Details about Marc Hallin

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

Access statistics for papers by Marc Hallin.

Last updated 2024-08-08. 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
2. Dynamic Factor Models: a Genealogy
   Papers, arXiv.org
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2023)
3. The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
   Also in Papers, arXiv.org (2024) View citations (1)

2023

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

2022

8. Center-OutwardMultiple-Output Lorenz Curves and Gini Indices a measure transportation approach
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
9. Center-outward Rank- and Sign-based VARMA Portmanteau Tests
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
10. 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
11. Nonparametric Measure-transportation-based Methods for Directional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
12. Nonparametric Multiple-Output Center-Outward Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (7)

2021

13. Center-Outward Sign- and Rank-Based Quadrant, Spearman, and Kendall Tests for Multivariate Independence
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
14. Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles 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) View citations (1) (2023)
15. Inferential Theory for Generalized Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
    See also Journal Article Inferential theory for generalized dynamic factor models, Journal of Econometrics, Elsevier (2024) View citations (4) (2024)
16. Measure Transportation and Statistical Decision Theory
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
17. 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 (7)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2020) View citations (1)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2020)
18. On the Finite-Sample Performance of Measure Transportation-Based Multivariate Rank Tests
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
19. The Integrated Copula Spectrum
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2020

20. Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
21. Fully Distribution-free Center-outward Rank Tests for Multiple-output Regression and Manova
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
22. Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
23. Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
24. Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (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) View citations (2) (2021)
25. 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 (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2019) View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019)
    See also Journal Article Time-varying general dynamic factor models and the measurement of financial connectedness, Journal of Econometrics, Elsevier (2021) View citations (13) (2021)

2019

26. A Note on the Regularity of Center-Outward Distribution and Quantile Functions
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
27. CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (4)
    See also Journal Article Center-outward quantiles and the measurement of multivariate risk, Insurance: Mathematics and Economics, Elsevier (2020) View citations (4) (2020)
28. Center-Outward R-Estimation for Semiparametric VARMA Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles 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) View citations (2) (2022)
29. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) View citations (3)
    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) View citations (1) (2022)
30. Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
    Papers, arXiv.org View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2018) View citations (4)
    See also Journal Article Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals, Journal of Econometrics, Elsevier (2020) View citations (13) (2020)
31. High-Dimensional Functional Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
32. Identification of global and local shocks in international financial markets via general dynamic factor models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
    See also Journal Article Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models, Journal of Financial Econometrics, Oxford University Press (2019) View citations (6) (2019)
33. 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
34. Optimal tests for elliptical symmetry: specified and unspecified location
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2018

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

2017

38. A Simple R-Estimation Method for Semiparametric Duration Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article A Simple R-estimation method for semiparametric duration models, Journal of Econometrics, Elsevier (2020) (2020)
39. A network analysis of the volatility of high-dimensionalfinancial series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (32)
    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) View citations (45) (2017)
40. Generalized dynamic factor models and volatilities estimation and forecasting
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (30)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (8)
    See also Journal Article Generalized dynamic factor models and volatilities: estimation and forecasting, Journal of Econometrics, Elsevier (2017) View citations (30) (2017)
41. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
42. Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
    Post-Print, HAL View citations (32)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
    Working Papers, HAL (2015)
    SciencePo Working papers Main, HAL (2015)
    Papers, arXiv.org (2015)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (1)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
    CeMMAP working papers, Institute for Fiscal Studies (2015)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (13)
    SciencePo Working papers Main, HAL (2017) View citations (7)
43. On Distribution and Quantile Functions, Ranks and Signs in R_d
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)
44. Optimal Dimension Reduction for High-dimensional and Functional Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
    See also Journal Article Optimal dimension reduction for high-dimensional and functional time series, Statistical Inference for Stochastic Processes, Springer (2018) View citations (2) (2018)
45. Parametrically and Semiparametrically Efficient Detection of Random Regression Coefficients
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2016

46. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (16)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (63)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) View citations (31)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (63)
    See also Journal Article Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis, Journal of Econometrics, Elsevier (2017) View citations (72) (2017)
47. Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
48. Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
    Papers, arXiv.org View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (1)
49. On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2015

50. Elliptical Multiple Output Quantile Regression and Convex Optimization
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
    See also Journal Article Elliptical multiple-output quantile regression and convex optimization, Statistics & Probability Letters, Elsevier (2016) View citations (2) (2016)
51. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (3)
    See also Journal Article Generalized dynamic factor models and volatilities: recovering the market volatility shocks, Econometrics Journal, Royal Economic Society (2016) View citations (46) (2016)
52. 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
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2015)
53. Quantile Spectral Analysis for Locally Stationary Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (4)
    See also Journal Article Quantile spectral analysis for locally stationary time series, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2017) View citations (11) (2017)

2014

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

2013

57. A Serial Version of Hodges and Lehmann's "6/pi Result"
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
58. Efficient R-Estimation of Principal and Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles 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) View citations (7) (2014)
59. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (41)
    See also Journal Article Factor models in high-dimensional time series—A time-domain approach, Stochastic Processes and their Applications, Elsevier (2013) View citations (18) (2013)
60. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
61. On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (7)
62. R-Estimation for Asymmetric Independent Component Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article R -Estimation for Asymmetric Independent Component Analysis, Journal of the American Statistical Association, Taylor & Francis Journals (2015) View citations (10) (2015)

2012

63. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article Dynamic factor models with infinite-dimensional factor spaces: One-sided representations, Journal of Econometrics, Elsevier (2015) View citations (85) (2015)
64. Local Constant and Local Bilinear Multiple-Output Quantile Regression
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
65. Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2012)
    Discussion Paper, Tilburg University, Center for Economic Research (2012)
66. Signal Detection in High Dmension: The Multispiked Case
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (6)

2011

67. 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 View citations (2)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) View citations (3)
68. A class of simple distribution-free rank-based unit root tests
    Post-Print, HAL View citations (12)
    See also Journal Article A class of simple distribution-free rank-based unit root tests, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)
69. Asymptotic Power of Sphericity Tests for High-Dimensional Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
70. Market liquidity as dynamic factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (15)
    See also Journal Article Market liquidity as dynamic factors, Journal of Econometrics, Elsevier (2011) View citations (16) (2011)
71. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
72. One-Sided Representations of Generalized Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
    Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2011) View citations (3)
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2011) View citations (3)
73. Optimal Rank-Based Tests for Common Principal Components
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (9)
74. 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) View citations (3) (2011)

2010

75. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
76. Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (105)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (14)
77. On the estimation of cross-information quantities in rank-based inference
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (8)
78. Rank‐based Optimal Tests for Random Effects in Panel Data
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)

2009

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

2008

81. Dynamic Factors in the Presence of Block Structure
    Economics Working Papers, European University Institute View citations (10)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (12)
82. On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
83. 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

84. Happy birthday to you Mr Wilcoxon! Invariance, semiparametric efficiency, and ranks
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
85. 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) View citations (4) (2007)

2006

86. Discussion of Quantile autoregression, by Koenker and Xiao
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
87. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
    Also in CIRANO Working Papers, CIRANO (2005)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2005)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2005)
    See also Journal Article Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, Journal of Econometrics, Elsevier (2006) View citations (3) (2006)
88. Linear serial and nonserial sign-and-rank statistics: asymptotic representation and asymptotic normality
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
89. Serial and nonserial sign-and-rank statistics. Asymptotic representation and asymptotic normality
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2003) View citations (3)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2003)

2005

90. Testing non-correlation and non-causality between multivariate arma time series
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (14)
    See also Journal Article Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (12) (2005)
91. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (512)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (47)
    Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (64)
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) 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) View citations (570) (2005)

2004

92. 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) View citations (25) (2004)
93. Local linear spatial regression
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (41)
94. Optimal detection of periodicities in vector autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
95. Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2004) View citations (2)
    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) View citations (2) (2008)
96. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (100)
    See also Journal Article The generalized dynamic factor model consistency and rates, Journal of Econometrics, Elsevier (2004) View citations (191) (2004)

2003

97. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (253)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) 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) View citations (241) (2003)
98. Efficient detection of random coefficients in AR(p) models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
99. Efficient detection of random coefficients in autoregressive models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
100. Semiparametric efficiency, distribution-freeness and invariance
     Other publications TiSEM, Tilburg University, School of Economics and Management View citations (48)
     Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (54)

2002

101. 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
102. 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

103. Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
104. Coincident and leading indicators for the Euro area
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (151)
105. Density estimation for spatial linear processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (34)
106. Estimation in autoregressive models based on autoregression rank scores
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
107. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (150)
108. Kolmogorov-Smirnov tests for AR models based on autoregression rank scores
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
109. Projection de Hájek et polynômes de Bernstein
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
110. Rank tests
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
111. Sample heterogeneity and the asymptotics of M-estimators
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2000

112. Kendall's tau for serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
113. Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
114. 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) (2000)
115. Rank-based partial correlograms are not asymptotically distribution-free
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
116. Reference Cycles: The NBER Methodology Revisited
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
117. The efficiency of some nonparametric competitors to correlogram-based methods
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
118. The generalised dynamic factor model: identification and estimation
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (637)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (334)
     See also Journal Article The Generalized Dynamic-Factor Model: Identification And Estimation, The Review of Economics and Statistics, MIT Press (2000) View citations (1088) (2000)

1999

119. 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) (1998)
120. 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) View citations (4) (1999)
121. Local asymptotic normality for regression models with long-memory disturbance, with statistical applications
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (9)
122. Nonparametric tests of independence between two autoregressive series based on autoregression rank scores
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
123. 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)
124. Optimal tests for autoregressive models based on autoregression rank scores
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
125. Rank-Based Autoregressive Order Identification
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
126. Rank-based AR order identification
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1998

127. 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) (1998)
128. Generalized run tests for heteroscedastic time series
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (18)
129. Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
130. 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)
131. Spectral factorization of periodically correlated MA(1) processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1997

132. 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) View citations (1) (1997)
133. A Berry-Esséen theorem for simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
134. 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)
135. Unimodality and the asymptotics of M-estimators
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
136. When does Edgeworth beat Berry and Esséen?
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
137. When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1996

138. A simple proof of asymptotic normality for simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
139. Eléments de la théorie asymptotique des expériences statistiques
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
140. Is 131,000 a large sample size? a numerical study of Edgeworth expansions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
141. 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) View citations (7) (1996)
142. Kernel density estimation for linear processes: asymptotic normality and bandwidth selection
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
143. Kernel density estimation on random fields: the L1 theory
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (25)
144. Locally asymptotically optimal tests for autoregressive against bilinear serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
145. 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) View citations (1) (1996)
146. Order selection, stochastic complexity and Kullback-Leibler information
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
147. Rank-based tests for autoregressive against bilinear serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
148. Statistiques de rangs linéaires: normalité asymptotique et théorèmes de projection de Hájek
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
149. 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
150. Tests sans biais, tests de permutation, tests invariants, tests de rangs
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
151. The asymptotic behavior of the characteristic function of simple serial rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1995

152. 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)
153. 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) View citations (13) (1995)

1994

154. Aligned rank tests for linear models with autocorrelated errors
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (24)
155. 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
156. 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
157. On the Pitman nonadmissibility of correlogram-based time series methods
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
158. On the invertibility of periodic moving-average models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
     See also Journal Article ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS, Journal of Time Series Analysis, Wiley Blackwell (1994) View citations (1) (1994)

1993

159. A Chernoff-Savage result for serial signed rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
160. 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, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (2)
     Working Papers, Universite Libre de Bruxelles - C.E.M.E. (1990)

1992

161. 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) View citations (22) (1994)
162. 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) (1992)
163. Optimal rank-based tests against first-order superdiagonal bilinear dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
164. Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
165. 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 (18)
166. Simple exact bounds for distributions of linear signed rank statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
     Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1990) View citations (2)
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)
167. Some asymptotic results for a broad class of nonparametric statistics
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1991

168. An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient
     Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
     Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1990)
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
169. 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) View citations (8) (1991)
170. Rank tests for time-series analysis: a bibliographical survey
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
171. 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) View citations (10) (1991)

1990

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

1989

173. 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) View citations (3) (1989)
174. Contribution to "Discussion of the paper by Bruce and Martin"
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
175. 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

176. Locally asymptomatically rank-based procedures for testing autoregressive moving average dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
177. Locally asymptotically optimal rank-based procedures for testing autoregressive-moving average dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
178. 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)
179. On locally asymptotically maximin tests for ARMA processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
180. 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)
181. 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)
182. Rank-based tests for randomness against first-order serial dependence
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
183. Tests de rangs signés localement optimaux pour une hypothèse de dépendance ARMA
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1987

184. Fractions continuées matricielles et matrices-bandes définies positives infinies
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
185. La recherche opérationnelle par l'exemple II: théorie des graphes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
186. 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) View citations (6) (1987)
187. 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

188. La recherche opérationnelle par l'exemple I: P+B141 programmation linéaire
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
189. 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
190. Locally asymptotically optimal tests for randomness
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
191. 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)
192. On fractional linear bounds for probability generating functions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
193. Performances asymptotiques des modèles MA dans la prévision des processus q-dépendants
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
194. Tests de rangs localement optimaux pour une hypothèse de bruit blanc multivarié
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
195. 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

196. From premium calculation to premium rating
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
197. 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)
198. Tests de rangs linéaires pour une hypothèse de bruit blanc
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
199. Tests de rangs quadratiques pour une hypothèse de bruit blanc
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1984

200. 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
201. Spectral factorization of nonstationary moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)

1983

202. 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) View citations (3) (1983)
203. Nonstationary second-order moving average processes II: model-building and invertibility
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
204. The Swedish automobile portfolio in 1977: a statistical study
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
205. The theoretical model-building problem for nonstationary moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1982

206. Moving average models for time-dependent autocovariance functions
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
207. Nonstationary second-order moving average processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
208. The model-building problem for nonstationary multivariate autoregressive processes
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
209. 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

210. Addendum to Invertibility and generalized invertibility
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
211. Etude statistique de la probabilité de sinistre en assurance automobile
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
     See also Journal Article Étude Statistique de la Probabilité de Sinistre en Assurance Automobile, ASTIN Bulletin, Cambridge University Press (1981) (1981)
212. Nonstationary first-order moving average processes: the model-building problem
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1980

213. Invertibility and generalized invertibility of time-series models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
214. 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
215. 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

216. Band strategies: the random walk of reserves
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
217. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
     See also Journal Article Mixed autoregressive-moving average multivariate processes with time-dependent coefficients, Journal of Multivariate Analysis, Elsevier (1978) View citations (9) (1978)

1977

218. Etude statistique des facteurs influençant un risque
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
219. Méthodes statistiques de construction de tarifs
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
220. Structures de coalition et problèmes de négociation: échanges d'information dans les jeux à information incomplète
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
221. 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

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

1972

225. 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) View citations (4)
   See also Working Paper Inferential Theory for Generalized Dynamic Factor Models, Working Papers ECARES (2021) (2021)

2023

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

2022

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

2021

10. Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
    International Journal of Forecasting, 2021, 37, (4), 1520-1534 View citations (2)
    See also Working Paper Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting, Textos para discussão (2020) View citations (2) (2020)
11. Time-varying general dynamic factor models and the measurement of financial connectedness
    Journal of Econometrics, 2021, 222, (1), 324-343 View citations (13)
    See also Working Paper Time-varying general dynamic factor models and the measurement of financial connectedness, LIDAM Reprints ISBA (2020) View citations (8) (2020)

2020

12. A Simple R-estimation method for semiparametric duration models
    Journal of Econometrics, 2020, 218, (2), 736-749
    See also Working Paper A Simple R-Estimation Method for Semiparametric Duration Models, Working Papers ECARES (2017) View citations (1) (2017)
13. A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
    Journal of Multivariate Analysis, 2020, 180, (C) View citations (10)
14. Center-outward quantiles and the measurement of multivariate risk
    Insurance: Mathematics and Economics, 2020, 95, (C), 79-100 View citations (4)
    See also Working Paper CENTER-OUTWARD QUANTILES AND THE MEASUREMENT OF MULTIVARIATE RISK, Working Papers ECARES (2019) View citations (4) (2019)
15. Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
    Journal of Nonparametric Statistics, 2020, 32, (2), 367-402 View citations (2)
16. Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
    Journal of Econometrics, 2020, 216, (1), 4-34 View citations (13)
    See also Working Paper Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals, Papers (2019) View citations (3) (2019)

2019

17. Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
    Journal of Financial Econometrics, 2019, 17, (3), 462-494 View citations (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) View citations (14) (2019)

2018

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

2017

22. A network analysis of the volatility of high dimensional financial series
    Journal of the Royal Statistical Society Series C, 2017, 66, (3), 581-605 View citations (45)
    See also Working Paper A network analysis of the volatility of high-dimensionalfinancial series, LSE Research Online Documents on Economics (2017) View citations (32) (2017)
23. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
    Journal of Econometrics, 2017, 199, (1), 74-92 View citations (72)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis, EIEF Working Papers Series (2016) View citations (16) (2016)
24. Foreword from the Editors
    Statistical Inference for Stochastic Processes, 2017, 20, (3), 273-274
25. Generalized dynamic factor models and volatilities: estimation and forecasting
    Journal of Econometrics, 2017, 201, (2), 307-321 View citations (30)
    See also Working Paper Generalized dynamic factor models and volatilities estimation and forecasting, LSE Research Online Documents on Economics (2017) View citations (30) (2017)
26. Quantile spectral analysis for locally stationary time series
    Journal of the Royal Statistical Society Series B, 2017, 79, (5), 1619-1643 View citations (11)
    See also Working Paper Quantile Spectral Analysis for Locally Stationary Time Series, Working Papers ECARES (2015) View citations (2) (2015)
27. R-estimation in semiparametric dynamic location-scale models
    Journal of Econometrics, 2017, 196, (2), 233-247 View citations (2)

2016

28. Elliptical multiple-output quantile regression and convex optimization
    Statistics & Probability Letters, 2016, 109, (C), 232-237 View citations (2)
    See also Working Paper Elliptical Multiple Output Quantile Regression and Convex Optimization, Working Papers ECARES (2015) (2015)
29. Generalized dynamic factor models and volatilities: recovering the market volatility shocks
    Econometrics Journal, 2016, 19, (1), C33-C60 View citations (46)
    See also Working Paper Generalized dynamic factor models and volatilities: recovering the market volatility shocks, LSE Research Online Documents on Economics (2015) View citations (8) (2015)
30. Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
    Journal of Econometrics, 2016, 190, (1), 46-61 View citations (4)

2015

31. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 View citations (85)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations, Working Papers ECARES (2012) View citations (2) (2012)
32. Dynamic functional principal components
    Journal of the Royal Statistical Society Series B, 2015, 77, (2), 319-348 View citations (49)
33. R -Estimation for Asymmetric Independent Component Analysis
    Journal of the American Statistical Association, 2015, 110, (509), 218-232 View citations (10)
    See also Working Paper R-Estimation for Asymmetric Independent Component Analysis, Working Papers ECARES (2013) View citations (2) (2013)

2014

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

2013

35. Editors’ Note
    International Statistical Review, 2013, 81, (1), 1-1
36. Factor models in high-dimensional time series—A time-domain approach
    Stochastic Processes and their Applications, 2013, 123, (7), 2678-2695 View citations (18)
    See also Working Paper Factor Models in High-Dimensional Time Series: A Time-Domain Approach, Working Papers ECARES (2013) View citations (41) (2013)
37. New Book Review Editor for the International Statistical Review
    International Statistical Review, 2013, 81, (3), 337-337
38. One-step R-estimation in linear models with stable errors
    Journal of Econometrics, 2013, 172, (2), 195-204 View citations (8)

2012

39. Editors’ Note
    International Statistical Review, 2012, 80, (1), 1-1
40. Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels
    Journal of Econometrics, 2012, 170, (1), 50-67 View citations (1)

2011

41. A class of simple distribution-free rank-based unit root tests
    Journal of Econometrics, 2011, 163, (2), 200-214 View citations (12)
    See also Working Paper A class of simple distribution-free rank-based unit root tests, Post-Print (2011) View citations (12) (2011)
42. Dynamic factors in the presence of blocks
    Journal of Econometrics, 2011, 163, (1), 29-41 View citations (49)
43. Market liquidity as dynamic factors
    Journal of Econometrics, 2011, 163, (1), 42-50 View citations (16)
    See also Working Paper Market liquidity as dynamic factors, Working Papers ECARES (2011) View citations (15) (2011)
44. Rank-based testing in linear models with stable errors
    Journal of Nonparametric Statistics, 2011, 23, (2), 305-320 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

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

2009

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

2008

47. Semiparametrically efficient inference based on signs and ranks for median‐restricted models
    Journal of the Royal Statistical Society Series B, 2008, 70, (2), 389-412 View citations (2)
    See also Working Paper Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models, Other publications TiSEM (2004) View citations (1) (2004)

2007

48. Determining the Number of Factors in the General Dynamic Factor Model
    Journal of the American Statistical Association, 2007, 102, 603-617 View citations (339)
49. Optimal Tests of Noncorrelation Between Multivariate Time Series
    Journal of the American Statistical Association, 2007, 102, 938-951 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

50. Comment
    Journal of the American Statistical Association, 2006, 101, 996-998
51. Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
    Journal of Econometrics, 2006, 130, (1), 123-142 View citations (3)
    See also Working Paper Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series, ULB Institutional Repository (2006) View citations (4) (2006)
52. Parametric and semiparametric inference for shape: the role of the scale functional
    Statistics & Risk Modeling, 2006, 24, (3), 327-350 View citations (8)

2005

53. Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
    Journal of Multivariate Analysis, 2005, 93, (1), 122-163 View citations (22)
54. Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
    Journal of Time Series Analysis, 2005, 26, (1), 83-105 View citations (12)
    See also Working Paper Testing non-correlation and non-causality between multivariate arma time series, ULB Institutional Repository (2005) View citations (14) (2005)
55. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 View citations (570)
    See also Working Paper The generalised dynamic factor model: one sided estimation and forecasting, ULB Institutional Repository (2005) View citations (512) (2005)

2004

56. Kernel density estimation for spatial processes: the L1 theory
    Journal of Multivariate Analysis, 2004, 88, (1), 61-75 View citations (25)
    See also Working Paper Kernel density estimation for spatial processes: the L1 theory, ULB Institutional Repository (2004) View citations (23) (2004)
57. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 View citations (191)
    See also Working Paper The generalised dynamic factor model: consistency and rates, ULB Institutional Repository (2004) View citations (100) (2004)

2003

58. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations (241)
    See also Working Paper Do financial variables help forecasting inflation and real activity in the Euro area ?, ULB Institutional Repository (2003) View citations (253) (2003)

2000

59. Rank-based partial autocorrelations are not asymptotically distribution-free
    Statistics & Probability Letters, 2000, 47, (3), 219-227
    See also Working Paper Rank-based partial autocorrelations are not asymptotically distribution-free, ULB Institutional Repository (2000) (2000)
60. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations (1088)
    See also Working Paper The generalised dynamic factor model: identification and estimation, ULB Institutional Repository (2000) View citations (637) (2000)

1999

61. L1-estimation in linear models with heterogeneous white noise
    Statistics & Probability Letters, 1999, 45, (4), 305-315 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

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

1997

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

1996

65. Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
    Annals of the Institute of Statistical Mathematics, 1996, 48, (3), 429-449 View citations (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)
66. Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
    Econometric Theory, 1996, 12, (1), 88-112 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

67. Local asymptotic normality of multivariate ARMA processes with a linear trend
    Annals of the Institute of Statistical Mathematics, 1995, 47, (3), 551-579 View citations (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

68. Aligned Rank Tests for Linear Models with Autocorrelated Error Terms
    Journal of Multivariate Analysis, 1994, 50, (2), 175-237 View citations (22)
    See also Working Paper Aligned Rank tests for Linear Models with Autocorrelated Error Terms, Working Papers (1992) View citations (2) (1992)
69. ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1994, 15, (3), 263-268 View citations (1)
    See also Working Paper On the invertibility of periodic moving-average models, ULB Institutional Repository (1994) View citations (7) (1994)
70. ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS
    Journal of Time Series Analysis, 1994, 15, (6), 607-611

1992

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

1991

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

1989

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

1987

75. LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
    Journal of Time Series Analysis, 1987, 8, (4), 409-424 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)
76. Tests non paramétriques optimaux pour le modéle autorégressif d'ordre un
    Annals of Economics and Statistics, 1987, (6-7), 411-434 View citations (1)

1983

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

1981

78. Étude Statistique de la Probabilité de Sinistre en Assurance Automobile
    ASTIN Bulletin, 1981, 12, (1), 40-56
    See also Working Paper Etude statistique de la probabilité de sinistre en assurance automobile, ULB Institutional Repository (1981) (1981)

1978

79. Mixed autoregressive-moving average multivariate processes with time-dependent coefficients
    Journal of Multivariate Analysis, 1978, 8, (4), 567-572 View citations (9)
    See also Working Paper Mixed autoregressive-moving average multivariate processes with time-dependent coefficients, ULB Institutional Repository (1978) View citations (10) (1978)