 102, 603-617 View citations (285)
40. Optimal Tests of Noncorrelation Between Multivariate Time Series
    Journal of the American Statistical Association, 2007, 102, 938-951
    See also Working Paper (2007)

2006

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

2005

44. Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
    Journal of Multivariate Analysis, 2005, 93, (1), 122-163 View citations (18)
45. Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
    Journal of Time Series Analysis, 2005, 26, (1), 83-105 View citations (11)
    See also Working Paper (2005)
46. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 View citations (472)
    See also Working Paper (2005)

2004

47. Kernel density estimation for spatial processes: the L1 theory
    Journal of Multivariate Analysis, 2004, 88, (1), 61-75 View citations (25)
    See also Working Paper (2004)
48. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 View citations (179)
    See also Working Paper (2004)

2003

49. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations (187)
    See also Working Paper (2003)

2000

50. Rank-based partial autocorrelations are not asymptotically distribution-free
    Statistics & Probability Letters, 2000, 47, (3), 219-227
    See also Working Paper (2000)
51. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations (903)
    See also Working Paper (2000)

1999

52. 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

53. 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)
54. Characterization of error distributions in time-series regression models
    Statistics & Probability Letters, 1998, 38, (4), 335-345
    See also Working Paper (1998)

1997

55. 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

56. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    Annals of the Institute of Statistical Mathematics, 1996, 48, (3), 429-449 View citations (6)
    See also Working Paper (1996)
57. 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

58. 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 (11)
    See also Working Paper (1995)

1994

59. 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)
60. ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1994, 15, (3), 263-268
    See also Working Paper (1994)
61. ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS
    Journal of Time Series Analysis, 1994, 15, (6), 607-611

1992

62. Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
    Econometric Theory, 1992, 8, (2), 223-240
    See also Working Paper (1992)

1991

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

1989

65. 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

66. LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
    Journal of Time Series Analysis, 1987, 8, (4), 409-424
    See also Working Paper (1987)
67. 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

68. Nonstationary Yule-Walker equations
    Statistics & Probability Letters, 1983, 1, (4), 189-195 View citations (3)
    See also Working Paper (1983)

1981

69. Étude Statistique de la Probabilité de Sinistre en Assurance Automobile
    ASTIN Bulletin, 1981, 12, (1), 40-56

1978

70. 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)