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

5

DOWNLOADS

170

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (5)

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 90 (287,993)
Citation 1

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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 41 (423,645)

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

3.

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 34 (452,616)

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

4.

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 5 (619,842)
Citation 1

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

5.

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 0 (674,029)
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