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Details about Marc Hallin

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

Access statistics for papers by Marc Hallin.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pha368


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Working Papers

2024

  1. Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Dynamic Factor Models: a Genealogy
    Papers, arXiv.org Downloads
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2023) Downloads

2023

  1. Monotone Measure-Preserving Maps in Hilbert Spaces: Existence, Uniqueness, and Stability
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Multivariate Quantiles: Geometric and Measure-Transportation-Based Contours
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. On Bounded Completeness and The L1-Densensess of Likelihood Ratios
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  4. Semiparametrically Efficient Tests of Multivariate Independence Using Center-Outward Quadrant, Spearman, and Kendall Statistics
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2022

  1. Center-OutwardMultiple-Output Lorenz Curves and Gini Indices a measure transportation approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Center-outward Rank- and Sign-based VARMA Portmanteau Tests
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  4. Nonparametric Measure-transportation-based Methods for Directional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  5. Nonparametric Multiple-Output Center-Outward Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (6)

2021

  1. Center-Outward Sign- and Rank-Based Quadrant, Spearman, and Kendall Tests for Multivariate Independence
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA, Journal of the American Statistical Association, Taylor & Francis Journals (2023) Downloads (2023)
  3. Inferential Theory for Generalized Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article Inferential theory for generalized dynamic factor models, Journal of Econometrics, Elsevier (2024) Downloads (2024)
  4. Measure Transportation and Statistical Decision Theory
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  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 (6)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2020) Downloads View citations (1)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2020) Downloads
  6. On the Finite-Sample Performance of Measure Transportation-Based Multivariate Rank Tests
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
  7. The Integrated Copula Spectrum
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2020

  1. Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Fully Distribution-free Center-outward Rank Tests for Multiple-output Regression and Manova
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
  3. Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  4. Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
  5. 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) Downloads View citations (2)
    See also Journal Article Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting, International Journal of Forecasting, Elsevier (2021) Downloads View citations (2) (2021)
  6. 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 (7)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) Downloads View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019) Downloads

    See also Journal Article Time-varying general dynamic factor models and the measurement of financial connectedness, Journal of Econometrics, Elsevier (2021) Downloads View citations (10) (2021)

2019

  1. A Note on the Regularity of Center-Outward Distribution and Quantile Functions
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  2. CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (4)
    See also Journal Article Center-outward quantiles and the measurement of multivariate risk, Insurance: Mathematics and Economics, Elsevier (2020) Downloads View citations (4) (2020)
  3. Center-Outward R-Estimation for Semiparametric VARMA Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (5)
    See also Journal Article Center-Outward R-Estimation for Semiparametric VARMA Models, Journal of the American Statistical Association, Taylor & Francis Journals (2022) Downloads View citations (2) (2022)
  4. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (3)
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) Downloads View citations (3)

    See also Journal Article Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) Downloads (2022)
  5. Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) Downloads View citations (4)

    See also Journal Article Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals, Journal of Econometrics, Elsevier (2020) Downloads View citations (9) (2020)
  6. High-Dimensional Functional Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  7. 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 Downloads View citations (14)
    See also Journal Article Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models, Journal of Financial Econometrics, Oxford University Press (2019) Downloads View citations (6) (2019)
  8. 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 Downloads
  9. Optimal tests for elliptical symmetry: specified and unspecified location
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2018

  1. From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance”
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  3. Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (9)

2017

  1. A Simple R-Estimation Method for Semiparametric Duration Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
    See also Journal Article A Simple R-estimation method for semiparametric duration models, Journal of Econometrics, Elsevier (2020) Downloads (2020)
  2. 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 Downloads View citations (31)
    See also Journal Article A network analysis of the volatility of high dimensional financial series, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2017) Downloads View citations (42) (2017)
  3. Generalized dynamic factor models and volatilities estimation and forecasting
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (27)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (8)

    See also Journal Article Generalized dynamic factor models and volatilities: estimation and forecasting, Journal of Econometrics, Elsevier (2017) Downloads View citations (26) (2017)
  4. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  5. Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
    Post-Print, HAL Downloads View citations (32)
    Also in Working Papers, HAL (2015) Downloads
    Papers, arXiv.org (2015) Downloads
    Sciences Po publications, Sciences Po (2015) Downloads View citations (1)
    CeMMAP working papers, Institute for Fiscal Studies (2015) Downloads
    CeMMAP working papers, Institute for Fiscal Studies (2015) Downloads
    Sciences Po publications, Sciences Po (2017) Downloads View citations (33)
    SciencePo Working papers Main, HAL (2015) Downloads
    SciencePo Working papers Main, HAL (2017) Downloads View citations (7)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (13)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (1)
  6. On Distribution and Quantile Functions, Ranks and Signs in R_d
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (11)
  7. Optimal Dimension Reduction for High-dimensional and Functional Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article Optimal dimension reduction for high-dimensional and functional time series, Statistical Inference for Stochastic Processes, Springer (2018) Downloads View citations (2) (2018)
  8. Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2016

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) Downloads View citations (16)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (58)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) Downloads View citations (29)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (58)

    See also Journal Article Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis, Journal of Econometrics, Elsevier (2017) Downloads View citations (65) (2017)
  2. Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (5)
  3. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (1)
  4. On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)

2015

  1. Elliptical Multiple Output Quantile Regression and Convex Optimization
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article Elliptical multiple-output quantile regression and convex optimization, Statistics & Probability Letters, Elsevier (2016) Downloads View citations (2) (2016)
  2. 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 Downloads View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (3)

    See also Journal Article Generalized dynamic factor models and volatilities: recovering the market volatility shocks, Econometrics Journal, Royal Economic Society (2016) Downloads View citations (44) (2016)
  3. Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2015) Downloads
  4. Quantile Spectral Analysis for Locally Stationary Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (4)

    See also Journal Article Quantile spectral analysis for locally stationary time series, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2017) Downloads View citations (11) (2017)

2014

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

2013

  1. A Serial Version of Hodges and Lehmann's "6/pi Result"
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  2. Efficient R-Estimation of Principal and Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article Efficient R-Estimation of Principal and Common Principal Components, Journal of the American Statistical Association, Taylor & Francis Journals (2014) Downloads View citations (7) (2014)
  3. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (37)
    See also Journal Article Factor models in high-dimensional time series—A time-domain approach, Stochastic Processes and their Applications, Elsevier (2013) Downloads View citations (15) (2013)
  4. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  5. On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (7)
  6. R-Estimation for Asymmetric Independent Component Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article R -Estimation for Asymmetric Independent Component Analysis, Journal of the American Statistical Association, Taylor & Francis Journals (2015) Downloads View citations (9) (2015)

2012

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article Dynamic factor models with infinite-dimensional factor spaces: One-sided representations, Journal of Econometrics, Elsevier (2015) Downloads View citations (84) (2015)
  2. Local Constant and Local Bilinear Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)
  3. Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2012) Downloads
    Discussion Paper, Tilburg University, Center for Economic Research (2012) Downloads
  4. Signal Detection in High Dmension: The Multispiked Case
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (6)

2011

  1. A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (2)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) Downloads View citations (3)
  2. A class of simple distribution-free rank-based unit root tests
    Post-Print, HAL Downloads View citations (12)
    See also Journal Article A class of simple distribution-free rank-based unit root tests, Journal of Econometrics, Elsevier (2011) Downloads View citations (12) (2011)
  3. Asymptotic Power of Sphericity Tests for High-Dimensional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (29)
  4. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (14)
    See also Journal Article Market liquidity as dynamic factors, Journal of Econometrics, Elsevier (2011) Downloads View citations (16) (2011)
  5. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (12)
  6. One-Sided Representations of Generalized Dynamic Factor Models
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads View citations (3)
    Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2011) Downloads View citations (3)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) Downloads View citations (3)
  7. Optimal Rank-Based Tests for Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (9)
  8. Rank-based testing in linear models with stable errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    See also Journal Article Rank-based testing in linear models with stable errors, Journal of Nonparametric Statistics, Taylor & Francis Journals (2011) Downloads View citations (3) (2011)

2010

  1. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (103)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (14)
  3. On the estimation of cross-information quantities in rank-based inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (8)
  4. Rank‐based Optimal Tests for Random Effects in Panel Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (1)

2009

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

2008

  1. Dynamic Factors in the Presence of Block Structure
    Economics Working Papers, European University Institute Downloads View citations (10)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (12)
  2. On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  3. 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

  1. Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Optimal tests for non-correlation between multivariate time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article Optimal Tests of Noncorrelation Between Multivariate Time Series, Journal of the American Statistical Association, American Statistical Association (2007) Downloads View citations (4) (2007)

2006

  1. Discussion of Quantile autoregression, by Koenker and Xiao
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  2. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005) Downloads
    CIRANO Working Papers, CIRANO (2005) Downloads

    See also Journal Article Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, Journal of Econometrics, Elsevier (2006) Downloads View citations (3) (2006)
  3. Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  4. Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2003) Downloads View citations (3)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2003) Downloads

2005

  1. Testing non-correlation and non-causality between multivariate arma time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
    See also Journal Article Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series, Journal of Time Series Analysis, Wiley Blackwell (2005) Downloads View citations (12) (2005)
  2. Testing non-correlation and non-causality between two multivariate ARMA time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
  3. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (501)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (64)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (47)
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) Downloads View citations (56)

    See also Journal Article The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting, Journal of the American Statistical Association, American Statistical Association (2005) Downloads View citations (559) (2005)

2004

  1. Kernel density estimation for spatial processes: the L1 theory
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (23)
    See also Journal Article Kernel density estimation for spatial processes: the L1 theory, Journal of Multivariate Analysis, Elsevier (2004) Downloads View citations (25) (2004)
  2. Local linear spatial regression
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (41)
  3. Optimal detection of periodicities in vector autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2004) Downloads View citations (1)

    See also Journal Article Semiparametrically efficient inference based on signs and ranks for median‐restricted models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2008) Downloads View citations (2) (2008)
  5. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (94)
    See also Journal Article The generalized dynamic factor model consistency and rates, Journal of Econometrics, Elsevier (2004) Downloads View citations (191) (2004)

2003

  1. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (251)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (26)

    See also Journal Article Do financial variables help forecasting inflation and real activity in the euro area?, Journal of Monetary Economics, Elsevier (2003) Downloads View citations (241) (2003)
  2. Efficient detection of random coefficients in AR(p) models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
  3. Efficient detection of random coefficients in autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
  4. Semiparametric efficiency, distribution-freeness and invariance
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (48)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (54)

2002

  1. 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
  2. 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

  1. Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Coincident and leading indicators for the Euro area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (149)
  3. Density estimation for spatial linear processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (33)
  4. Estimation in autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (150)
  6. Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  7. Projection de Hájek et polynômes de Bernstein
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  8. Rank tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  9. Sample heterogeneity and the asymptotics of M-estimators
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2000

  1. Kendall's tau for serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
  2. Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
  3. Rank-based partial autocorrelations are not asymptotically distribution-free
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article Rank-based partial autocorrelations are not asymptotically distribution-free, Statistics & Probability Letters, Elsevier (2000) Downloads (2000)
  4. Rank-based partial correlograms are not asymptotically distribution-free
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (46)
  6. The efficiency of some nonparametric competitors to correlogram-based methods
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
  7. The generalised dynamic factor model: identification and estimation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (618)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads View citations (334)

    See also Journal Article The Generalized Dynamic-Factor Model: Identification And Estimation, The Review of Economics and Statistics, MIT Press (2000) Downloads View citations (1069) (2000)

1999

  1. Adaptive estimation of the lag of a long-memory process
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article Adaptive Estimation of the Lag of a Long–memory Process, Statistical Inference for Stochastic Processes, Springer (1998) Downloads (1998)
  2. L1-estimation in linear models with heterogeneous white noise
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article L1-estimation in linear models with heterogeneous white noise, Statistics & Probability Letters, Elsevier (1999) Downloads View citations (4) (1999)
  3. Local asymptotic normality for regression models with long-memory disturbance, with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
  4. Nonparametric tests of independence between two autoregressive series based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
  5. Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  6. Optimal tests for autoregressive models based on autoregression rank scores
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
  7. Rank-Based Autoregressive Order Identification
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  8. Rank-based AR order identification
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1998

  1. Characterization of error distributions in time series regression models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1998)

    See also Journal Article Characterization of error distributions in time-series regression models, Statistics & Probability Letters, Elsevier (1998) Downloads (1998)
  2. Generalized run tests for heteroscedastic time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
  3. Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  4. 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)
  5. Spectral factorization of periodically correlated MA(1) processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1997

  1. A Berry-Esséen theorem for serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1995)

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

1996

  1. A simple proof of asymptotic normality for simple serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  2. Eléments de la théorie asymptotique des expériences statistiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Is 131,000 a large sample size? a numerical study of Edgeworth expansions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    See also Journal Article Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation, Annals of the Institute of Statistical Mathematics, Springer (1996) Downloads View citations (7) (1996)
  5. Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
  6. Kernel density estimation on random fields: the L1 theory
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (25)
  7. Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  8. Locally optimal tests against periodic autoregression: parametric and nonparametric approaches
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches, Econometric Theory, Cambridge University Press (1996) Downloads View citations (1) (1996)
  9. Order selection, stochastic complexity and Kullback-Leibler information
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  10. Rank-based tests for autoregressive against bilinear serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
  11. Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  12. 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
  13. Tests sans biais, tests de permutation, tests invariants, tests de rangs
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  14. The asymptotic behavior of the characteristic function of simple serial rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1995

  1. 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)
  2. Local asymptotic normality of multivariate ARMA processes with a linear trend
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
    Also in Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1992)

    See also Journal Article Local asymptotic normality of multivariate ARMA processes with a linear trend, Annals of the Institute of Statistical Mathematics, Springer (1995) Downloads View citations (13) (1995)

1994

  1. Aligned rank tests for linear models with autocorrelated errors
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (24)
  2. 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
  3. 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
  4. On the Pitman nonadmissibility of correlogram-based time series methods
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
  5. On the invertibility of periodic moving-average models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS, Journal of Time Series Analysis, Wiley Blackwell (1994) Downloads (1994)

1993

  1. A Chernoff-Savage result for serial signed rank statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)

1992

  1. Aligned Rank tests for Linear Models with Autocorrelated Error Terms
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (2)
    See also Journal Article Aligned Rank Tests for Linear Models with Autocorrelated Error Terms, Journal of Multivariate Analysis, Elsevier (1994) Downloads View citations (22) (1994)
  2. 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 Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications, Econometric Theory, Cambridge University Press (1992) Downloads (1992)
  3. Optimal rank-based tests against first-order superdiagonal bilinear dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
  4. Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads
  5. Rank Tests for Time Series Analysis, A Survey
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (18)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1992) View citations (17)
  6. 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)
  7. Some asymptotic results for a broad class of nonparametric statistics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1991

  1. 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)
  2. Nonuniform bounds for nonparametric t-tests
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (8)
    See also Journal Article Nonuniform Bounds for Nonparametric t-Tests, Econometric Theory, Cambridge University Press (1991) Downloads View citations (8) (1991)
  3. Rank tests for time-series analysis: a bibliographical survey
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Time series analysis via rank-order theory, signed-rank tests for ARMA models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
    See also Journal Article Time series analysis via rank order theory: Signed-rank tests for ARMA models, Journal of Multivariate Analysis, Elsevier (1991) Downloads View citations (10) (1991)

1990

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

1989

  1. 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 Asymptotically most powerful rank tests for multivariate randomness against serial dependence, Journal of Multivariate Analysis, Elsevier (1989) Downloads View citations (3) (1989)
  2. Contribution to "Discussion of the paper by Bruce and Martin"
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads
  3. 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

  1. Locally asymptomatically rank-based procedures for testing autoregressive moving average dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. 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)
  4. On locally asymptotically maximin tests for ARMA processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  5. On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (15)
  6. 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)
  7. Rank-based tests for randomness against first-order serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
  8. Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1987

  1. Fractions continuées matricielles et matrices-bandes définies positives infinies
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. La recherche opérationnelle par l'exemple II: théorie des graphes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Linear and quadratic serial rank tests for randomness against serial dependence
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE, Journal of Time Series Analysis, Wiley Blackwell (1987) Downloads View citations (6) (1987)
  4. 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

  1. La recherche opérationnelle par l'exemple I: P+B141 programmation linéaire
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. 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
  3. Locally asymptotically optimal tests for randomness
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
  5. On fractional linear bounds for probability generating functions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  6. Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  7. Tests de rangs localement optimaux pour une hypothèse de bruit blanc multivarié
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  8. 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

  1. From premium calculation to premium rating
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Linear serial rank tests for randomness against ARMA alternatives
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (27)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1984) View citations (4)
  3. Tests de rangs linéaires pour une hypothèse de bruit blanc
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Tests de rangs quadratiques pour une hypothèse de bruit blanc
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1984

  1. 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
  2. Spectral factorization of nonstationary moving average processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)

1983

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

1982

  1. Moving average models for time-dependent autocovariance functions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Nonstationary second-order moving average processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. The model-building problem for nonstationary multivariate autoregressive processes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. 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

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

1980

  1. Invertibility and generalized invertibility of time-series models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  2. 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
  3. 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

  1. Band strategies: the random walk of reserves
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  2. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
    See also Journal Article Mixed autoregressive-moving average multivariate processes with time-dependent coefficients, Journal of Multivariate Analysis, Elsevier (1978) Downloads View citations (8) (1978)

1977

  1. Etude statistique des facteurs influençant un risque
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. Méthodes statistiques de construction de tarifs
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  3. Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. 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

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

1972

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

Journal Articles

2024

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

2023

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

2022

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

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 Downloads View citations (2)
    See also Working Paper Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting, Textos para discussão (2020) Downloads View citations (2) (2020)
  2. Time-varying general dynamic factor models and the measurement of financial connectedness
    Journal of Econometrics, 2021, 222, (1), 324-343 Downloads View citations (10)
    See also Working Paper Time-varying general dynamic factor models and the measurement of financial connectedness, LIDAM Reprints ISBA (2020) View citations (7) (2020)

2020

  1. A Simple R-estimation method for semiparametric duration models
    Journal of Econometrics, 2020, 218, (2), 736-749 Downloads
    See also Working Paper A Simple R-Estimation Method for Semiparametric Duration Models, Working Papers ECARES (2017) Downloads View citations (1) (2017)
  2. A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
    Journal of Multivariate Analysis, 2020, 180, (C) Downloads View citations (10)
  3. Center-outward quantiles and the measurement of multivariate risk
    Insurance: Mathematics and Economics, 2020, 95, (C), 79-100 Downloads View citations (4)
    See also Working Paper CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK, Working Papers ECARES (2019) Downloads View citations (4) (2019)
  4. Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
    Journal of Nonparametric Statistics, 2020, 32, (2), 367-402 Downloads View citations (2)
  5. Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
    Journal of Econometrics, 2020, 216, (1), 4-34 Downloads View citations (9)
    See also Working Paper Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals, Papers (2019) Downloads View citations (3) (2019)

2019

  1. Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
    Journal of Financial Econometrics, 2019, 17, (3), 462-494 Downloads View citations (6)
    See also Working Paper Identification of global and local shocks in international financial markets via general dynamic factor models, LSE Research Online Documents on Economics (2019) Downloads View citations (14) (2019)

2018

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

2017

  1. A network analysis of the volatility of high dimensional financial series
    Journal of the Royal Statistical Society Series C, 2017, 66, (3), 581-605 Downloads View citations (42)
    See also Working Paper A network analysis of the volatility of high-dimensionalfinancial series, LSE Research Online Documents on Economics (2017) Downloads View citations (31) (2017)
  2. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
    Journal of Econometrics, 2017, 199, (1), 74-92 Downloads View citations (65)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis, EIEF Working Papers Series (2016) Downloads View citations (16) (2016)
  3. Foreword from the Editors
    Statistical Inference for Stochastic Processes, 2017, 20, (3), 273-274 Downloads
  4. Generalized dynamic factor models and volatilities: estimation and forecasting
    Journal of Econometrics, 2017, 201, (2), 307-321 Downloads View citations (26)
    See also Working Paper Generalized dynamic factor models and volatilities estimation and forecasting, LSE Research Online Documents on Economics (2017) Downloads View citations (27) (2017)
  5. Quantile spectral analysis for locally stationary time series
    Journal of the Royal Statistical Society Series B, 2017, 79, (5), 1619-1643 Downloads View citations (11)
    See also Working Paper Quantile Spectral Analysis for Locally Stationary Time Series, Working Papers ECARES (2015) Downloads View citations (2) (2015)
  6. R-estimation in semiparametric dynamic location-scale models
    Journal of Econometrics, 2017, 196, (2), 233-247 Downloads View citations (2)

2016

  1. Elliptical multiple-output quantile regression and convex optimization
    Statistics & Probability Letters, 2016, 109, (C), 232-237 Downloads View citations (2)
    See also Working Paper Elliptical Multiple Output Quantile Regression and Convex Optimization, Working Papers ECARES (2015) Downloads (2015)
  2. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 Downloads View citations (44)
    See also Working Paper Generalized dynamic factor models and volatilities: recovering the market volatility shocks, LSE Research Online Documents on Economics (2015) Downloads View citations (8) (2015)
  3. 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 Downloads View citations (4)

2015

  1. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 Downloads View citations (84)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations, Working Papers ECARES (2012) Downloads View citations (2) (2012)
  2. Dynamic functional principal components
    Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 Downloads View citations (45)
  3. R -Estimation for Asymmetric Independent Component Analysis
    Journal of the American Statistical Association, 2015, 110, (509), 218-232 Downloads View citations (9)
    See also Working Paper R-Estimation for Asymmetric Independent Component Analysis, Working Papers ECARES (2013) Downloads View citations (2) (2013)

2014

  1. Efficient R-Estimation of Principal and Common Principal Components
    Journal of the American Statistical Association, 2014, 109, (507), 1071-1083 Downloads View citations (7)
    See also Working Paper Efficient R-Estimation of Principal and Common Principal Components, Working Papers ECARES (2013) Downloads View citations (2) (2013)

2013

  1. Editors’ Note
    International Statistical Review, 2013, 81, (1), 1-1 Downloads
  2. Factor models in high-dimensional time series—A time-domain approach
    Stochastic Processes and their Applications, 2013, 123, (7), 2678-2695 Downloads View citations (15)
    See also Working Paper Factor Models in High-Dimensional Time Series: A Time-Domain Approach, Working Papers ECARES (2013) Downloads View citations (37) (2013)
  3. New Book Review Editor for the International Statistical Review
    International Statistical Review, 2013, 81, (3), 337-337 Downloads
  4. One-step R-estimation in linear models with stable errors
    Journal of Econometrics, 2013, 172, (2), 195-204 Downloads View citations (8)

2012

  1. Editors’ Note
    International Statistical Review, 2012, 80, (1), 1-1 Downloads
  2. 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 Downloads View citations (1)

2011

  1. A class of simple distribution-free rank-based unit root tests
    Journal of Econometrics, 2011, 163, (2), 200-214 Downloads View citations (12)
    See also Working Paper A class of simple distribution-free rank-based unit root tests, Post-Print (2011) Downloads View citations (12) (2011)
  2. Dynamic factors in the presence of blocks
    Journal of Econometrics, 2011, 163, (1), 29-41 Downloads View citations (45)
  3. Market liquidity as dynamic factors
    Journal of Econometrics, 2011, 163, (1), 42-50 Downloads View citations (16)
    See also Working Paper Market liquidity as dynamic factors, Working Papers ECARES (2011) View citations (14) (2011)
  4. Rank-based testing in linear models with stable errors
    Journal of Nonparametric Statistics, 2011, 23, (2), 305-320 Downloads View citations (3)
    See also Working Paper Rank-based testing in linear models with stable errors, ULB Institutional Repository (2011) View citations (7) (2011)

2010

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

2009

  1. Optimal tests for homogeneity of covariance, scale, and shape
    Journal of Multivariate Analysis, 2009, 100, (3), 422-444 Downloads View citations (8)

2008

  1. 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 Downloads View citations (2)
    See also Working Paper Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models, Discussion Paper (2004) Downloads View citations (2) (2004)

2007

  1. Determining the Number of Factors in the General Dynamic Factor Model
    Journal of the American Statistical Association, 2007, 102, 603-617 Downloads View citations (328)
  2. Optimal Tests of Noncorrelation Between Multivariate Time Series
    Journal of the American Statistical Association, 2007, 102, 938-951 Downloads View citations (4)
    See also Working Paper Optimal tests for non-correlation between multivariate time series, ULB Institutional Repository (2007) View citations (2) (2007)

2006

  1. Comment
    Journal of the American Statistical Association, 2006, 101, 996-998 Downloads
  2. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    Journal of Econometrics, 2006, 130, (1), 123-142 Downloads View citations (3)
    See also Working Paper Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, ULB Institutional Repository (2006) Downloads View citations (4) (2006)
  3. Parametric and semiparametric inference for shape: the role of the scale functional
    Statistics & Risk Modeling, 2006, 24, (3), 24 Downloads View citations (8)

2005

  1. Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
    Journal of Multivariate Analysis, 2005, 93, (1), 122-163 Downloads View citations (21)
  2. Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
    Journal of Time Series Analysis, 2005, 26, (1), 83-105 Downloads View citations (12)
    See also Working Paper Testing non-correlation and non-causality between multivariate arma time series, ULB Institutional Repository (2005) View citations (13) (2005)
  3. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 Downloads View citations (559)
    See also Working Paper The generalised dynamic factor model: one sided estimation and forecasting, ULB Institutional Repository (2005) View citations (501) (2005)

2004

  1. Kernel density estimation for spatial processes: the L1 theory
    Journal of Multivariate Analysis, 2004, 88, (1), 61-75 Downloads View citations (25)
    See also Working Paper Kernel density estimation for spatial processes: the L1 theory, ULB Institutional Repository (2004) View citations (23) (2004)
  2. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 Downloads View citations (191)
    See also Working Paper The generalised dynamic factor model: consistency and rates, ULB Institutional Repository (2004) View citations (94) (2004)

2003

  1. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 Downloads View citations (241)
    See also Working Paper Do financial variables help forecasting inflation and real activity in the Euro area ?, ULB Institutional Repository (2003) Downloads View citations (251) (2003)

2000

  1. Rank-based partial autocorrelations are not asymptotically distribution-free
    Statistics & Probability Letters, 2000, 47, (3), 219-227 Downloads
    See also Working Paper Rank-based partial autocorrelations are not asymptotically distribution-free, ULB Institutional Repository (2000) (2000)
  2. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 Downloads View citations (1069)
    See also Working Paper The generalised dynamic factor model: identification and estimation, ULB Institutional Repository (2000) View citations (618) (2000)

1999

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

1998

  1. Adaptive Estimation of the Lag of a Long–memory Process
    Statistical Inference for Stochastic Processes, 1998, 1, (2), 111-129 Downloads
    See also Working Paper Adaptive estimation of the lag of a long-memory process, ULB Institutional Repository (1999) View citations (2) (1999)
  2. Characterization of error distributions in time-series regression models
    Statistics & Probability Letters, 1998, 38, (4), 335-345 Downloads
    See also Working Paper Characterization of error distributions in time series regression models, ULB Institutional Repository (1998) (1998)

1997

  1. A Berry-Esséen Theorem for Serial Rank Statistics
    Annals of the Institute of Statistical Mathematics, 1997, 49, (4), 777-799 Downloads View citations (1)
    See also Working Paper A Berry-Esséen theorem for serial rank statistics, ULB Institutional Repository (1997) (1997)

1996

  1. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    Annals of the Institute of Statistical Mathematics, 1996, 48, (3), 429-449 Downloads View citations (7)
    See also Working Paper Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation, ULB Institutional Repository (1996) View citations (7) (1996)
  2. Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
    Econometric Theory, 1996, 12, (1), 88-112 Downloads View citations (1)
    See also Working Paper Locally optimal tests against periodic autoregression: parametric and nonparametric approaches, ULB Institutional Repository (1996) View citations (1) (1996)

1995

  1. Local asymptotic normality of multivariate ARMA processes with a linear trend
    Annals of the Institute of Statistical Mathematics, 1995, 47, (3), 551-579 Downloads View citations (13)
    See also Working Paper Local asymptotic normality of multivariate ARMA processes with a linear trend, ULB Institutional Repository (1995) View citations (13) (1995)

1994

  1. Aligned Rank Tests for Linear Models with Autocorrelated Error Terms
    Journal of Multivariate Analysis, 1994, 50, (2), 175-237 Downloads View citations (22)
    See also Working Paper Aligned Rank tests for Linear Models with Autocorrelated Error Terms, Working Papers (1992) View citations (2) (1992)
  2. ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1994, 15, (3), 263-268 Downloads
    See also Working Paper On the invertibility of periodic moving-average models, ULB Institutional Repository (1994) View citations (6) (1994)
  3. ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS
    Journal of Time Series Analysis, 1994, 15, (6), 607-611 Downloads

1992

  1. Improved Berry-Esseen-Chebyshev Bounds with Statisical Applications
    Econometric Theory, 1992, 8, (2), 223-240 Downloads
    See also Working Paper Improved Berry-Esséen-Chebyshev bounds with statistical applications, ULB Institutional Repository (1992) (1992)

1991

  1. Nonuniform Bounds for Nonparametric t-Tests
    Econometric Theory, 1991, 7, (2), 253-263 Downloads View citations (8)
    See also Working Paper Nonuniform bounds for nonparametric t-tests, ULB Institutional Repository (1991) View citations (8) (1991)
  2. Time series analysis via rank order theory: Signed-rank tests for ARMA models
    Journal of Multivariate Analysis, 1991, 39, (1), 1-29 Downloads View citations (10)
    See also Working Paper Time series analysis via rank-order theory, signed-rank tests for ARMA models, ULB Institutional Repository (1991) View citations (10) (1991)

1989

  1. Asymptotically most powerful rank tests for multivariate randomness against serial dependence
    Journal of Multivariate Analysis, 1989, 30, (1), 34-71 Downloads View citations (3)
    See also Working Paper Asymptotically most powerful rank tests for multivariate randomness against serial dependence, ULB Institutional Repository (1989) View citations (3) (1989)

1987

  1. LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
    Journal of Time Series Analysis, 1987, 8, (4), 409-424 Downloads View citations (6)
    See also Working Paper Linear and quadratic serial rank tests for randomness against serial dependence, ULB Institutional Repository (1987) View citations (6) (1987)
  2. Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
    Annals of Economics and Statistics, 1987, (6-7), 411-434 Downloads View citations (1)

1983

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

1981

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

1978

  1. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
    Journal of Multivariate Analysis, 1978, 8, (4), 567-572 Downloads View citations (8)
    See also Working Paper Mixed autoregressive-moving average multivariate processes with time-dependent coefficients, ULB Institutional Repository (1978) View citations (9) (1978)
 
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