P.O. Box 616
Maastricht, 6200 MD
Netherlands
http://www.maastrichtuniversity.nl/a.hecq
Maastricht University - Department of Quantitative Economics
MARX, mixed causal-noncausal autoregressive process, t-MLE, estimation, model selection, simulation, R
Reduced-rank regression, common features, vector autoregressive models, multivariate volatility models, dimension reduction
Common volatility, long-memory processes, HAR models, index models, forecasting.
causal and noncausal process, common features, vector autoregressive models, oil prices
mixed causal and noncausal models, time reversibility, Hodrick-Prescott filter, climate change, global warming, environmental tipping points
Mixed causal and noncausal models, Generalized covariance estimator, Simulated Annealing, Optimization, Commodity prices
data revision, cointegration, news-noise tests, outlier detection
Vector autoregressive models, dimension reduction, reduced-rank regression, multivariate autoregressive index model, common features, business cycle shock.
Forward-looking models, bubbles, co-movements
