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ECARES, Universite Libre de Bruxelles
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locally stationary dynamic factor models, volatility, financial connectedness
Commonality, liquidity, equities, factor models, block structure
Dynamic factor models, volatility, financial crises, contagion, interdependence
conditional covariance, high-dimensional time series, large panels, risk measures, volatility
Dimension reduction, Large panels, High-dimensional time series, Minimum variance portfolio, Volatility, Multivariate GARCH
Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test
Stable Distributions, Local Asymptotic Normality, R-Estimation, Asymptotic Relative Efficiencies
limit experiment, differentiability in quadratic mean, asymptotic linearity
Stable distributions, local asymptotic normality, rank tests, asymptotic relative efficiencies
Cointegration model, cointegration rank, elliptical densities
Dickey-Fuller test, Local Asymptotic Normality
Invariance structure, local asymptotic normality, median regression, quantile restrictions
Dimension reduction, Forecast, Jumps, Large panels
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Dynamic factor models, principal components, time series, large cross-sections, panel data, forecasting
Business cycle, dynamic factor model
Dynamic factor models, principal components, business cycle, forecasting, financial variables
Consistency and rates., Generalized dynamic factor models., High -dimensional time series., One-sided representations of dynamic factor models., Vector processes with singular spectral density
Ranks, signs, Hajek representation, median regression, median restrictions, maximal invariant
