Alain Hecq

Maastricht University - Department of Quantitative Economics

Prof.

P.O. Box 616

Maastricht, 6200 MD

Netherlands

http://www.maastrichtuniversity.nl/a.hecq

SCHOLARLY PAPERS

8

DOWNLOADS

464

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models: The MARX Package

Number of pages: 18 Posted: 10 Aug 2017
Alain Hecq, Lenard Lieb and Sean Telg
Maastricht University - Department of Quantitative Economics, Maastricht University and Maastricht University - Department of Quantitative Economics
Downloads 234 (182,926)
Citation 3

Abstract:

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MARX, mixed causal-noncausal autoregressive process, t-MLE, estimation, model selection, simulation, R

2.

Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector

CEIS Working Paper No. 445
Number of pages: 27 Posted: 06 Nov 2018
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and ICE Data Services Italy
Downloads 68 (454,715)
Citation 1

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Common volatility, long-memory processes, HAR models, index models, forecasting.

3.

Reduced Rank Regression Models in Economics and Finance

CEIS Working Paper No. 525
Number of pages: 30 Posted: 11 Nov 2021
Gianluca Cubadda and Alain Hecq
University of Rome Tor Vergata - Department of Economics and Finance and Maastricht University - Department of Quantitative Economics
Downloads 53 (512,172)

Abstract:

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Reduced-rank regression, common features, vector autoregressive models, multivariate volatility models, dimension reduction

4.

Detecting Co-Movements in Noncausal Time Series

CEIS Working Paper No. 430
Number of pages: 37 Posted: 03 May 2018
Gianluca Cubadda, Alain Hecq and Sean Telg
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and Maastricht University - Department of Quantitative Economics
Downloads 46 (543,669)

Abstract:

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causal and noncausal process, common features, vector autoregressive models, oil prices

5.

Is Climate Change Time Reversible?

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 498
Number of pages: 20 Posted: 18 May 2022
Maastricht University, Maastricht University - Department of Quantitative Economics and Università di Milano Bicocca
Downloads 27 (657,765)

Abstract:

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mixed causal and noncausal models, time reversibility, climate change, global warming, generalized Student’s t-distribution, Hodrick-Prescott filter

6.

Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions

Number of pages: 28 Posted: 12 Apr 2019
Maastricht University - Department of Quantitative Economics, University of Groningen - Faculty of Economics and Business and University of Liverpool Management School
Downloads 20 (703,210)
Citation 1

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data revision, cointegration, news-noise tests, outlier detection

7.

Dimension Reduction for High Dimensional Vector Autoregressive Models

CEIS Working Paper No. 534
Number of pages: 31 Posted: 25 Mar 2022
Gianluca Cubadda and Alain Hecq
University of Rome Tor Vergata - Department of Economics and Finance and Maastricht University - Department of Quantitative Economics
Downloads 15 (744,763)

Abstract:

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Vector autoregressive models, dimension reduction, reduced-rank regression, multivariate autoregressive index model, common features, business cycle shock.

8.

Detecting Co‐Movements in Non‐Causal Time Series

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 3, pp. 697-715, 2019
Number of pages: 19 Posted: 16 Apr 2019
Gianluca Cubadda, Alain Hecq and Sean Telg
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and Maastricht University - Department of Quantitative Economics
Downloads 1 (893,458)

Abstract:

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