Details about Alain Hecq

Homepage:	https://www.alainhecq.eu/
Postal address:	University of Maastricht Dept. of Quantitative Economics P.O.Box 616 6200 MD Maastricht The Netherlands
Workplace:	Vakgroep Kwantitatieve Economie (Department of Quantitative Economics), School of Business and Economics, Maastricht University, (more information at EDIRC)

Access statistics for papers by Alain Hecq.

Last updated 2025-03-30. Update your information in the RePEc Author Service.

Short-id: phe63

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Working Papers

2025

1. Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series
   Papers, arXiv.org
   See also Journal Article Detecting cointegrating relations in non-stationary matrix-valued time series, Economics Letters, Elsevier (2025) (2025)

2024

2. Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
   Papers, arXiv.org View citations (1)
3. Optimization of the Generalized Covariance Estimator in Noncausal Processes
   CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
   Also in Papers, arXiv.org (2024) View citations (3)
4. Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach
   Papers, arXiv.org

2023

5. Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models
   CEIS Research Paper, Tor Vergata University, CEIS View citations (4)
   Also in Papers, arXiv.org (2022)
   See also Journal Article Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models, Econometrics, MDPI (2023) View citations (4) (2023)
6. Inference in Non-stationary High-Dimensional VARs
   Papers, arXiv.org
7. Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models
   Papers, arXiv.org

2022

8. A short term credibility index for central banks under inflation targeting: an application to Brazil
   Papers, arXiv.org
   See also Journal Article A short term credibility index for central banks under inflation targeting: An application to Brazil, Journal of International Money and Finance, Elsevier (2024) (2024)
9. Dimension Reduction for High Dimensional Vector Autoregressive Models
   CEIS Research Paper, Tor Vergata University, CEIS View citations (7)
   Also in Papers, arXiv.org (2022) View citations (8)
   See also Journal Article Dimension Reduction for High‐Dimensional Vector Autoregressive Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2022) View citations (2) (2022)
10. Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
    Papers, arXiv.org View citations (2)
11. Inference in mixed causal and noncausal models with generalized Student's t-distributions
    Papers, arXiv.org View citations (4)
    See also Journal Article Inference in mixed causal and noncausal models with generalized Student’s t-distributions, Econometrics and Statistics, Elsevier (2025) (2025)
12. Is climate change time reversible?
    Working Paper series, Rimini Centre for Economic Analysis View citations (5)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2022) View citations (1)
    Papers, arXiv.org (2022) View citations (1)
    See also Journal Article Is Climate Change Time-Reversible?, Econometrics, MDPI (2022) View citations (2) (2022)
13. Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
    Papers, arXiv.org View citations (2)
    See also Chapter Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models, Advances in Econometrics, Emerald Group Publishing Limited (2023) View citations (1) (2023)
14. Spectral estimation for mixed causal-noncausal autoregressive models
    Papers, arXiv.org View citations (4)

2021

15. Adaptive Random Bandwidth for Inference in CAViaR Models
    Papers, arXiv.org
16. Reduced Rank Regression Models in Economics and Finance
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)

2020

17. Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
    Papers, arXiv.org View citations (9)
    See also Journal Article Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (2) (2023)

2019

18. Forecasting bubbles with mixed causal-noncausal autoregressive models
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Forecasting bubbles with mixed causal-noncausal autoregressive models, Econometrics and Statistics, Elsevier (2021) View citations (12) (2021)
19. Identification of Noncausal Models by Quantile Autoregressions
    Papers, arXiv.org View citations (2)
20. Mixed causal-noncausal autoregressions with exogenous regressors
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article Mixed causal–noncausal autoregressions with exogenous regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (12) (2020)

2018

21. Detecting Co-Movements in Noncausal Time Series
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in MPRA Paper, University Library of Munich, Germany (2017)
    See also Journal Article Detecting Co‐Movements in Non‐Causal Time Series, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (5) (2019)
22. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
23. Generating Univariate Fractional Integration within a Large VAR(1)
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (8)
    Also in Post-Print, HAL (2018) View citations (6)
    Working Papers, HAL (2018) View citations (6)
    See also Journal Article Generating univariate fractional integration within a large VAR(1), Journal of Econometrics, Elsevier (2018) View citations (7) (2018)
24. Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (4) (2019)

2017

25. Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
    MPRA Paper, University Library of Munich, Germany View citations (1)

2016

26. A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (3)
    See also Journal Article A vector heterogeneous autoregressive index model for realized volatility measures, International Journal of Forecasting, Elsevier (2017) View citations (24) (2017)
27. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
    MPRA Paper, University Library of Munich, Germany View citations (6)
    See also Journal Article Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?, Econometrics, MDPI (2017) View citations (9) (2017)
28. On the Univariate Representation of BEKK Models with Common Factors
    Post-Print, HAL View citations (6)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (4)
    See also Journal Article On the Univariate Representation of BEKK Models with Common Factors, Journal of Time Series Econometrics, De Gruyter (2016) View citations (8) (2016)
29. Testing for Deterministic Seasonality in Mixed-Frequency VARs
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (1)
    See also Journal Article Testing for deterministic seasonality in mixed-frequency VARs, Economics Letters, Elsevier (2016) View citations (1) (2016)
30. Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions
    CIRANO Working Papers, CIRANO View citations (1)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) View citations (1)
    See also Journal Article Testing for news and noise in non-stationary time series subject to multiple historical revisions, Journal of Macroeconomics, Elsevier (2019) (2019)

2015

31. Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2013) View citations (1)
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2014)
    See also Journal Article Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions, International Journal of Forecasting, Elsevier (2015) View citations (5) (2015)
32. Identification of Mixed Causal-Noncausal Models: How Fat Should We Go?
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (3)
33. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    Working Papers, HAL View citations (2)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (2)
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) View citations (2)
34. Testing for Granger Causality in Large Mixed-Frequency VARs
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (1)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2014) View citations (2)
    Discussion Papers, Deutsche Bundesbank (2015)
    See also Journal Article Testing for Granger causality in large mixed-frequency VARs, Journal of Econometrics, Elsevier (2016) View citations (27) (2016)

2014

35. Combining distributions of real-time forecasts: An application to U.S. growth
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (2)

2013

36. Nowcasting causality in mixed frequency vector autoregressive models
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (2)
    See also Journal Article Nowcasting causality in mixed frequency vector autoregressive models, Economics Letters, Elsevier (2014) View citations (16) (2014)
37. Testing for common cycles in non-stationary VARs with varied frecquency data
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (20)
    See also Chapter Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data, Advances in Econometrics, Emerald Group Publishing Limited (2013) (2013)
38. Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2012

39. A Common-feature approach for testing present-value restrictions with financial data
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (10)
40. A General to Specific Approach for Constructing Composite Business Cycle Indicators
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article A general to specific approach for constructing composite business cycle indicators, Economic Modelling, Elsevier (2013) View citations (4) (2013)
41. Forecasting Mixed Frequency Time Series with ECM-MIDAS Models
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (7)
    See also Journal Article Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (22) (2014)

2011

42. Are panel unit root tests useful for real-time data?
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
43. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (11)
    See also Journal Article Common Intraday Periodicity, Journal of Financial Econometrics, Oxford University Press (2011) View citations (5) (2011)
44. On the univariate representation of multivariate volatility models with common factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)

2009

45. Testing for Common Autocorrelation in Data Rich Environments
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    See also Journal Article Testing for common autocorrelation in data‐rich environments, Journal of Forecasting, John Wiley & Sons, Ltd. (2011) View citations (25) (2011)

2008

46. Common Shocks, Common Dynamics, and the International Business Cycle
    CEIS Research Paper, Tor Vergata University, CEIS View citations (8)
    Also in Economics & Statistics Discussion Papers, University of Molise, Department of Economics (2003) View citations (8)
    See also Journal Article Common shocks, common dynamics, and the international business cycle, Economic Modelling, Elsevier (2007) View citations (24) (2007)
47. Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article Studying co-movements in large multivariate data prior to multivariate modelling, Journal of Econometrics, Elsevier (2009) View citations (29) (2009)

2007

48. Macro-panels and reality
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
    See also Journal Article Macro-panels and reality, Economics Letters, Elsevier (2008) View citations (5) (2008)
49. Studying co-movements in large multivariate models without multivariate modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (8)

2006

50. Measuring the Sources of Cyclical Fluctuations in the G7 Economies
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)

2005

51. Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (4)

2003

52. The Role of Common Cyclical Features for Coincident and Leading Indexes Building
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)

2002

53. Multi-regime common cyclical features
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
54. Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features
    CESifo Working Paper Series, CESifo View citations (28)
    See also Journal Article SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES, Econometric Reviews, Taylor & Francis Journals (2002) View citations (30) (2002)

2001

55. Testing for Common Cyclical Features in Var Models with Cointegration
    CESifo Working Paper Series, CESifo View citations (29)

2000

56. Determining a perfect optimum currency area using common cycles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
57. Labor Mobility in Belgium: An Empirical Analysis of the Relationship between Provincial Employment Dynamics and Migration
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
58. Testing for Common Cyclical Features in Nonstationary Panel Data Models
    CESifo Working Paper Series, CESifo View citations (6)

1999

59. Convergence des groupes en Europe: une analyse sur données régionales
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
60. Inference in codependence: some Monte Carlo results and applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    See also Journal Article Inference in Codependence: Some Monte Carlo Results and Applications, Annals of Economics and Statistics, GENES (1999) View citations (8) (1999)

1998

61. Codependence and convergence in the EC economies
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article Codependence and Convergence in the EC Economies, Journal of Policy Modeling, Elsevier (1998) View citations (6) (1998)
62. Stability of Okun's Law in a Codependent System
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (7)

1997

63. Asymmetric shocks inside future EMU
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    See also Journal Article Asymmetric Shocks Inside Future EMU, Journal of Economic Integration, Center for Economic Integration, Sejong University (1997) View citations (8) (1997)

1992

64. Rapport de recherche relatif au développement des comptes des entreprises et des ménages dans le cadre du système européen des comptes
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

Journal Articles

2025

1. Detecting cointegrating relations in non-stationary matrix-valued time series
   Economics Letters, 2025, 248, (C)
   See also Working Paper Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series, Papers (2025) (2025)
2. Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies
   Econometrics, 2025, 13, (2), 1-25
3. Inference in mixed causal and noncausal models with generalized Student’s t-distributions
   Econometrics and Statistics, 2025, 33, (C), 1-12
   See also Working Paper Inference in mixed causal and noncausal models with generalized Student's t-distributions, Papers (2022) View citations (4) (2022)
4. Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios
   Journal of Time Series Analysis, 2025, 46, (2), 325-352

2024

5. A short term credibility index for central banks under inflation targeting: An application to Brazil
   Journal of International Money and Finance, 2024, 143, (C)
   See also Working Paper A short term credibility index for central banks under inflation targeting: an application to Brazil, Papers (2022) (2022)

2023

6. An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic
   Revista Brasileira de Economia - RBE, 2023, 77, (4)
7. Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models
   Econometrics, 2023, 11, (1), 1-16 View citations (4)
   See also Working Paper Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models, CEIS Research Paper (2023) View citations (4) (2023)
8. Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*
   Journal of Financial Econometrics, 2023, 21, (3), 915-958 View citations (2)
   See also Working Paper Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure, Papers (2020) View citations (9) (2020)

2022

9. Dimension Reduction for High‐Dimensional Vector Autoregressive Models
   Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 1123-1152 View citations (2)
   See also Working Paper Dimension Reduction for High Dimensional Vector Autoregressive Models, CEIS Research Paper (2022) View citations (7) (2022)
10. Is Climate Change Time-Reversible?
    Econometrics, 2022, 10, (4), 1-18 View citations (2)
    See also Working Paper Is climate change time reversible?, Working Paper series (2022) View citations (5) (2022)

2021

11. Forecasting bubbles with mixed causal-noncausal autoregressive models
    Econometrics and Statistics, 2021, 20, (C), 29-45 View citations (12)
    See also Working Paper Forecasting bubbles with mixed causal-noncausal autoregressive models, MPRA Paper (2019) View citations (3) (2019)
12. Selecting between causal and noncausal models with quantile autoregressions
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (5), 393-416 View citations (2)

2020

13. Mixed causal–noncausal autoregressions with exogenous regressors
    Journal of Applied Econometrics, 2020, 35, (3), 328-343 View citations (12)
    See also Working Paper Mixed causal-noncausal autoregressions with exogenous regressors, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2019) View citations (1) (2019)

2019

14. Detecting Co‐Movements in Non‐Causal Time Series
    Oxford Bulletin of Economics and Statistics, 2019, 81, (3), 697-715 View citations (5)
    See also Working Paper Detecting Co-Movements in Noncausal Time Series, CEIS Research Paper (2018) (2018)
15. Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
    Journal of Time Series Analysis, 2019, 40, (6), 914-935 View citations (4)
    See also Working Paper Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes, MPRA Paper (2018) (2018)
16. Testing for news and noise in non-stationary time series subject to multiple historical revisions
    Journal of Macroeconomics, 2019, 60, (C), 396-407
    See also Working Paper Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions, CIRANO Working Papers (2016) View citations (1) (2016)

2018

17. Generating univariate fractional integration within a large VAR(1)
    Journal of Econometrics, 2018, 204, (1), 54-65 View citations (7)
    See also Working Paper Generating Univariate Fractional Integration within a Large VAR(1), AMSE Working Papers (2018) View citations (8) (2018)

2017

18. A vector heterogeneous autoregressive index model for realized volatility measures
    International Journal of Forecasting, 2017, 33, (2), 337-344 View citations (24)
    See also Working Paper A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures, CEIS Research Paper (2016) (2016)
19. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
    Econometrics, 2017, 5, (4), 1-22 View citations (9)
    See also Working Paper Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?, MPRA Paper (2016) View citations (6) (2016)

2016

20. Combining forecasts from successive data vintages: An application to U.S. growth
    International Journal of Forecasting, 2016, 32, (1), 61-74 View citations (5)
21. Identification of Mixed Causal-Noncausal Models in Finite Samples
    Annals of Economics and Statistics, 2016, (123-124), 307-331 View citations (17)
22. On the Univariate Representation of BEKK Models with Common Factors
    Journal of Time Series Econometrics, 2016, 8, (2), 91-113 View citations (8)
    See also Working Paper On the Univariate Representation of BEKK Models with Common Factors, Post-Print (2016) View citations (6) (2016)
23. Testing for Granger causality in large mixed-frequency VARs
    Journal of Econometrics, 2016, 193, (2), 418-432 View citations (27)
    See also Working Paper Testing for Granger Causality in Large Mixed-Frequency VARs, Research Memorandum (2015) View citations (1) (2015)
24. Testing for deterministic seasonality in mixed-frequency VARs
    Economics Letters, 2016, 149, (C), 20-24 View citations (1)
    See also Working Paper Testing for Deterministic Seasonality in Mixed-Frequency VARs, DEA Working Papers (2016) View citations (1) (2016)

2015

25. Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions
    International Journal of Forecasting, 2015, 31, (3), 862-875 View citations (5)
    See also Working Paper Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2015) View citations (5) (2015)

2014

26. Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
    Journal of Forecasting, 2014, 33, (3), 198-213 View citations (22)
    See also Working Paper Forecasting Mixed Frequency Time Series with ECM-MIDAS Models, Research Memorandum (2012) View citations (7) (2012)
27. Nowcasting causality in mixed frequency vector autoregressive models
    Economics Letters, 2014, 122, (1), 74-78 View citations (16)
    See also Working Paper Nowcasting causality in mixed frequency vector autoregressive models, Research Memorandum (2013) View citations (2) (2013)

2013

28. A general to specific approach for constructing composite business cycle indicators
    Economic Modelling, 2013, 33, (C), 367-374 View citations (4)
    See also Working Paper A General to Specific Approach for Constructing Composite Business Cycle Indicators, CEIS Research Paper (2012) View citations (1) (2012)

2011

29. Common Intraday Periodicity
    Journal of Financial Econometrics, 2011, 10, (2), 325-353 View citations (5)
    See also Working Paper Common intraday periodicity, Research Memorandum (2011) View citations (11) (2011)
30. Testing for common autocorrelation in data‐rich environments
    Journal of Forecasting, 2011, 30, (3), 325-335 View citations (25)
    See also Working Paper Testing for Common Autocorrelation in Data Rich Environments, CEIS Research Paper (2009) View citations (2) (2009)

2009

31. Asymmetric business cycle co-movements
    Applied Economics Letters, 2009, 16, (6), 579-584 View citations (2)
32. Studying co-movements in large multivariate data prior to multivariate modelling
    Journal of Econometrics, 2009, 148, (1), 25-35 View citations (29)
    See also Working Paper Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling, CEIS Research Paper (2008) View citations (1) (2008)

2008

33. Macro-panels and reality
    Economics Letters, 2008, 99, (3), 537-540 View citations (5)
    See also Working Paper Macro-panels and reality, Research Memorandum (2007) (2007)

2007

34. Common shocks, common dynamics, and the international business cycle
    Economic Modelling, 2007, 24, (1), 149-166 View citations (24)
    See also Working Paper Common Shocks, Common Dynamics, and the International Business Cycle, CEIS Research Paper (2008) View citations (8) (2008)

2006

35. Common cyclical features analysis in VAR models with cointegration
    Journal of Econometrics, 2006, 132, (1), 117-141 View citations (69)

2005

36. Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
    Journal of International Money and Finance, 2005, 24, (8), 1317-1334 View citations (40)
37. Should we really care about building business cycle coincident indexes!
    Applied Economics Letters, 2005, 12, (3), 141-144 View citations (2)

2002

38. SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
    Econometric Reviews, 2002, 21, (3), 273-307 View citations (30)
    See also Working Paper Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features, CESifo Working Paper Series (2002) View citations (28) (2002)

2001

39. On non-contemporaneous short-run co-movements
    Economics Letters, 2001, 73, (3), 389-397 View citations (44)

2000

40. Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach
    Empirica, 2000, 27, (2), 115-132 View citations (4)
41. Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles
    Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 511-532 View citations (58)
42. Stability of activity-unemployment relationship in a codependent system
    Applied Economics Letters, 2000, 7, (10), 687-693 View citations (1)

1999

43. Inference in Codependence: Some Monte Carlo Results and Applications
    Annals of Economics and Statistics, 1999, (54), 69-90 View citations (8)
    See also Working Paper Inference in codependence: some Monte Carlo results and applications, ULB Institutional Repository (1999) View citations (7) (1999)

1998

44. Codependence and Convergence in the EC Economies
    Journal of Policy Modeling, 1998, 20, (4), 403-426 View citations (6)
    See also Working Paper Codependence and convergence in the EC economies, ULB Institutional Repository (1998) View citations (6) (1998)
45. Does seasonal adjustment induce common cycles?
    Economics Letters, 1998, 59, (3), 289-297 View citations (15)

1997

46. Asymmetric Shocks Inside Future EMU
    Journal of Economic Integration, 1997, 12, 131-140 View citations (8)
    See also Working Paper Asymmetric shocks inside future EMU, ULB Institutional Repository (1997) View citations (11) (1997)
47. Testing for the Price‐ and Wage‐Setting Model in Belgium Using Multivariate Cointegration Tests
    LABOUR, 1997, 11, (1), 177-199 View citations (1)

1996

48. IGARCH effect on autoregressive lag length selection and causality tests
    Applied Economics Letters, 1996, 3, (5), 317-323 View citations (12)

1995

49. Unit root tests with level shift in the presence of GARCH
    Economics Letters, 1995, 49, (2), 125-130 View citations (4)

1993

50. Misspecification tests, unit roots and level shifts
    Economics Letters, 1993, 43, (2), 129-135 View citations (9)

1992

51. L'impact du changement de définition de l'indice des prix de gros en Belgique sur la causalité prix de gros/prix de détail
    Brussels Economic Review, 1992, 136, 491-514

Chapters

2023

1. Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 209-233 View citations (1)
   See also Working Paper Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models, arXiv.org (2022) View citations (2) (2022)

2013

2. Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 361-393
   See also Working Paper Testing for common cycles in non-stationary VARs with varied frecquency data, Maastricht University, Graduate School of Business and Economics (GSBE) (2013) View citations (20) (2013)