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)

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Last updated 2019-05-06. Update your information in the RePEc Author Service.

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Working Papers

2019

1. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
   Also in Working Papers, Lancaster University Management School, Economics Department (2019)

2018

2. From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance”
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
3. Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
   Also in Papers, arXiv.org (2018)
4. 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 (5)
5. Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
6. Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2017

7. A Simple R-Estimation Method for Semiparametric Duration Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
8. 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 (4)
   See also Journal Article in Journal of the Royal Statistical Society Series C (2017)
9. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
10. On Distribution and Quantile Functions, Ranks and Signs in R_d
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
11. 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)
12. Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2016

13. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (26)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) View citations (9)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (26)
    See also Journal Article in Journal of Econometrics (2017)
14. Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
15. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
    Papers, arXiv.org
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
16. 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

17. 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)
18. Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article in Journal of Econometrics (2017)
19. 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 (5)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (2)
    See also Journal Article in Econometrics Journal (2016)
20. Monge-Kantorovich Depth, Quantiles, Ranks and Signs
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (2)
    Papers, arXiv.org (2015)
    Sciences Po publications, Sciences Po (2015) View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (1)
21. Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models
    Discussion Paper, Tilburg University, Center for Economic Research
22. Quantile Spectral Analysis for Locally Stationary Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (2)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2017)

2014

23. Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
24. Quantile Spectral Processes: Asymptotic Analysis and Inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
25. Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2013

26. A Serial Version of Hodges and Lehmann's "6/pi Result"
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
27. Efficient R-Estimation of Principal and Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
    See also Journal Article in Journal of the American Statistical Association (2014)
28. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (10)
    See also Journal Article in Stochastic Processes and their Applications (2013)
29. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
30. On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
31. 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)
32. R-estimation in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

2012

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

2011

37. 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 (2)
38. A class of simple distribution-free rank-based unit root tests
    Post-Print, HAL View citations (3)
    See also Journal Article in Journal of Econometrics (2011)
39. Asymptotic Power of Sphericity Tests for High-Dimensional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (17)
40. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article in Journal of Econometrics (2011)
41. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)
42. One-Sided Representations of Generalized Dynamic Factor Models
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (2)
    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 (2)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) View citations (2)
43. Optimal Rank-Based Tests for Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)
44. Rank-based testing in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article in Journal of Nonparametric Statistics (2011)

2010

45. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
46. Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (48)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (12)
47. On the estimation of cross-information quantities in rank-based inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (4)
48. Rank‐based Optimal Tests for Random Effects in Panel Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2009

49. A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
50. Optimal rank-based testing for principal component
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)

2008

51. Dynamic Factors in the Presence of Block Structure
    Economics Working Papers, European University Institute View citations (5)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (11)
52. On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
53. Semiparametrically efficient inference based on signs and ranks statistics for median-restricted models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2007

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

2006

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

2005

60. Testing non-correlation and non-causality between multivariate arma time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article in Journal of Time Series Analysis (2005)
61. Testing non-correlation and non-causality between two multivariate ARMA time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
62. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (131)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) View citations (51)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (42)
    Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (51)
    See also Journal Article in Journal of the American Statistical Association (2005)

2004

63. Kernel density estimation for spatial processes: the L1 theory
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (19)
    See also Journal Article in Journal of Multivariate Analysis (2004)
64. Local linear spatial regression
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (32)
65. Optimal detection of periodicities in vector autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
66. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2008)
67. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (59)
    See also Journal Article in Journal of Econometrics (2004)

2003

68. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (194)
    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)
69. Efficient detection of random coefficients in AR(p) models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
70. Efficient detection of random coefficients in autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
71. Semiparametric efficiency, distribution-freeness and invariance
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (28)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (32)

2002

72. 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
73. 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

74. 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)
75. Coincident and leading indicators for the Euro area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (124)
76. Density estimation for spatial linear processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (28)
77. Estimation in autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
78. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (138)
79. Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
80. Projection de Hájek et polynômes de Bernstein
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
81. Rank tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
82. Sample heterogeneity and the asymptotics of M-estimators
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2000

83. Kendall's tau for serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
84. Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
85. 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)
86. Rank-based partial correlograms are not asymptotically distribution-free
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
87. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (29)
88. The efficiency of some nonparametric competitors to correlogram-based methods
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
89. The generalised dynamic factor model: identification and estimation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (399)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (294)
    See also Journal Article in The Review of Economics and Statistics (2000)

1999

90. 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)
91. L1-estimation in linear models with heterogeneous white noise
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article in Statistics & Probability Letters (1999)
92. Local asymptotic normality for regression models with long-memory disturbance, with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
93. Nonparametric tests of independence between two autoregressive series based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
94. Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
95. Optimal tests for autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
96. Rank-Based Autoregressive Order Identification
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
97. Rank-based AR order identification
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1998

98. 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)
99. Generalized run tests for heteroscedastic time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (17)
100. Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
101. 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 (10)
     Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1998) View citations (1)
102. Spectral factorization of periodically correlated MA(1) processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1997

103. 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)
104. A Berry-Esséen theorem for simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
105. 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)
106. Unimodality and the asymptotics of M-estimators
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
107. When does Edgeworth beat Berry and Esséen?
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
108. When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1996

109. A simple proof of asymptotic normality for simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
110. Eléments de la théorie asymptotique des expériences statistiques
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
111. Is 131,000 a large sample size? a numerical study of Edgeworth expansions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
112. 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)
113. Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
114. Kernel density estimation on random fields: the L1 theory
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (20)
115. Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
116. 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)
117. Order selection, stochastic complexity and Kullback-Leibler information
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
118. Rank-based tests for autoregressive against bilinear serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
119. Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
120. 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
121. Tests sans biais, tests de permutation, tests invariants, tests de rangs
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
122. The asymptotic behavior of the characteristic function of simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1995

123. A multivariate Wald-Wolfowitz rank test against serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
124. 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)
125. Local asymptotic normality of multivariate ARMA processes with a linear trend
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
     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

126. Aligned rank tests for linear models with autocorrelated errors
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
127. 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
128. 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
129. On the Pitman nonadmissibility of correlogram-based time series methods
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
130. On the invertibility of periodic moving-average models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
     See also Journal Article in Journal of Time Series Analysis (1994)

1993

131. A Chernoff-Savage result for serial signed rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
132. Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (15)
     Also in Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)
     Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)

1992

133. 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)
134. 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)
135. Optimal rank-based tests against first-order superdiagonal bilinear dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
136. Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
137. Rank Tests for Time Series Analysis, A Survey
     Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (16)
     Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1992) View citations (6)
138. 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)
139. Some asymptotic results for a broad class of nonparametric statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1991

140. An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
     Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990)
141. Nonuniform bounds for nonparametric t-tests
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
     See also Journal Article in Econometric Theory (1991)
142. Rank tests for time-series analysis: a bibliographical survey
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
143. Time series analysis via rank-order theory, signed-rank tests for ARMA models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
     See also Journal Article in Journal of Multivariate Analysis (1991)

1990

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

1989

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

1988

148. Locally asymptomatically rank-based procedures for testing autoregressive moving average dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
149. Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
150. 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)
151. On locally asymptotically maximin tests for ARMA processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
152. 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 (10)
153. 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 (8)
154. Rank-based tests for randomness against first-order serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
155. Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1987

156. Fractions continuées matricielles et matrices-bandes définies positives infinies
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
157. La recherche opérationnelle par l'exemple II: théorie des graphes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
158. 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)
159. Tests non paramétriques optimaux pour une autorégression d'ordre un
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986)

1986

160. La recherche opérationnelle par l'exemple I: P+B141 programmation linéaire
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
161. 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
162. Locally asymptotically optimal tests for randomness
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
163. Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
164. On fractional linear bounds for probability generating functions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
165. Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
166. Tests de rangs localement optimaux pour une hypothèse de bruit blanc multivarié
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
167. 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

168. From premium calculation to premium rating
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
169. Linear serial rank tests for randomness against ARMA alternatives
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (21)
     Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1984) View citations (4)
170. Tests de rangs linéaires pour une hypothèse de bruit blanc
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
171. Tests de rangs quadratiques pour une hypothèse de bruit blanc
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1984

172. 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
173. Spectral factorization of nonstationary moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)

1983

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

1982

178. Moving average models for time-dependent autocovariance functions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
179. Nonstationary second-order moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
180. The model-building problem for nonstationary multivariate autoregressive processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
181. 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

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

1980

185. Invertibility and generalized invertibility of time-series models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
186. 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
187. 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

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

1977

190. Etude statistique des facteurs influençant un risque
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
191. Méthodes statistiques de construction de tarifs
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
192. Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
193. 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

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

1972

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

Journal Articles

2018

1. Foreword from the editors…
   Statistical Inference for Stochastic Processes, 2018, 21, (2), 261-262
2. On Wigner–Ville Spectra and the Uniqueness of Time†Varying Copula†Based Spectral Densities
   Journal of Time Series Analysis, 2018, 39, (3), 242-250
3. Optimal dimension reduction for high-dimensional and functional time series
   Statistical Inference for Stochastic Processes, 2018, 21, (2), 385-398
   See also Working Paper (2017)

2017

4. 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 (7)
   See also Working Paper (2017)
5. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
   Journal of Econometrics, 2017, 199, (1), 74-92 View citations (16)
   See also Working Paper (2016)
6. Foreword from the Editors
   Statistical Inference for Stochastic Processes, 2017, 20, (3), 273-274
7. Generalized dynamic factor models and volatilities: estimation and forecasting
   Journal of Econometrics, 2017, 201, (2), 307-321 View citations (5)
   See also Working Paper (2015)
8. Quantile spectral analysis for locally stationary time series
   Journal of the Royal Statistical Society Series B, 2017, 79, (5), 1619-1643 View citations (2)
   See also Working Paper (2015)
9. R-estimation in semiparametric dynamic location-scale models
   Journal of Econometrics, 2017, 196, (2), 233-247

2016

10. Elliptical multiple-output quantile regression and convex optimization
    Statistics & Probability Letters, 2016, 109, (C), 232-237 View citations (1)
    See also Working Paper (2015)
11. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 View citations (10)
    See also Working Paper (2015)
12. 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 (2)

2015

13. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 View citations (38)
    See also Working Paper (2012)
14. Dynamic functional principal components
    Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 View citations (12)
15. R -Estimation for Asymmetric Independent Component Analysis
    Journal of the American Statistical Association, 2015, 110, (509), 218-232 View citations (3)
    See also Working Paper (2013)

2014

16. 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

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

2012

21. Editors’ Note
    International Statistical Review, 2012, 80, (1), 1-1
22. 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

23. A class of simple distribution-free rank-based unit root tests
    Journal of Econometrics, 2011, 163, (2), 200-214 View citations (3)
    See also Working Paper (2011)
24. Dynamic factors in the presence of blocks
    Journal of Econometrics, 2011, 163, (1), 29-41 View citations (24)
25. Market liquidity as dynamic factors
    Journal of Econometrics, 2011, 163, (1), 42-50 View citations (11)
    See also Working Paper (2011)
26. Rank-based testing in linear models with stable errors
    Journal of Nonparametric Statistics, 2011, 23, (2), 305-320
    See also Working Paper (2011)

2010

27. Testing for Common Principal Components under Heterokurticity
    Journal of Nonparametric Statistics, 2010, 22, (7), 879-895 View citations (2)

2009

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

2008

29. 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 (1)
    See also Working Paper (2004)

2007

30. Determining the Number of Factors in the General Dynamic Factor Model
    Journal of the American Statistical Association, 2007, 102, 603-617 View citations (204)
31. Optimal Tests of Noncorrelation Between Multivariate Time Series
    Journal of the American Statistical Association, 2007, 102, 938-951

2006

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

2005

35. 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 (14)
36. Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series
    Journal of Time Series Analysis, 2005, 26, (1), 83-105 View citations (8)
    See also Working Paper (2005)
37. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 View citations (404)
    See also Working Paper (2005)

2004

38. Kernel density estimation for spatial processes: the L1 theory
    Journal of Multivariate Analysis, 2004, 88, (1), 61-75 View citations (21)
    See also Working Paper (2004)
39. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 View citations (155)
    See also Working Paper (2004)

2003

40. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations (161)
    See also Working Paper (2003)

2000

41. Rank-based partial autocorrelations are not asymptotically distribution-free
    Statistics & Probability Letters, 2000, 47, (3), 219-227
    See also Working Paper (2000)
42. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations (775)
    See also Working Paper (2000)

1999

43. L1-estimation in linear models with heterogeneous white noise
    Statistics & Probability Letters, 1999, 45, (4), 305-315 View citations (2)
    See also Working Paper (1999)

1998

44. 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)
45. Characterization of error distributions in time-series regression models
    Statistics & Probability Letters, 1998, 38, (4), 335-345
    See also Working Paper (1998)

1997

46. 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

47. 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)
48. Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
    Econometric Theory, 1996, 12, (01), 88-112 View citations (1)
    See also Working Paper (1996)

1995

49. 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 (5)
    See also Working Paper (1995)

1994

50. Aligned Rank Tests for Linear Models with Autocorrelated Error Terms
    Journal of Multivariate Analysis, 1994, 50, (2), 175-237 View citations (17)
    See also Working Paper (1992)
51. ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1994, 15, (3), 263-268
    See also Working Paper (1994)
52. ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS
    Journal of Time Series Analysis, 1994, 15, (6), 607-611

1992

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

1991

54. Nonuniform Bounds for Nonparametric t-Tests
    Econometric Theory, 1991, 7, (02), 253-263 View citations (8)
    See also Working Paper (1991)
55. Time series analysis via rank order theory: Signed-rank tests for ARMA models
    Journal of Multivariate Analysis, 1991, 39, (1), 1-29 View citations (5)
    See also Working Paper (1991)

1989

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

1987

57. 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)
58. Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
    Annals of Economics and Statistics, 1987, (6-7), 411-434

1983

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

1981

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

1978

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

Editor

1. International Statistical Review
   International Statistical Institute
2. Statistical Inference for Stochastic Processes
   Springer