Marc Hallin

ECARES, Universite Libre de Bruxelles

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

Brussels, B-1050

Belgium

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SCHOLARLY PAPERS

19

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Scholarly Papers (19)

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1.

Market Liquidity as Dynamic Factors

Number of pages: 21 Posted: 02 Feb 2009 Last Revised: 01 Nov 2009
Marc Hallin, Hugues Pirotte, Charles Mathias and David Veredas
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 372 (138,716)

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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
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marc Hallin, Stefano Soccorsi and Rainer von Sachs
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 365 (141,630)
Citation 7

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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
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marc Hallin and Stefano Soccorsi
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 270 (194,673)
Citation 4

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

4.

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 143 (345,708)
Citation 1

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

5.

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
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Marc Hallin, Luiz Koodi Hotta, Pedro L. Valls Pereira and Mauricio Zevallos
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of 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 136 (359,542)
Citation 4

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

6.

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

Number of pages: 13 Posted: 22 Oct 2010
Marc Hallin, Yvik Swan, Thomas Verdebout and David Veredas
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Lille III - EQUIPPE-GREMARS and Vlerick Business School
Downloads 86 (495,848)
Citation 2

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

7.

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

Downloads 82 (510,316)
Citation 3

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
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 43 (717,018)
Citation 1

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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. 2011-002 (Revision of 2009-02, 2010-72)
Number of pages: 36 Posted: 23 Jan 2011
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 39 (745,672)
Citation 1

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

8.

Rank-Based Inference in Linear Models with Stable Errors

Number of pages: 24 Posted: 03 Jun 2010
Marc Hallin, Yvik Swan, Thomas Verdebout and David Veredas
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Lille III - EQUIPPE-GREMARS and Vlerick Business School
Downloads 72 (550,069)
Citation 4

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

9.

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
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 69 (562,809)
Citation 6

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limit experiment, differentiability in quadratic mean, asymptotic linearity

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
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 63 (589,896)
Citation 1

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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
Marc Hallin, Ramon Van den Akker and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 57 (619,769)

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Dickey-Fuller test, Local Asymptotic Normality

12.

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
Marc Hallin, Catherine Vermandele and Bas J. M. Werker
ECARES, Universite Libre de Bruxelles, Université Libre de Bruxelles (ULB) and Tilburg University - Center for Economic Research (CentER)
Downloads 46 (681,401)
Citation 2

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

13.

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

Number of pages: 30 Posted: 13 Aug 2002
Mario Forni, Marc Hallin, Marco Lippi and Lucrezia Reichlin
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 (706,714)
Citation 91
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Dynamic factor models, principal components, time series, large cross-sections, panel data, forecasting

14.

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
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Luiz Koodi Hotta, Pedro L. Valls Pereira and Marc Hallin
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of Madrid, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and ECARES, Universite Libre de Bruxelles
Downloads 38 (734,171)
Citation 2

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Dimension reduction, Forecast, Jumps, Large panels

15.

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

Number of pages: 49 Posted: 15 Jan 2002
Filippo Altissimo, Antonio Bassanetti, Riccardo Cristadoro, Mario Forni, Marc Hallin, Marco Lippi, Lucrezia Reichlin and Giovanni Veronese
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 (770,644)
Citation 2
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Business cycle, dynamic factor model

16.

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

Number of pages: 19 Posted: 07 Feb 2002
Mario Forni, Marc Hallin, Marco Lippi and Lucrezia Reichlin
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 (844,415)
Citation 6
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Dynamic factor models, principal components, business cycle, forecasting, financial variables

17.

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

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18.

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

CEPR Discussion Paper No. DP10618
Number of pages: 53 Posted: 27 May 2015
Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni
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 (1,057,334)
Citation 6
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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

19.

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

CentER Working Paper No. 2003-23
Posted: 26 May 2004
Marc Hallin, Catherine Vermandele and Bas J. M. Werker
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