Alain Hecq

Maastricht University - Department of Economics

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 42,401

in Total Papers Downloads

768

CITATIONS
Rank 19,350

SSRN RANKINGS

Top 19,350

in Total Papers Citations

16

Scholarly Papers (10)

1.

Testing for Common Cyclical Features in VAR Models with Cointegration

CESifo Working Paper Series No. 451
Number of pages: 31 Posted: 23 May 2001
Maastricht University - Department of Economics, University of Maastricht - Department of Economics and Maastricht University - Department of Economics
Downloads 218 (113,199)
Citation 6

Abstract:

Serial Correlation Common Features, Reduced Rank Structure, Cointegration

2.

Testing for Common Cyclical Features in Nonstationary Panel Data Models

CESifo Working Paper Series No. 248
Number of pages: 32 Posted: 05 Apr 2001
University of Maastricht - Department of Economics, Maastricht University - Department of Economics and Maastricht University - Department of Economics
Downloads 117 (192,895)
Citation 1

Abstract:

3.

Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features

CESifo Working Paper Series No. 660
Number of pages: 46 Posted: 28 Feb 2002
Maastricht University - Department of Economics, University of Maastricht - Department of Economics and Maastricht University - Department of Economics
Downloads 108 (200,437)
Citation 1

Abstract:

Separation, Cointegration, Common Features, Weak Exogeneity, P-T Decomposition, Consumption Function

4.

Common Shocks, Common Dynamics and the International Business Cycle

CEIS Working Paper No. 85
Number of pages: 28 Posted: 01 Aug 2006
University Lumsa, University of Rome II - Department of Economics and Finance and Maastricht University - Department of Economics
Downloads 106 (203,053)
Citation 4

Abstract:

International business cycles; Permanent-transitory decomposition; Serial correlation common features; Frequency domain analysis.

5.

Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling

CEIS Working Paper No. 125
Number of pages: 26 Posted: 26 May 2008 Last Revised: 25 Feb 2014
University of Rome II - Department of Economics and Finance, Maastricht University - Department of Economics and University of Maastricht - Department of Economics
Downloads 51 (307,833)
Citation 3

Abstract:

Interactions, multiple time series, co-movements, ARIMA, cointegration, common cycles

6.

A General to Specific Approach for Constructing Composite Business Cycle Indicators

CEIS Working Paper No. 224
Number of pages: 19 Posted: 27 Feb 2012
University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics
Downloads 40 (342,755)

Abstract:

Co-movements, common cycles, composite business cycle indicators, Euro area

7.

Testing for Common Autocorrelation in Data Rich Environments

CEIS Working Paper No. 153
Number of pages: 11 Posted: 07 Dec 2009
Gianluca Cubadda and Alain Hecq
University of Rome II - Department of Economics and Finance and Maastricht University - Department of Economics
Downloads 20 (420,552)
Citation 1

Abstract:

Serial correlation common feature, high-dimensional systems, partial least squares

8.

Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence

Number of pages: 33 Posted: 02 Jun 2015
ESSEC Business School, Maastricht University - Department of Economics and French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)
Downloads 3 (477,205)

Abstract:

Long memory, Vector Autoregressive Model, Marginalization, Final Equation Representation, Volatility

9.

A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures

CEIS Working Paper No. 391
Number of pages: 23 Posted: 23 Jul 2016
University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics
Downloads 0 (336,455)

Abstract:

Common volatility, HAR models, index models, combinations of realized volatil¬ities, forecasting.

10.

Testing for Granger Causality in Large Mixed-Frequency VARs

Bundesbank Discussion Paper No. 45/2015
Number of pages: 48 Posted: 21 Jun 2016
Deutsche Bundesbank, Maastricht University - Department of Economics and Maastricht University - Department of Quantitative Economics
Downloads 0 (451,549)

Abstract:

Granger Causality, Mixed Frequency VAR, Bayesian VAR, Reduced Rank Model, Bootstrap Test