Marc Hallin

ECARES, Universite Libre de Bruxelles

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

Brussels, B-1050

Belgium

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 44,353

SSRN RANKINGS

Top 44,353

in Total Papers Downloads

1,507

SSRN CITATIONS
Rank 2,296

SSRN RANKINGS

Top 2,296

in Total Papers Citations

93

CROSSREF CITATIONS

473

Scholarly Papers (21)

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 343 (123,736)

Abstract:

Loading...

Commonality, liquidity, equities, factor models, block structure

2.

Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

Number of pages: 48 Posted: 14 Feb 2019 Last Revised: 24 Apr 2020
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, ECARES, Universite Libre de Bruxelles, Department of Economics, Lancaster University Management School and Catholic University of Louvain - Department of Statistics
Downloads 276 (155,205)
Citation 5

Abstract:

Loading...

locally stationary dynamic factor models, volatility, financial connectedness

3.

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 ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 242 (176,746)
Citation 3

Abstract:

Loading...

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

4.

Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

Number of pages: 36 Posted: 17 Jun 2019 Last Revised: 28 Sep 2020
University of Campinas (UNICAMP) - Department of Statistics, Universidad Carlos III de Madrid, ECARES, Universite Libre de Bruxelles, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and Universidade Estadual de Campinas (UNICAMP)
Downloads 80 (415,285)
Citation 3

Abstract:

Loading...

Dimension reduction, Large panels, High-dimensional time series, Minimum variance portfolio, Volatility, Multivariate GARCH

5.

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: A General Dynamic Factor Model Approach

Number of pages: 26 Posted: 02 Feb 2021 Last Revised: 10 Mar 2021
Marc Hallin and Carlos Trucíos
ECARES, Universite Libre de Bruxelles and University of Campinas (UNICAMP) - Department of Statistics
Downloads 79 (418,277)

Abstract:

Loading...

conditional covariance, high-dimensional time series, large panels, risk measures, volatility

6.

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 71 (443,690)
Citation 2

Abstract:

Loading...

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

7.

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 59 (487,067)
Citation 4

Abstract:

Loading...

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

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 47 (537,868)
Citation 5

Abstract:

Loading...

limit experiment, differentiability in quadratic mean, asymptotic linearity

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 26 (675,325)
Citation 1

Abstract:

Loading...

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 21 (715,956)
Citation 1

Abstract:

Loading...

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

10.

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 46 (542,635)
Citation 1

Abstract:

Loading...

Cointegration model, cointegration rank, elliptical densities

11.

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 42 (562,224)

Abstract:

Loading...

Dickey-Fuller test, Local Asymptotic Normality

12.

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

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 (562,224)
Citation 60
  • Add to Cart

Abstract:

Loading...

Dynamic factor models, principal components, time series, large cross-sections, panel data, forecasting

13.

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

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 (611,256)
  • Add to Cart

Abstract:

Loading...

Business cycle, dynamic factor model

14.

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 30 (629,666)
Citation 2

Abstract:

Loading...

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

15.

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

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 24 (670,997)

Abstract:

Loading...

Non-correlation, Granger causality, multivariate autoregressive movingaverage(VARMA) models, time series

16.

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

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 (670,997)
Citation 6
  • Add to Cart

Abstract:

Loading...

Dynamic factor models, principal components, business cycle, forecasting, financial variables

17.

Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting

Number of pages: 33 Posted: 15 Jan 2020 Last Revised: 30 Sep 2020
University of Campinas (UNICAMP) - Department of Statistics, Universidad Carlos III de Madrid, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and ECARES, Universite Libre de Bruxelles
Downloads 22 (686,251)
Citation 1

Abstract:

Loading...

Dimension reduction, Forecast, Jumps, Large panels

18.

Measure Transportation and Statistical Decision Theory

Annual Review of Statistics and Its Application, Vol. 9, Issue 1, pp. 401-424, 2022
Posted: 24 Mar 2022
Marc Hallin
ECARES, Universite Libre de Bruxelles

Abstract:

Loading...

19.

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 of Bochum, Ruhr University of Bochum - Faculty of Mathematics, ECARES, Universite Libre de Bruxelles, London School of Economics & Political Science (LSE) - Department of Statistics and Ruhr University of Bochum - Faculty of Mathematics
Downloads 0 (907,349)

Abstract:

Loading...

Copula‐based spectrum, Laplace spectrum, quantile spectrum, time‐varying spectrum, Wigner–Ville spectrum

20.

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
Downloads 0 (907,349)
Citation 6
  • Add to Cart

Abstract:

Loading...

Consistency and rates., Generalized dynamic factor models., High -dimensional time series., One-sided representations of dynamic factor models., Vector processes with singular spectral density

21.

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)

Abstract:

Loading...

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