Marc Hallin

ECARES, Universite Libre de Bruxelles

Ave. Franklin D Roosevelt, 50 - C.P. 114

Brussels, B-1050

Belgium

SCHOLARLY PAPERS

17

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Scholarly Papers (17)

1.

Market Liquidity as Dynamic Factors

Number of pages: 21 Posted: 02 Feb 2009 Last Revised: 01 Nov 2009
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles - Solvay Brussels School of Economics and Management, Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management and Vlerick Business School
Downloads 325 (85,620)
Citation 1

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Commonality, liquidity, equities, factor models, block structure

2.

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

Number of pages: 33 Posted: 20 Mar 2017 Last Revised: 28 Nov 2017
London School of Economics and Political Science, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 169 (164,552)

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Dynamic factor models, volatility, financial crises, contagion, interdependence

3.

One-Step R-Estimation in Linear Models with Stable Errors

Number of pages: 13 Posted: 22 Oct 2010
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Lille III - EQUIPPE-GREMARS and Vlerick Business School
Downloads 63 (325,341)

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Stable Distributions, Local Asymptotic Normality, R-Estimation, Asymptotic Relative Efficiencies

4.

Rank-Based Inference in Linear Models with Stable Errors

Number of pages: 24 Posted: 03 Jun 2010
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Lille III - EQUIPPE-GREMARS and Vlerick Business School
Downloads 52 (356,910)
Citation 1

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Stable distributions, local asymptotic normality, rank tests, asymptotic relative efficiencies

5.

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

CEPR Discussion Paper No. 3432
Number of pages: 30 Posted: 13 Aug 2002
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics, ECARES, Universite Libre de Bruxelles, Dipartimento di Scienze Economiche (DiSSE) and London Business School
Downloads 42 (389,794)
Citation 218
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Dynamic factor models, principal components, time series, large cross-sections, panel data, forecasting

A Class of Simple Distribution-Free Rank-Based Unit Root Tests

CentER Discussion Paper Series No. 2011-002 (Revision of 2009-02, 2010-72)
Number of pages: 36 Posted: 23 Jan 2011
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 21 (499,325)

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Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test

A Class of Simple Distribution-Free Rank-Based Unit Root Tests

CentER Discussion Paper Series No. 2010-72 (revision of 2009-02)
Number of pages: 26 Posted: 30 Jul 2010
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 17 (523,642)

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Unit root, Dickey-Fuller test, Local Asymptotic Normality, Rank test

7.

A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests

CentER Discussion Paper Series No. 2009-02
Number of pages: 23 Posted: 13 Jan 2009
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 38 (404,436)

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Dickey-Fuller test, Local Asymptotic Normality

8.

On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result

Number of pages: 18 Posted: 07 Sep 2013 Last Revised: 14 Feb 2014
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 35 (416,441)

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limit experiment, differentiability in quadratic mean, asymptotic linearity

9.

Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegration Rank in Semiparametric Error-Correction Models

CentER Discussion Paper Series No. 2015-001
Number of pages: 72 Posted: 09 Jan 2015 Last Revised: 14 Jan 2015
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 34 (420,365)

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Cointegration model, cointegration rank, elliptical densities

10.

Eurocoin: A Real Time Coincident Indicator of the Euro Area Business Cycle

CEPR Discussion Paper No. 3108
Number of pages: 49 Posted: 15 Jan 2002
Brevan Howard Asset Management LLP, Bank of Italy, Bank of Italy, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics, ECARES, Universite Libre de Bruxelles, Dipartimento di Scienze Economiche (DiSSE), London Business School and Bank of Italy
Downloads 33 (424,439)
Citation 49
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Business cycle, dynamic factor model

11.

Semi-Parametrically Efficient Inference-Based on Signs and Ranks for Median-Restricted Models

CentER Discussion Paper No. 2004-11
Number of pages: 40 Posted: 21 Jun 2004
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) and Tilburg University - Center for Economic Research (CentER)
Downloads 25 (461,771)
Citation 1

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Invariance structure, local asymptotic normality, median regression, quantile restrictions

12.

Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area

CEPR Discussion Paper No. 3146
Number of pages: 19 Posted: 07 Feb 2002
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics, ECARES, Universite Libre de Bruxelles, Dipartimento di Scienze Economiche (DiSSE) and London Business School
Downloads 24 (467,081)
Citation 41
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Dynamic factor models, principal components, business cycle, forecasting, financial variables

13.

Testing Non-Correlation and Non-Causality between Multivariate Arma Time Series

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 83-105, January 2005
Number of pages: 23 Posted: 06 Jan 2005
Marc Hallin and Abdessamad Saidi
ECARES, Universite Libre de Bruxelles and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 23 (472,314)
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Non-correlation, Granger causality, multivariate autoregressive movingaverage(VARMA) models, time series

14.

On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 242-250, 2018
Number of pages: 9 Posted: 16 Apr 2018
Ruhr-University Bochum, Ruhr Universität Bochum - Faculty of Mathematics, ECARES, Universite Libre de Bruxelles, London School of Economics & Political Science (LSE) - Department of Statistics and Ruhr Universität Bochum - Faculty of Mathematics
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Copula‐based spectrum, Laplace spectrum, quantile spectrum, time‐varying spectrum, Wigner–Ville spectrum

15.

Generalized Dynamic Factor Models and Volatilities: Recovering the Market Volatility Shocks

The Econometrics Journal, Vol. 19, Issue 1, pp. C33-C60, 2016
Number of pages: 28 Posted: 10 May 2016
Matteo Barigozzi and Marc Hallin
London School of Economics and Political Science and ECARES, Universite Libre de Bruxelles
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Block structure, Dynamic factor models, Volatility

16.

Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis

CEPR Discussion Paper No. DP10618
Number of pages: 53 Posted: 27 May 2015
Università di Modena; Centre for Economic Policy Research (CEPR), ECARES, Universite Libre de Bruxelles, Dipartimento di Scienze Economiche (DiSSE) and Imperial College Business School
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Consistency and rates., Generalized dynamic factor models., High -dimensional time series., One-sided representations of dynamic factor models., Vector processes with singular spectral density

17.

Serial and Nonserial Sign-and-Rank Statistics: Asymptotic Representation and Asymptotic Normality

CentER Working Paper No. 2003-23
Posted: 26 May 2004
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) and Tilburg University - Center for Economic Research (CentER)

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Ranks, signs, Hajek representation, median regression, median restrictions, maximal invariant