Alain Hecq
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012.
"Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data),"
Research Memorandum
021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2014. "Combining distributions of real-time forecasts: An application to U.S. growth," Research Memorandum 027, Maastricht University, Graduate School of Business and Economics (GSBE).
Mentioned in:
- Do you know what economic growth is today?
by Paul Frijters in Club Troppo on 2012-10-17 06:44:55 - Do you know what economic growth is today?
by Paul Frijters in Core Economics on 2012-10-17 10:03:09
Working papers
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
Cited by:
- Alain Hecq & Daniel Velasquez-Gaviria, 2023. "Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models," Papers 2310.19543, arXiv.org.
- Alain Hecq & Marie Ternes & Ines Wilms, 2023.
"Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions,"
Papers
2301.10592, arXiv.org.
Cited by:
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2023. "Econometrics of Machine Learning Methods in Economic Forecasting," Papers 2308.10993, arXiv.org.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022.
"Is climate change time reversible?,"
Papers
2205.07579, arXiv.org, revised Nov 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is Climate Change Time-Reversible?," Econometrics, MDPI, vol. 10(4), pages 1-18, December.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time-reversible?," Working Papers 498, University of Milano-Bicocca, Department of Economics, revised Nov 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Working Paper series 22-08, Rimini Centre for Economic Analysis, revised Dec 2022.
Cited by:
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022.
"Detecting common bubbles in multivariate mixed causal-noncausal models,"
Papers
2207.11557, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models," Econometrics, MDPI, vol. 11(1), pages 1-16, March.
- Ohtsuka, Yoshihiro & Oga, Takashi & Kakamu, Kazuhiko, 2010. "Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2721-2735, November.
- Geweke, John & Amisano, Gianni, 2010.
"Comparing and evaluating Bayesian predictive distributions of asset returns,"
International Journal of Forecasting, Elsevier, vol. 26(2), pages 216-230, April.
- Amisano, Gianni & Geweke, John, 2008. "Comparing and evaluating Bayesian predictive distributions of assets returns," Working Paper Series 969, European Central Bank.
- Christian Kascha & Francesco Ravazzolo, 2008.
"Combining inflation density forecasts,"
Working Paper
2008/22, Norges Bank.
- Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
- Alain Hecq & Daniel Velasquez-Gaviria, 2022.
"Spectral estimation for mixed causal-noncausal autoregressive models,"
Papers
2211.13830, arXiv.org.
Cited by:
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
- Alain Hecq & Daniel Velasquez-Gaviria, 2023. "Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models," Papers 2310.19543, arXiv.org.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Alain Hecq, 2021.
"Reduced Rank Regression Models in Economics and Finance,"
CEIS Research Paper
525, Tor Vergata University, CEIS, revised 08 Nov 2021.
Cited by:
- Alain Hecq & Marie Ternes & Ines Wilms, 2021.
"Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions,"
Papers
2102.11780, arXiv.org, revised Mar 2022.
Cited by:
- Luke Mosley & Idris Eckley & Alex Gibberd, 2021. "Sparse Temporal Disaggregation," Papers 2108.05783, arXiv.org, revised Oct 2022.
- Alain Hecq & Marie Ternes & Ines Wilms, 2023. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers 2301.10592, arXiv.org.
- Francesco Giancaterini & Alain Hecq, 2020.
"Inference in mixed causal and noncausal models with generalized Student's t-distributions,"
Papers
2012.01888, arXiv.org, revised Nov 2022.
Cited by:
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022.
"Is climate change time reversible?,"
Papers
2205.07579, arXiv.org, revised Nov 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time-reversible?," Working Papers 498, University of Milano-Bicocca, Department of Economics, revised Nov 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is Climate Change Time-Reversible?," Econometrics, MDPI, vol. 10(4), pages 1-18, December.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Working Paper series 22-08, Rimini Centre for Economic Analysis, revised Dec 2022.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
- Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022.
"Is climate change time reversible?,"
Papers
2205.07579, arXiv.org, revised Nov 2022.
- Gianluca Cubadda & Alain Hecq, 2020.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
Papers
2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
Cited by:
- Cees Diks & Bram Wouters, 2023. "Noise reduction for functional time series," Papers 2307.02154, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022.
"Detecting common bubbles in multivariate mixed causal-noncausal models,"
Papers
2207.11557, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models," Econometrics, MDPI, vol. 11(1), pages 1-16, March.
- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024.
"The Time-Varying Multivariate Autoregressive Index Model,"
CEIS Research Paper
571, Tor Vergata University, CEIS, revised 10 Jan 2024.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022. "The Time-Varying Multivariate Autoregressive Index Model," Papers 2201.07069, arXiv.org.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- Gianluca Cubadda & Marco Mazzali, 2023.
"The Vector Error Correction Index Model: Representation, Estimation and Identification,"
CEIS Research Paper
556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Hecq, Alain & Issler, João Victor & Telg, Sean, 2019.
"Mixed causal-noncausal autoregressions with exogenous regressors,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
810, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Alain Hecq & Joao Victor Issler & Sean Telg, 2020. "Mixed causal–noncausal autoregressions with exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 328-343, April.
Cited by:
- Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- Juan D. Borrero & Jesus Mariscal, 2022. "Predicting Time SeriesUsing an Automatic New Algorithm of the Kalman Filter," Mathematics, MDPI, vol. 10(16), pages 1-13, August.
- Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
- Alain Hecq & Elisa Voisin, 2023.
"Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233,
Emerald Group Publishing Limited.
- Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.
- Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
- Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
- Alain Hecq & Joao Issler & Elisa Voisin, 2022. "A short term credibility index for central banks under inflation targeting: an application to Brazil," Papers 2205.00924, arXiv.org, revised Jul 2022.
- Frédérique Bec & Alain Guay & Heino Bohn Nielsen & Sarra Saïdi, 2022. "Power of unit root tests against nonlinear and noncausal alternatives," THEMA Working Papers 2022-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
- Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019.
"Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure,"
Papers
1902.10991, arXiv.org, revised Dec 2020.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure," Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
Cited by:
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99376, University Library of Munich, Germany.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2020.
"Machine Learning Advances for Time Series Forecasting,"
Papers
2012.12802, arXiv.org, revised Apr 2021.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2023. "Machine learning advances for time series forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 76-111, February.
- Fan, Yanqin & Han, Fang & Park, Hyeonseok, 2023. "Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model," Journal of Econometrics, Elsevier, vol. 237(1).
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020.
"High-Dimensional VARs with Common Factors,"
Cowles Foundation Discussion Papers
2252, Cowles Foundation for Research in Economics, Yale University.
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
- Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
- Robert Adamek & Stephan Smeekes & Ines Wilms, 2020.
"Lasso Inference for High-Dimensional Time Series,"
Papers
2007.10952, arXiv.org, revised Sep 2022.
- Adamek, Robert & Smeekes, Stephan & Wilms, Ines, 2023. "Lasso inference for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1114-1143.
- Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
- Adam Jassem & Lenard Lieb & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised May 2022.
- Voisin, Elisa & Hecq, Alain, 2019.
"Forecasting bubbles with mixed causal-noncausal autoregressive models,"
MPRA Paper
92734, University Library of Munich, Germany.
- Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
Cited by:
- Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Alain Hecq & Elisa Voisin, 2023.
"Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233,
Emerald Group Publishing Limited.
- Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.
- Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023. "Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers 23-065/III, Tinbergen Institute.
- Alain Hecq & Joao Issler & Elisa Voisin, 2022. "A short term credibility index for central banks under inflation targeting: an application to Brazil," Papers 2205.00924, arXiv.org, revised Jul 2022.
- Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
- Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
- Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
- Alain Hecq & Elisa Voisin, 2019.
"Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models,"
Papers
1911.10916, arXiv.org, revised May 2022.
- Alain Hecq & Elisa Voisin, 2023. "Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233, Emerald Group Publishing Limited.
Cited by:
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- Alain Hecq & Li Sun, 2019.
"Identification of Noncausal Models by Quantile Autoregressions,"
Papers
1904.05952, arXiv.org.
Cited by:
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
- Hecq, Alain & Goetz, Thomas, 2018.
"Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes,"
MPRA Paper
87746, University Library of Munich, Germany.
- Thomas B. Götz & Alain W. Hecq, 2019. "Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
Cited by:
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022.
"Common Drivers of Commodity Futures?,"
Working Papers
2207, Utrecht School of Economics.
- Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
- Robert Adamek & Stephan Smeekes & Ines Wilms, 2020.
"Lasso Inference for High-Dimensional Time Series,"
Papers
2007.10952, arXiv.org, revised Sep 2022.
- Adamek, Robert & Smeekes, Stephan & Wilms, Ines, 2023. "Lasso inference for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1114-1143.
- Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018.
"Generating Univariate Fractional Integration within a Large VAR(1),"
AMSE Working Papers
1844, Aix-Marseille School of Economics, France.
- Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
Cited by:
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019.
"Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure,"
Papers
1902.10991, arXiv.org, revised Dec 2020.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure," Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
- Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023.
"We modeled long memory with just one lag!,"
Post-Print
hal-04185755, HAL.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Anna Mikusheva & Mikkel S{o}lvsten, 2023. "Linear Regression with Weak Exogeneity," Papers 2308.08958, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018.
"Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector,"
CEIS Research Paper
445, Tor Vergata University, CEIS, revised 30 Oct 2018.
Cited by:
- Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Hecq, Alain & Issler, João Victor & Telg, Sean, 2017.
"Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors,"
MPRA Paper
80767, University Library of Munich, Germany.
Cited by:
- Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017.
"Detecting Co-Movements in Noncausal Time Series,"
MPRA Paper
77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018. "Detecting Co-Movements in Noncausal Time Series," CEIS Research Paper 430, Tor Vergata University, CEIS, revised 23 Apr 2018.
Cited by:
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022.
"Detecting common bubbles in multivariate mixed causal-noncausal models,"
Papers
2207.11557, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models," Econometrics, MDPI, vol. 11(1), pages 1-16, March.
- Alain Hecq & Elisa Voisin, 2023.
"Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233,
Emerald Group Publishing Limited.
- Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016.
"A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures,"
CEIS Research Paper
391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
Cited by:
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Yaojie Zhang & Yudong Wang & Feng Ma, 2021. "Forecasting US stock market volatility: How to use international volatility information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 733-768, August.
- Gianluca Cubadda & Barbara Guardabascio, 2017.
"Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model,"
CEIS Research Paper
397, Tor Vergata University, CEIS, revised 13 Jul 2018.
- Cubadda, Gianluca & Guardabascio, Barbara, 2019. "Representation, estimation and forecasting of the multivariate index-augmented autoregressive model," International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
- BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016.
"A dynamic component model for forecasting high-dimensional realized covariance matrices,"
LIDAM Discussion Papers CORE
2016001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Manuela Braione & Giuseppe Storti, 2020. "A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices," Working Papers 3_234, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno, revised Jul 2020.
- Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
- Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Reprints CORE 2812, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Wang, Jiqian & Lu, Xinjie & He, Feng & Ma, Feng, 2020. "Which popular predictor is more useful to forecast international stock markets during the coronavirus pandemic: VIX vs EPU?," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024.
"The Time-Varying Multivariate Autoregressive Index Model,"
CEIS Research Paper
571, Tor Vergata University, CEIS, revised 10 Jan 2024.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022. "The Time-Varying Multivariate Autoregressive Index Model," Papers 2201.07069, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
- Won-Tak Hong & Jiwon Lee & Eunju Hwang, 2020. "A Note on the Asymptotic Normality Theory of the Least Squares Estimates in Multivariate HAR-RV Models," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015.
"MGARCH models: tradeoff between feasibility and flexibility,"
DES - Working Papers. Statistics and Econometrics. WS
ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2018. "Asymmetric semi-volatility spillover effects in EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 221-230.
- S. Yaser Samadi & Wiranthe B. Herath, 2023. "Reduced-rank Envelope Vector Autoregressive Models," Papers 2309.12902, arXiv.org.
- Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
- Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
- Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Chao Liang & Yu Wei & Yaojie Zhang, 2020. "Is implied volatility more informative for forecasting realized volatility: An international perspective," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1253-1276, December.
- Gianluca Cubadda & Marco Mazzali, 2023.
"The Vector Error Correction Index Model: Representation, Estimation and Identification,"
CEIS Research Paper
556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019. "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 132-146.
- Tomás del Barrio Castro & Alain Hecq, 2016.
"Testing for Deterministic Seasonality in Mixed-Frequency VARs,"
DEA Working Papers
76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
Cited by:
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
- Alain Hecq & Jan P.A.M. Jacobs & Michalis P. Stamatogiannis, 2016.
"Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions,"
CIRANO Working Papers
2016s-01, CIRANO.
- Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Research Memorandum 004, Maastricht University, Graduate School of Business and Economics (GSBE).
Cited by:
- M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
MPRA Paper
74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
Cited by:
- Hecq, Alain & Voisin, Elisa, 2021.
"Forecasting bubbles with mixed causal-noncausal autoregressive models,"
Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
- Voisin, Elisa & Hecq, Alain, 2019. "Forecasting bubbles with mixed causal-noncausal autoregressive models," MPRA Paper 92734, University Library of Munich, Germany.
- Barend Abeln & Jan P. A. M. Jacobs & Pim Ouwehand, 2019.
"CAMPLET: Seasonal Adjustment Without Revisions,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 73-95, April.
- Barend Abeln & Jan P. A. M. Jacobs, 2023. "CAMPLET: Seasonal Adjustment Without Revisions," SpringerBriefs in Economics, in: Seasonal Adjustment Without Revisions, chapter 0, pages 7-29, Springer.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Fries, Sébastien & Zakoian, Jean-Michel, 2017.
"Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles,"
MPRA Paper
81345, University Library of Munich, Germany.
- Fries, Sébastien & Zakoian, Jean-Michel, 2019. "Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles," Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
- Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
- Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
- Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
- Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Post-Print
hal-01440307, HAL.
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Cited by:
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016.
"A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures,"
CEIS Research Paper
391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019.
"Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure,"
Papers
1902.10991, arXiv.org, revised Dec 2020.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure," Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015.
"Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence,"
Working Papers
hal-01158524, HAL.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
- Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012.
"Liquidity and volatility in the U.S. treasury market,"
Staff Reports
590, Federal Reserve Bank of New York.
- Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
- Prosper Dovonon & Eric Renault, 2012.
"Testing for Common GARCH Factors,"
CIRANO Working Papers
2012s-34, CIRANO.
- Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
- Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015.
"MGARCH models: tradeoff between feasibility and flexibility,"
DES - Working Papers. Statistics and Econometrics. WS
ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018.
"Generating Univariate Fractional Integration within a Large VAR(1),"
Working Papers
halshs-01944588, HAL.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
- Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
- Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
- Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015.
"Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?,"
Research Memorandum
035, Maastricht University, Graduate School of Business and Economics (GSBE).
Cited by:
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
MPRA Paper
74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
- Kindop, Igor, 2021. "Ubiquitous multimodality in mixed causal-noncausal processes," MPRA Paper 109594, University Library of Munich, Germany, revised 04 Sep 2021.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015.
"Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence,"
ESSEC Working Papers
WP1507, ESSEC Research Center, ESSEC Business School.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
Cited by:
- Chevillon, Guillaume & Mavroeidis, Sophocles, 2017. "Learning can generate long memory," Journal of Econometrics, Elsevier, vol. 198(1), pages 1-9.
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2014.
"Combining distributions of real-time forecasts: An application to U.S. growth,"
Research Memorandum
027, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Cited by:
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015.
"Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States,"
Textos para discussão
385, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Diogo De Prince Mendonça & Emerson Fernandes Marçal & Beatrice Zimmermann & Giovanni Merlin, 2016. "Does Mixed Frequency Vector Error Correction Model Add Relevant Information To Exchange Misalignment Calculus? Evidence For United States," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 043, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Götz, T.B. & Hecq, A.W., 2014.
"Testing for Granger causality in large mixed-frequency VARs,"
Research Memorandum
028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
Cited by:
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
- Khalaf, Lynda & Kichian, Maral & Saunders, Charles J. & Voia, Marcel, 2021.
"Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 589-605.
- Lynda Khalaf & Maral Kichian & Charles Saunders & Marcel Voia, 2021. "Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit," Post-Print hal-03528880, HAL.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Motegi, Kaiji & Sadahiro, Akira, 2018. "Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 118-128.
- Götz, Thomas B. & Knetsch, Thomas A., 2019.
"Google data in bridge equation models for German GDP,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 45-66.
- Götz, Thomas B. & Knetsch, Thomas A., 2017. "Google data in bridge equation models for German GDP," Discussion Papers 18/2017, Deutsche Bundesbank.
- Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013.
"Testing for Granger Causality with Mixed Frequency Data,"
CEPR Discussion Papers
9655, C.E.P.R. Discussion Papers.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022.
"Common Drivers of Commodity Futures?,"
Working Papers
2207, Utrecht School of Economics.
- Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
- Alain Hecq & Marie Ternes & Ines Wilms, 2023. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers 2301.10592, arXiv.org.
- Sebastian Ankargren & Paulina Jon'eus, 2019.
"Simulation smoothing for nowcasting with large mixed-frequency VARs,"
Papers
1907.01075, arXiv.org.
- Ankargren, Sebastian & Jonéus, Paulina, 2021. "Simulation smoothing for nowcasting with large mixed-frequency VARs," Econometrics and Statistics, Elsevier, vol. 19(C), pages 97-113.
- Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Chi-Wei Su & Yuru Song & Hsu-Ling Chang & Weike Zhang & Meng Qin, 2023. "Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?," Sustainability, MDPI, vol. 15(9), pages 1-15, May.
- Tomás del Barrio Castro & Alain Hecq, 2016.
"Testing for Deterministic Seasonality in Mixed-Frequency VARs,"
DEA Working Papers
76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2020. "Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality," Journal of Econometrics, Elsevier, vol. 218(2), pages 633-654.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
- Hecq, Alain & Goetz, Thomas, 2018. "Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes," MPRA Paper 87746, University Library of Munich, Germany.
- Giusto Andrea & İşcan Talan B., 2018. "The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(4), pages 1-16, September.
- Olatunji Abdul Shobande & Joseph Onuche Enemona, 2021. "A Multivariate VAR Model for Evaluating Sustainable Finance and Natural Resource Curse in West Africa: Evidence from Nigeria and Ghana," Sustainability, MDPI, vol. 13(5), pages 1-15, March.
- Götz, T.B. & Hecq, A.W., 2013.
"Nowcasting causality in mixed frequency vector autoregressive models,"
Research Memorandum
050, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain, 2014. "Nowcasting causality in mixed frequency vector autoregressive models," Economics Letters, Elsevier, vol. 122(1), pages 74-78.
Cited by:
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
- Franco, Ray John Gabriel & Mapa, Dennis S., 2014. "The Dynamics of Inflation and GDP Growth: A Mixed Frequency Model Approach," MPRA Paper 55858, University Library of Munich, Germany.
- Götz, T.B. & Hecq, A.W., 2014.
"Testing for Granger causality in large mixed-frequency VARs,"
Research Memorandum
028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
- William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Staff Working Papers 14-39, Bank of Canada.
- Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2016. "Real-time nowcasting of nominal GDP with structural breaks," Journal of Econometrics, Elsevier, vol. 191(2), pages 312-324.
- Tomás del Barrio Castro & Alain Hecq, 2016.
"Testing for Deterministic Seasonality in Mixed-Frequency VARs,"
DEA Working Papers
76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2020. "Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality," Journal of Econometrics, Elsevier, vol. 218(2), pages 633-654.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
- Hecq, Alain & Goetz, Thomas, 2018. "Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes," MPRA Paper 87746, University Library of Munich, Germany.
- Dunbar, Kwamie, 2022. "Impact of the COVID-19 event on U.S. banks’ financial soundness," Research in International Business and Finance, Elsevier, vol. 59(C).
- William Barnett & Marcelle Chauvetz & Danilo Leiva-Leonx, 2014.
"Real-Time Nowcasting Nominal GDP Under Structural Break,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
201313, University of Kansas, Department of Economics, revised Feb 2014.
- Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
Cited by:
- Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
- Götz, Thomas B. & Hecq, Alain & Urbain, Jean-Pierre, 2016. "Combining forecasts from successive data vintages: An application to U.S. growth," International Journal of Forecasting, Elsevier, vol. 32(1), pages 61-74.
- Eric Ghysels & J. Isaac Miller, 2013.
"Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series,"
Working Papers
1307, Department of Economics, University of Missouri, revised 07 May 2014.
- Ghysels, Eric & Miller, J. Isaac, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers 9654, C.E.P.R. Discussion Papers.
- Eric Ghysels & J. Isaac Miller, 2015. "Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 797-816, November.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2014.
"Combining distributions of real-time forecasts: An application to U.S. growth,"
Research Memorandum
027, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Götz, T.B. & Hecq, A.W., 2014.
"Testing for Granger causality in large mixed-frequency VARs,"
Research Memorandum
028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013.
"Testing for Granger Causality with Mixed Frequency Data,"
CEPR Discussion Papers
9655, C.E.P.R. Discussion Papers.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015.
"Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States,"
Textos para discussão
385, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Diogo De Prince Mendonça & Emerson Fernandes Marçal & Beatrice Zimmermann & Giovanni Merlin, 2016. "Does Mixed Frequency Vector Error Correction Model Add Relevant Information To Exchange Misalignment Calculus? Evidence For United States," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 043, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Götz, Thomas B. & Hecq, Alain, 2014.
"Nowcasting causality in mixed frequency vector autoregressive models,"
Economics Letters, Elsevier, vol. 122(1), pages 74-78.
- Götz, T.B. & Hecq, A.W., 2013. "Nowcasting causality in mixed frequency vector autoregressive models," Research Memorandum 050, Maastricht University, Graduate School of Business and Economics (GSBE).
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Tomás del Barrio Castro & Alain Hecq, 2016.
"Testing for Deterministic Seasonality in Mixed-Frequency VARs,"
DEA Working Papers
76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
- J. Isaac Miller, 2016.
"Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
- J. Isaac Miller, 2011. "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers 1103, Department of Economics, University of Missouri, revised 30 May 2012.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
- Hecq, Alain & Goetz, Thomas, 2018. "Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes," MPRA Paper 87746, University Library of Munich, Germany.
- John Cotter & Mark Hallam & Kamil Yilmaz, 2017.
"Mixed-Frequency Macro-Financial Spillovers,"
Koç University-TUSIAD Economic Research Forum Working Papers
1704, Koc University-TUSIAD Economic Research Forum.
- John Cotter & Mark Hallam & Kamil Yilmaz, 2017. "Mixed-frequency macro-financial spillovers," Working Papers 201704, Geary Institute, University College Dublin.
- Eric Ghysels & J. Isaac Miller, 2014.
"On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests,"
Working Papers
1403, Department of Economics, University of Missouri.
- Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 93-122, Emerald Group Publishing Limited.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
Cited by:
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Castro, Andressa Souza Campos Monteiro & Issler, João Victor, 2015.
"Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
767, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Castro, Andressa Monteiro de & Issler, João Victor, 2016. "Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
- Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014.
"Measuring inflation persistence in Brazil using a multivariate model,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
- Vicente da Gama Machado & Marcelo Savino Portugal, 2013. "Measuring Inflation Persistence in Brazil Using a Multivariate Model," Working Papers Series 331, Central Bank of Brazil, Research Department.
- Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013.
"Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions,"
Working Papers Series
330, Central Bank of Brazil, Research Department.
Cited by:
- Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014.
"Measuring inflation persistence in Brazil using a multivariate model,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
- Vicente da Gama Machado & Marcelo Savino Portugal, 2013. "Measuring Inflation Persistence in Brazil Using a Multivariate Model," Working Papers Series 331, Central Bank of Brazil, Research Department.
- Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014.
"Measuring inflation persistence in Brazil using a multivariate model,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012.
"A General to Specific Approach for Constructing Composite Business Cycle Indicators,"
CEIS Research Paper
224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
Cited by:
- Gianluca Cubadda & Barbara Guardabascio, 2017.
"Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model,"
CEIS Research Paper
397, Tor Vergata University, CEIS, revised 13 Jul 2018.
- Cubadda, Gianluca & Guardabascio, Barbara, 2019. "Representation, estimation and forecasting of the multivariate index-augmented autoregressive model," International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
- Mihnea Constantinescu, 2023. "Sparse Warcasting," Working Papers 01/2023, National Bank of Ukraine.
- Marczak, Martyna & Gómez, Víctor, 2015.
"Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis,"
Economic Modelling, Elsevier, vol. 47(C), pages 40-52.
- Marczak, Martyna & Gómez, Víctor, 2012. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," FZID Discussion Papers 50-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
- Agne Reklaite, 2015. "Globalisation Effect Measure Via Hierarchical Dynamic Factor Modelling," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 10(3), pages 139-149, September.
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012.
"Forecasting Mixed Frequency Time Series with ECM-MIDAS Models,"
Research Memorandum
012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain, 2014. "Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 198-213, April.
Cited by:
- Götz, Thomas B. & Hecq, Alain & Urbain, Jean-Pierre, 2016. "Combining forecasts from successive data vintages: An application to U.S. growth," International Journal of Forecasting, Elsevier, vol. 32(1), pages 61-74.
- Mahmut Gunay, 2020. "Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial," Working Papers 2002, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2014.
"Combining distributions of real-time forecasts: An application to U.S. growth,"
Research Memorandum
027, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Miller, J. Isaac, 2018.
"Simple robust tests for the specification of high-frequency predictors of a low-frequency series,"
Econometrics and Statistics, Elsevier, vol. 5(C), pages 45-66.
- J. Isaac Miller, 2014. "Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series," Working Papers 1412, Department of Economics, University of Missouri.
- Götz, T.B. & Hecq, A.W., 2014.
"Testing for Granger causality in large mixed-frequency VARs,"
Research Memorandum
028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- António Rua & Hossein Hassani, 2019.
"Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis,"
Working Papers
w201913, Banco de Portugal, Economics and Research Department.
- Hassani, Hossein & Rua, António & Silva, Emmanuel Sirimal & Thomakos, Dimitrios, 2019. "Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1263-1272.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
- J. Isaac Miller, 2014.
"Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 584-614.
- J. Isaac Miller, 2012. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers 1211, Department of Economics, University of Missouri.
- Havranek, Tomas & Zeynalov, Ayaz, 2018. "Forecasting Tourist Arrivals with Google Trends and Mixed Frequency Data," EconStor Preprints 187420, ZBW - Leibniz Information Centre for Economics.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015.
"Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States,"
Textos para discussão
385, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Diogo De Prince Mendonça & Emerson Fernandes Marçal & Beatrice Zimmermann & Giovanni Merlin, 2016. "Does Mixed Frequency Vector Error Correction Model Add Relevant Information To Exchange Misalignment Calculus? Evidence For United States," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 043, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Warmedinger, Thomas & Paredes, Joan & Asimakopoulos, Stylianos, 2013. "Forecasting fiscal time series using mixed frequency data," Working Paper Series 1550, European Central Bank.
- Havranek, Tomas & Zeynalov, Ayaz, 2018.
"Forecasting Tourist Arrivals: Google Trends Meets Mixed Frequency Data,"
MPRA Paper
90205, University Library of Munich, Germany.
- Tomas Havranek & Ayaz Zeynalov, 2021. "Forecasting tourist arrivals: Google Trends meets mixed-frequency data," Tourism Economics, , vol. 27(1), pages 129-148, February.
- Peter Fuleky & Carl Bonham, 2010.
"Forecasting Based on Common Trends in Mixed Frequency Samples,"
Working Papers
2010-17R1, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Jul 2013.
- Peter Fuleky & Carl S. Bonham, 2011. "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers 201110, University of Hawaii at Manoa, Department of Economics.
- Peter Fuleky & Carl S. Bonham, 2013.
"Forecasting with Mixed Frequency Samples: The Case of Common Trends,"
Working Papers
201316, University of Hawaii at Manoa, Department of Economics.
- Peter Fuleky & Carl S. Bonham, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 201305, University of Hawaii at Manoa, Department of Economics.
- Peter Fuleky & Carl, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 2013-5, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Kurz-Kim, Jeong-Ryeol, 2018. "A note on the predictive power of survey data in nowcasting euro area GDP," Discussion Papers 10/2018, Deutsche Bundesbank.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
- Hecq, Alain & Goetz, Thomas, 2018. "Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes," MPRA Paper 87746, University Library of Munich, Germany.
- Adeniji Sesan Oluseyi & Timilehin John Olasehinde & Gamaliel O. Eweke, 2017. "The Impact of Money Supply on Nigeria Economy: A Comparison of Mixed Data Sampling (MIDAS) and ARDL Approach," EuroEconomica, Danubius University of Galati, issue 2(36), pages 123-134, November.
- Yunxu Wang & Chi-Wei Su & Yuchen Zhang & Oana-Ramona Lobonţ & Qin Meng, 2023. "Effectiveness of Principal-Component-Based Mixed-Frequency Error Correction Model in Predicting Gross Domestic Product," Mathematics, MDPI, vol. 11(19), pages 1-14, September.
- Eric Ghysels & J. Isaac Miller, 2014.
"On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests,"
Working Papers
1403, Department of Economics, University of Missouri.
- Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 93-122, Emerald Group Publishing Limited.
- Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
- Hecq, Alain & Issler, João Victor, 2012.
"A Common-feature approach for testing present-value restrictions with financial data,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Hecq, A.W. & Issler, J.V., 2012. "A common-feature approach for testing present-value restrictions with financial data," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Cited by:
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011.
"On the univariate representation of multivariate volatility models with common factors,"
Research Memorandum
011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Cited by:
- Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011.
"Common Intraday Periodicity,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 325-353, 2012 20 1.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2011. "Common intraday periodicity," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011.
"Common Intraday Periodicity,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 325-353, 2012 20 1.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2011.
"Common intraday periodicity,"
Research Memorandum
010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011. "Common Intraday Periodicity," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 325-353, 2012 20 1.
Cited by:
- Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016.
"Do We Need High Frequency Data to Forecast Variances?,"
Post-Print
hal-01448237, HAL.
- Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
- Hans DEWACHTER & Deniz ERDEMLIOGLU & Jean-Yves GNABO & Christelle LECOURT, 2013.
"The intra-day impact of communication on euro-dollar volatility and jumps,"
Working Papers of Department of Economics, Leuven
ces13.04, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012.
"Econometric modeling of exchange rate volatility and jumps,"
Working Papers
2012-008, Federal Reserve Bank of St. Louis.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
- Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
- Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
- Herrmann, Klaus & Teis, Stefan & Yu, Weijun, 2014. "Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures," FAU Discussion Papers in Economics 15/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Tomás del Barrio Castro & Alain Hecq, 2016.
"Testing for Deterministic Seasonality in Mixed-Frequency VARs,"
DEA Working Papers
76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
- Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2013.
"Which continuous-time model is most appropriate for exchange rates?,"
Working Papers
2013-024, Federal Reserve Bank of St. Louis.
- Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2015. "Which continuous-time model is most appropriate for exchange rates?," Post-Print hal-01457402, HAL.
- Hecq, A.W. & Urbain, J.R.Y.J. & Gengenbach, C., 2011.
"Are panel unit root tests useful for real-time data?,"
Research Memorandum
012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Cited by:
- Kim, Hyeongwoo & Kim, Jintae, 2018.
"London calling: Nonlinear mean reversion across national stock markets,"
The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.
- Hyeongwoo Kim & Jintae Kim, 2018. "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series auwp2018-01, Department of Economics, Auburn University.
- Hyeongwoo Kim & Jintae Kim, 2017. "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series auwp2017-05, Department of Economics, Auburn University.
- Hyeongwoo Kim & Jintae Kim, 2014. "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series auwp2014-13, Department of Economics, Auburn University.
- Kim, Hyeongwoo & Kim, Jintae, 2018.
"London calling: Nonlinear mean reversion across national stock markets,"
The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.
- Gianluca Cubadda & Alain Hecq, 2009.
"Testing for Common Autocorrelation in Data Rich Environments,"
CEIS Research Paper
153, Tor Vergata University, CEIS, revised 04 Dec 2009.
- Gianluca Cubadda & Alain Hecq, 2011. "Testing for common autocorrelation in data‐rich environments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 325-335, April.
Cited by:
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016.
"A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures,"
CEIS Research Paper
391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012.
"A General to Specific Approach for Constructing Composite Business Cycle Indicators,"
CEIS Research Paper
224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Gianluca Cubadda & Barbara Guardabascio, 2017.
"Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model,"
CEIS Research Paper
397, Tor Vergata University, CEIS, revised 13 Jul 2018.
- Cubadda, Gianluca & Guardabascio, Barbara, 2019. "Representation, estimation and forecasting of the multivariate index-augmented autoregressive model," International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Bernardini, Emmanuela & Cubadda, Gianluca, 2015.
"Macroeconomic forecasting and structural analysis through regularized reduced-rank regression,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 682-691.
- Emmanuela Bernardini & Gianluca Cubadda, 2013. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," CEIS Research Paper 289, Tor Vergata University, CEIS, revised 03 Oct 2013.
- Götz, T.B. & Hecq, A.W., 2014.
"Testing for Granger causality in large mixed-frequency VARs,"
Research Memorandum
028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Gianluca Cubadda & Barbara Guardabascio, 2010.
"A Medium-N Approach to Macroeconomic Forecasting,"
CEIS Research Paper
176, Tor Vergata University, CEIS, revised 09 Dec 2010.
- Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
- Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011. "On the univariate representation of multivariate volatility models with common factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Gianluca Cubadda & Marco Mazzali, 2023.
"The Vector Error Correction Index Model: Representation, Estimation and Identification,"
CEIS Research Paper
556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008.
"Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling,"
CEIS Research Paper
125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
Cited by:
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016.
"A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures,"
CEIS Research Paper
391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019.
"Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure,"
Papers
1902.10991, arXiv.org, revised Dec 2020.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure," Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
- Franses, Ph.H.B.F. & Wiemann, T., 2018. "Intertemporal Similarity of Economic Time Series," Econometric Institute Research Papers EI2018-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Gianluca Cubadda & Alain Hecq, 2009.
"Testing for Common Autocorrelation in Data Rich Environments,"
CEIS Research Paper
153, Tor Vergata University, CEIS, revised 04 Dec 2009.
- Gianluca Cubadda & Alain Hecq, 2011. "Testing for common autocorrelation in data‐rich environments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 325-335, April.
- Götz, Thomas B. & Knetsch, Thomas A., 2019.
"Google data in bridge equation models for German GDP,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 45-66.
- Götz, Thomas B. & Knetsch, Thomas A., 2017. "Google data in bridge equation models for German GDP," Discussion Papers 18/2017, Deutsche Bundesbank.
- Mitchell, James & Robertson, Donald & Wright, Stephen, 2016. "What univariate models tell us about multivariate macroeconomic models," EMF Research Papers 08, Economic Modelling and Forecasting Group.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015.
"Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence,"
Working Papers
hal-01158524, HAL.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
- Franses, Ph.H.B.F., 2019. "Do African economies grow similarly?," Econometric Institute Research Papers EI2019-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Gianluca Cubadda & Barbara Guardabascio, 2010.
"A Medium-N Approach to Macroeconomic Forecasting,"
CEIS Research Paper
176, Tor Vergata University, CEIS, revised 09 Dec 2010.
- Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
- Smeekes, S. & Urbain, J.R.Y.J., 2011.
"On the applicability of the sieve bootstrap in time series panels,"
Research Memorandum
055, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Inference in Non-stationary High-Dimensional VARs," Papers 2302.01434, arXiv.org, revised Sep 2023.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012.
"The conditional autoregressive Wishart model for multivariate stock market volatility,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018.
"Generating Univariate Fractional Integration within a Large VAR(1),"
Working Papers
halshs-01944588, HAL.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
- Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
- Cubadda, Gianluca & Triacca, Umberto, 2011.
"An alternative solution to the Autoregressivity Paradox in time series analysis,"
Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
- Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
- Philip Hans Franses & Thomas Wiemann, 2020. "Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 59-75, June.
- Gianluca Cubadda & Marco Mazzali, 2023.
"The Vector Error Correction Index Model: Representation, Estimation and Identification,"
CEIS Research Paper
556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Gianluca CubaddaTor Vergata & Marco MazzaliTor Vergata, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Nunzio Cappuccio & Diego Lubian, 2016. "Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series," Econometrics, MDPI, vol. 4(2), pages 1-11, April.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007.
"Macro-panels and reality,"
Research Memorandum
009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008. "Macro-panels and reality," Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
Cited by:
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011. "On the univariate representation of multivariate volatility models with common factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, Gianluca & Triacca, Umberto, 2011.
"An alternative solution to the Autoregressivity Paradox in time series analysis,"
Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
- Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007.
"Studying co-movements in large multivariate models without multivariate modelling,"
Research Memorandum
032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Cited by:
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008.
"Macro-panels and reality,"
Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Macro-panels and reality," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
- Cubadda, Gianluca & Triacca, Umberto, 2011.
"An alternative solution to the Autoregressivity Paradox in time series analysis,"
Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
- Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2006.
"Measuring the Sources of Cyclical Fluctuations in the G7 Economies,"
Economics & Statistics Discussion Papers
esdp06028, University of Molise, Department of Economics.
Cited by:
- Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 159-170.
- Gerhard Fenz & Martin Schneider, 2008.
"Transmission of business cycle shocks between the US and the euro area,"
Working Papers
145, Oesterreichische Nationalbank (Austrian Central Bank).
- Martin Schneider & Gerhard Fenz, 2011. "Transmission of business cycle shocks between the US and the euro area," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2777-2793.
- Alain W. HECQ, 2005.
"Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach,"
Computing in Economics and Finance 2005
258, Society for Computational Economics.
Cited by:
- Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005.
"Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
589, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Adom, Assandé Désiré & Sharma, Subhash C. & Morshed, A.K.M. Mahbub, 2010. "Economic integration in Africa," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 245-253, August.
- Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005.
"Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
589, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003.
"Common Shocks, Common Dynamics, and the International Business Cycle,"
Economics & Statistics Discussion Papers
esdp03007, University of Molise, Department of Economics.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007. "Common shocks, common dynamics, and the international business cycle," Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
- Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
Cited by:
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010.
"Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
707, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- George Athanasopoulos & Osmani Teixeira de Carvalho Guillén & João Victor Issler & Farshid Vahid, 2010. "Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions," Working Papers Series 205, Central Bank of Brazil, Research Department.
- Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 688, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 704, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012.
"A General to Specific Approach for Constructing Composite Business Cycle Indicators,"
CEIS Research Paper
224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2011. "Energy consumption at business cycle horizons: The case of the United States," Energy Economics, Elsevier, vol. 33(2), pages 161-167, March.
- Bicu, A.C. & Candelon, B., 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gianluca Cubadda & Barbara Guardabascio, 2010.
"A Medium-N Approach to Macroeconomic Forecasting,"
CEIS Research Paper
176, Tor Vergata University, CEIS, revised 09 Dec 2010.
- Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2006. "Measuring the Sources of Cyclical Fluctuations in the G7 Economies," Economics & Statistics Discussion Papers esdp06028, University of Molise, Department of Economics.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Calderón, César & Fuentes, J. Rodrigo, 2014. "Have business cycles changed over the last two decades? An empirical investigation," Journal of Development Economics, Elsevier, vol. 109(C), pages 98-123.
- Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009.
"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009.
"Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features,"
MPRA Paper
22550, University Library of Munich, Germany.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series 139, Central Bank of Brazil, Research Department.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Sinchan Mitra & Tara M. Sinclair, "undated".
"Output Fluctuations in the G-7: An Unobserved Components Approach,"
MRG Discussion Paper Series
2509, School of Economics, University of Queensland, Australia.
- Tara Sinclair & Sinchan Mitra, 2008. "Output Fluctuations in the G-7: An Unobserved Components Approach," Working Papers 2008-04, The George Washington University, Institute for International Economic Policy.
- Mitra, Sinchan & Sinclair, Tara M., 2012. "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 396-422, June.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Hecq, A.W. & Issler, J.V., 2012.
"A common-feature approach for testing present-value restrictions with financial data,"
Research Memorandum
006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Haddad, Hedi Ben & Mezghani, Imed & Al Dohaiman, Mohammed, 2020. "Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors," Economic Systems, Elsevier, vol. 44(2).
- Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
- Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
- Cubadda, Gianluca & Hecq, Alain, 2003.
"The Role of Common Cyclical Features for Coincident and Leading Indexes Building,"
Economics & Statistics Discussion Papers
esdp03002, University of Molise, Department of Economics.
Cited by:
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
- Cubadda, Gianluca & Hecq, Alain, 2001. "On non-contemporaneous short-run co-movements," Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features,"
CESifo Working Paper Series
660, CESifo.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
Cited by:
- Jacqueline Pradel & Christophe Rault, 2003.
"Exogeneity in vector error correction models with purely exogenous long-run paths,"
Documents de recherche
03-10, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Jacqueline Pradel & Christophe Rault, 2003. "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 629-653, December.
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice & de Prince, Diogo & Merlin, Giovanni, 2018.
"Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 72(4), December.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Textos para discussão 384, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Paruolo Paolo, 2003.
"Common trends and cycles in I(2) VAR systems,"
Economics and Quantitative Methods
qf0217bis, Department of Economics, University of Insubria.
- Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
- Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria.
- Kurita, Takamitsu, 2019. "Separate cointegration in a VAR system subject to structural breaks," Economics Letters, Elsevier, vol. 179(C), pages 19-23.
- Cengiz Arikan & Yeliz Yalcin, 2013. "Determining the Exogeneity of Tax Components with Respect to GDP," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(3), pages 242-255, July.
- Christophe Rault, 2007.
"Une synthèse de l'exogénéité dans les modèles vectoriels à correction d'erreurs,"
Post-Print
halshs-00202651, HAL.
- Christophe RAULT, 2007. "Une synthèse de l'exogénéité dans les modèles Vectoriels à Correction d'Erreurs," LEO Working Papers / DR LEO 1723, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
- Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(3), pages 280-290, August.
- Eilev S. Jansen, 2002. "Statistical Issues in Macroeconomic Modelling," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(2), pages 193-213, June.
- Paresh Kumar Narayan, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 338-351, December.
- Christophe Rault, 2005.
"Further Results on Weak-Exogeneity in Vector Error Correction Models,"
Documents de recherche
05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Christophe Rault, 2004. "Further results on weak-exogeneity in vector error correction models," Econometric Society 2004 Far Eastern Meetings 402, Econometric Society.
- Rault, Christophe, 2005. "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
- Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186, October.
- Narayan, Paresh Kumar, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, Elsevier, vol. 17(4), pages 338-351, December.
- Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
- Ziesemer, Thomas, 2019. "The impact of mission-oriented R&D on domestic and foreign private and public R&D, total factor productivity and GDP," MERIT Working Papers 2019-047, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Haddad, Hedi Ben & Mezghani, Imed & Al Dohaiman, Mohammed, 2020. "Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors," Economic Systems, Elsevier, vol. 44(2).
- Grigoriev, A. & Sviridenko, M. & Uetz, M.J., 2005. "Machine scheduling with resource dependent processing times," Research Memorandum 050, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Narayan, Paresh Kumar, 2008. "Understanding the importance of permanent and transitory shocks at business cycle horizons for the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2879-2888.
- Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Department of Economics.
- Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.
- Christian Gengenbach & Franz C. Palm & Jean‐Pierre Urbain, 2006. "Cointegration Testing in Panels with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 683-719, December.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001.
"Testing for Common Cyclical Features in Var Models with Cointegration,"
CESifo Working Paper Series
451, CESifo.
Cited by:
- Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005.
"Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
589, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Paruolo Paolo, 2003.
"Common trends and cycles in I(2) VAR systems,"
Economics and Quantitative Methods
qf0217bis, Department of Economics, University of Insubria.
- Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
- Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria.
- Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009.
"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009.
"Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features,"
MPRA Paper
22550, University Library of Munich, Germany.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series 139, Central Bank of Brazil, Research Department.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005.
"Estimating the stochastic discount factor without a utility function,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
583, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
- Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186, October.
- Miankhel, Adil Khan & Kalirajan, Kaliappa & Thangavelu, Shandre, 2010. "Integration, decoupling and the global financial crisis: A global perspective," MPRA Paper 22837, University Library of Munich, Germany.
- Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo.
- Hecq, A.W. & Issler, J.V., 2012.
"A common-feature approach for testing present-value restrictions with financial data,"
Research Memorandum
006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
- Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
- Candelon, Bertrand & Hecq, Alain & Lohest, Olivier, 2000.
"Labor Mobility in Belgium : An Empirical Analysis of the Relationship between Provincial Employment Dynamics and Migration,"
LIDAM Discussion Papers IRES
2000029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
Cited by:
- Muriel Dejemeppe, 2005. "A Complete Decomposition of Unemployment Dynamics using Longitudinal Grouped Duration Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 47-70, February.
- Muriel Dejemeppe & Yves Saks, 2002. "A New Light into Regional Unemployment Disparities in Belgium : Longitudinal Analysis of Grouped Duration Data," LIDAM Discussion Papers IRES 2002019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000.
"Testing for Common Cyclical Features in Nonstationary Panel Data Models,"
CESifo Working Paper Series
248, CESifo.
Cited by:
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
- Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
- Robertico Croes & Jorge Ridderstaat, 2017. "The effects of business cycles on tourism demand flows in small island destinations," Tourism Economics, , vol. 23(7), pages 1451-1475, November.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo.
- Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," IHEID Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Michel Beine & Frédéric Docquier & Alain Hecq, 1999.
"Convergence des groupes en Europe: une analyse sur données régionales,"
ULB Institutional Repository
2013/10459, ULB -- Universite Libre de Bruxelles.
Cited by:
- Thi Kim Cuong Pham & Phu Nguyen Van & Jalal El Ouardighi & Théophile Azomahou, 2006.
"Estimation semi-paramétrique de la convergence des régions européennes,"
Économie et Prévision, Programme National Persée, vol. 173(2), pages 97-110.
- Théophile T. Azomahou & Jalal El Ouardighi & Phu Nguyen Van & Thi Kim Cuong Pham, 2006. "Estimation semi-paramétrique de la convergence des régions européennes," Economie & Prévision, La Documentation Française, vol. 0(2), pages 97-110.
- Théophile T. Azomahou & Jalal El Ouardighi & Phu Nguyen Van & Thi Kim Cuong Pham, 2006. "Estimation semi-paramétrique de la convergence des régions européennes," Post-Print hal-00279381, HAL.
- Catherine Baumont & Cem Ertur & Julie Le Gallo, 2000. "Convergence of European regions (an approach by spatial econometrics) [Convergence des régions européennes (une approche par l'économétrie spatiale)]," Working Papers hal-01526961, HAL.
- Sébastien BOURDIN, 2013. "Une Mesure Spatiale Locale De La Sigma-Convergence Pour Evaluer Les Disparites Regionales Dans L’Union Europeenne," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 37, pages 179-196.
- Catherine Fuss, 1999. "Mesures et tests de convergence : une revue de la littérature," Revue de l'OFCE, Programme National Persée, vol. 69(1), pages 221-249.
- BAUMONT, Catherine & ERTUR, Cem & LE GALLO, Julie, 2000. "Convergence des régions européennes. Une approche par l'économétrie spatiale," LATEC - Document de travail - Economie (1991-2003) 2000-03, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
- Thi Kim Cuong Pham & Phu Nguyen Van & Jalal El Ouardighi & Théophile Azomahou, 2006.
"Estimation semi-paramétrique de la convergence des régions européennes,"
Économie et Prévision, Programme National Persée, vol. 173(2), pages 97-110.
- Michel Beine & Alain Hecq, 1999.
"Inference in codependence: some Monte Carlo results and applications,"
ULB Institutional Repository
2013/10457, ULB -- Universite Libre de Bruxelles.
- Michel Beine & Alain Hecq, 1999. "Inference in Codependence : Some Monte Carlo Results and Applications," Annals of Economics and Statistics, GENES, issue 54, pages 69-90.
Cited by:
- Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
- Beine, Michel & Hecq, Alain, 1998.
"Codependence and Convergence in the EC Economies,"
Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
- Michel Beine & Alain Hecq, 1998. "Codependence and convergence in the EC economies," ULB Institutional Repository 2013/10463, ULB -- Universite Libre de Bruxelles.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Gourieroux, Christian & Jasiak, Joann, 2017. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, vol. 200(1), pages 118-134.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
- Candelon, Bertrand C.B. & Hecq, Alain W.J., 1998.
"Stability of Okun's Law in a Codependent System,"
LIDAM Discussion Papers IRES
1998016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
Cited by:
- Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Gutierrez, Carlos Enrique Carrasco & Gomes, Fábio Augusto Reis, 2009.
"Evidence on Common Features and Business Cycle Synchronization in Mercosur,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
- Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2009. "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Fucape Working Papers 15, Fucape Business School.
- Carrasco-Gutierrez, Carlos Enrique & Reis Gomes, Fábio Augusto, 2007. "Evidence on Common Feature and Business Cycle Synchronization in Mercosur," MPRA Paper 66064, University Library of Munich, Germany, revised 2009.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
- Ian H.K. Leow, 2004. "A Simple Dynamic Model of Big-push," Econometric Society 2004 Australasian Meetings 218, Econometric Society.
- Michel Beine & Alain Hecq, 1998.
"Codependence and convergence in the EC economies,"
ULB Institutional Repository
2013/10463, ULB -- Universite Libre de Bruxelles.
- Beine, Michel & Hecq, Alain, 1998. "Codependence and Convergence in the EC Economies," Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
Cited by:
- Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Cesar Sobrino & Ellis Heath, 2013. "Currency Area and Non-synchronized Business Cycles between the US and Puerto Rico," Economics Bulletin, AccessEcon, vol. 33(3), pages 1948-1958.
- Helmut Lütkepohl & Ralf Brüggemann, 2006.
"A small monetary system for the euro area based on German data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702.
- Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute.
- Ralf Brüggemann & Helmut Lütkepohl, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702, September.
- Beyaert, Arielle & García-Solanes, José, 2014. "Output gap and non-linear economic convergence," Journal of Policy Modeling, Elsevier, vol. 36(1), pages 121-135.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
- N. Antonakakis & G. Tondl, 2014. "Does integration and economic policy coordination promote business cycle synchronization in the EU?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(3), pages 541-575, August.
- Michel Beine & Alain Hecq, 1997.
"Asymmetric shocks inside future EMU,"
ULB Institutional Repository
2013/10465, ULB -- Universite Libre de Bruxelles.
- Beine, Michel & Hecq, Alain, 1997. "Asymmetric Shocks Inside Future EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 12, pages 131-140.
Cited by:
- Schor, Armand-Denis, 2000. "La théorie des zones monétaires optimales : l’optimum, le praticable, le crédible et le réel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 76(4), pages 545-576, décembre.
- Chan, Tze-Haw & Lau, Evan, 2004. "Business cycles and the synchronization process: a bounds testing approach," MPRA Paper 2030, University Library of Munich, Germany, revised 2005.
- Carlos Felipe Jaramillo & Daniel Lederman & Maurizio Bussolo & David Gould & Andrew Mason, 2006. "Challenges of CAFTA : Maximizing the Benefits for Central America," World Bank Publications - Books, The World Bank Group, number 7127, December.
- Chan, Tze-Haw & Khong, Wye Leong Roy, 2007. "Business Cycle Correlation and Output Linkages among the Asia Pacific Economies," MPRA Paper 11305, University Library of Munich, Germany, revised 24 Oct 2008.
- Laurence Boone, 1997. "Symmetry and Asymmetry of Supply and Demand Shocks in the European Union," Working Papers 1997-03, CEPII research center.
- Norbert Fiess, 2007.
"Business Cycle Synchronization and Regional Integration: A Case Study for Central America,"
The World Bank Economic Review, World Bank, vol. 21(1), pages 49-72.
- Norbert Fiess, "undated". "Business Cycle Synchronization and Regional Integration: A Case Study for Central America," Working Papers 2005_14, Business School - Economics, University of Glasgow.
- Fiess, Norbert, 2005. "Business cycle synchronization and regional integration: a case study for Central America," Policy Research Working Paper Series 3584, The World Bank.
- Nephil Matangi Maskay, 2001. "South Asian Monetary Integration in Light of the Optimum Currency Area Criterion of Patterns of Shocksâ€," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 2(2), pages 203-219, September.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
Articles
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023.
"Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
See citations under working paper version above.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019. "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure," Papers 1902.10991, arXiv.org, revised Dec 2020.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022.
"Is Climate Change Time-Reversible?,"
Econometrics, MDPI, vol. 10(4), pages 1-18, December.
See citations under working paper version above.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time-reversible?," Working Papers 498, University of Milano-Bicocca, Department of Economics, revised Nov 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Working Paper series 22-08, Rimini Centre for Economic Analysis, revised Dec 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Papers 2205.07579, arXiv.org, revised Nov 2022.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High‐Dimensional Vector Autoregressive Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
See citations under working paper version above.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Hecq, Alain & Voisin, Elisa, 2021.
"Forecasting bubbles with mixed causal-noncausal autoregressive models,"
Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
See citations under working paper version above.
- Voisin, Elisa & Hecq, Alain, 2019. "Forecasting bubbles with mixed causal-noncausal autoregressive models," MPRA Paper 92734, University Library of Munich, Germany.
- Hecq Alain & Sun Li, 2021.
"Selecting between causal and noncausal models with quantile autoregressions,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
Cited by:
- Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
- Alain Hecq & Li Sun, 2021. "Adaptive Random Bandwidth for Inference in CAViaR Models," Papers 2102.01636, arXiv.org.
- Alain Hecq & Joao Victor Issler & Sean Telg, 2020.
"Mixed causal–noncausal autoregressions with exogenous regressors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 328-343, April.
See citations under working paper version above.
- Hecq, Alain & Issler, João Victor & Telg, Sean, 2019. "Mixed causal-noncausal autoregressions with exogenous regressors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 810, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019.
"Detecting Co‐Movements in Non‐Causal Time Series,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
See citations under working paper version above.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018. "Detecting Co-Movements in Noncausal Time Series," CEIS Research Paper 430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019.
"Testing for news and noise in non-stationary time series subject to multiple historical revisions,"
Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
See citations under working paper version above.
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Research Memorandum 004, Maastricht University, Graduate School of Business and Economics (GSBE).
- Alain Hecq & Jan P.A.M. Jacobs & Michalis P. Stamatogiannis, 2016. "Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions," CIRANO Working Papers 2016s-01, CIRANO.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
See citations under working paper version above.
- Hecq, Alain & Goetz, Thomas, 2018. "Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes," MPRA Paper 87746, University Library of Munich, Germany.
- Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018.
"Generating univariate fractional integration within a large VAR(1),"
Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
See citations under working paper version above.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
Econometrics, MDPI, vol. 5(4), pages 1-22, October.
See citations under working paper version above.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper 74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017.
"A vector heterogeneous autoregressive index model for realized volatility measures,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
See citations under working paper version above.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016. "A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures," CEIS Research Paper 391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
- del Barrio Castro, Tomás & Hecq, Alain, 2016.
"Testing for deterministic seasonality in mixed-frequency VARs,"
Economics Letters, Elsevier, vol. 149(C), pages 20-24.
See citations under working paper version above.
- Tomás del Barrio Castro & Alain Hecq, 2016. "Testing for Deterministic Seasonality in Mixed-Frequency VARs," DEA Working Papers 76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Alain Hecq & Lenard Lieb & Sean Telg, 2016.
"Identification of Mixed Causal-Noncausal Models in Finite Samples,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 307-331.
Cited by:
- Christian Gourieroux & Joann Jasiak, 2021.
"Generalized Covariance Estimator,"
Papers
2107.06979, arXiv.org.
- Christian Gourieroux & Joann Jasiak, 2023. "Generalized Covariance Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1315-1327, October.
- Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
- Fries, Sébastien & Zakoian, Jean-Michel, 2017.
"Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles,"
MPRA Paper
81345, University Library of Munich, Germany.
- Fries, Sébastien & Zakoian, Jean-Michel, 2019. "Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles," Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
- Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
MPRA Paper
74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019.
"Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing [Modèles auto-régressifs non-causaux mixtes: Problèmes de bimodalité pour l'estimation et le test de r,"
Working Papers
hal-02175760, HAL.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
- Frédérique BEC & Heino BOHN NIELSEN & Sarra SAÏDI, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Working Papers 2019-09, Center for Research in Economics and Statistics.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," THEMA Working Papers 2019-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
- Jean-Baptiste MICHAU, 2019. "Helicopter Drops of Money under Secular Stagnation," Working Papers 2019-10, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 2021.
"Generalized Covariance Estimator,"
Papers
2107.06979, arXiv.org.
- Götz, Thomas B. & Hecq, Alain & Urbain, Jean-Pierre, 2016.
"Combining forecasts from successive data vintages: An application to U.S. growth,"
International Journal of Forecasting, Elsevier, vol. 32(1), pages 61-74.
Cited by:
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016.
"Testing for news and noise in non-stationary time series subject to multiple historical revisions,"
Research Memorandum
004, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
- Alain Hecq & Jan P.A.M. Jacobs & Michalis P. Stamatogiannis, 2016. "Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions," CIRANO Working Papers 2016s-01, CIRANO.
- Mahmut Gunay, 2020. "Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial," Working Papers 2002, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016.
"Testing for news and noise in non-stationary time series subject to multiple historical revisions,"
Research Memorandum
004, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016.
"Testing for Granger causality in large mixed-frequency VARs,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
See citations under working paper version above.
- Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
See citations under working paper version above.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015.
"Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
See citations under working paper version above.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Götz, Thomas B. & Hecq, Alain, 2014.
"Nowcasting causality in mixed frequency vector autoregressive models,"
Economics Letters, Elsevier, vol. 122(1), pages 74-78.
See citations under working paper version above.
- Götz, T.B. & Hecq, A.W., 2013. "Nowcasting causality in mixed frequency vector autoregressive models," Research Memorandum 050, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain, 2014.
"Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 198-213, April.
See citations under working paper version above.
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Forecasting Mixed Frequency Time Series with ECM-MIDAS Models," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013.
"A general to specific approach for constructing composite business cycle indicators,"
Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
See citations under working paper version above.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012. "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper 224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Gianluca Cubadda & Alain Hecq, 2011.
"Testing for common autocorrelation in data‐rich environments,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 325-335, April.
See citations under working paper version above.
- Gianluca Cubadda & Alain Hecq, 2009. "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper 153, Tor Vergata University, CEIS, revised 04 Dec 2009.
- Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011.
"Common Intraday Periodicity,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 325-353, 2012 20 1.
See citations under working paper version above.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2011. "Common intraday periodicity," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
See citations under working paper version above.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Alain Hecq, 2009.
"Asymmetric business cycle co-movements,"
Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 579-584.
Cited by:
- Pami Dua & Vineeta Sharma, 2013. "Measurement And Patterns Of International Synchronization-- A Spectral Approach," Working papers 224, Centre for Development Economics, Delhi School of Economics.
- Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008.
"A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
- Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A simple fractionally integrated model with a time-varying long memory parameter dt," Post-Print halshs-00390136, HAL.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008.
"Macro-panels and reality,"
Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
See citations under working paper version above.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Macro-panels and reality," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007.
"Common shocks, common dynamics, and the international business cycle,"
Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
See citations under working paper version above.
- Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Department of Economics.
- Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006.
"Common cyclical features analysis in VAR models with cointegration,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
Cited by:
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010.
"Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
707, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- George Athanasopoulos & Osmani Teixeira de Carvalho Guillén & João Victor Issler & Farshid Vahid, 2010. "Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions," Working Papers Series 205, Central Bank of Brazil, Research Department.
- Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 688, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 704, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007.
"Common shocks, common dynamics, and the international business cycle,"
Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
- Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Department of Economics.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008.
"Macro-panels and reality,"
Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Macro-panels and reality," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021.
"Commodity prices and global economic activity: A derived-demand approach,"
Energy Economics, Elsevier, vol. 96(C).
- Angelo Mont’Alverne Duarte & Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & João Victor Issler, 2020. "Commodity Prices and Global Economic Activity: a derived-demand approach," Working Papers Series 539, Central Bank of Brazil, Research Department.
- Enzo Weber, 2006.
"Macroeconomic Integration in Asia Pacific: Common Stochastic Trends and Business Cycle Coherence,"
SFB 649 Discussion Papers
SFB649DP2006-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Enzo Weber, 2009. "Macroeconomic Integration in Asia-Pacific: Common Stochastic Trends and Business Cycle Coherence," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3-4), pages 84-106, May-July.
- Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021.
"On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?,"
IEER Working Papers
120, Institute of Empirical Economic Research, Osnabrueck University.
- Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021. "On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?," CESifo Working Paper Series 9016, CESifo.
- Niels Haldrup & Svend Hylleberg & Gabriel Pons & Jaume Rosselló & Andreu Sansó, 2005.
"Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data,"
Economics Working Papers
2005-03, Department of Economics and Business Economics, Aarhus University.
- Haldrup, Niels & Hylleberg, Svend & Pons, Gabriel & Sanso, Andreu, 2007. "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 21-32, January.
- Bicu, A.C. & Candelon, B., 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Enzo Weber, 2007.
"Regional and Outward Economic Integration in South-East Asia,"
SFB 649 Discussion Papers
SFB649DP2007-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Enzo Weber, 2012. "Regional and outward economic integration in South-East Asia," Applied Economics, Taylor & Francis Journals, vol. 44(10), pages 1271-1283, April.
- Weber, Enzo, 2007. "Regional and Outward Economic Integration in South-East Asia," MPRA Paper 6136, University Library of Munich, Germany, revised Dec 2007.
- Enzo Weber, 2011. "Regional and Outward Economic Integration in South-East Asia," Post-Print hal-00670761, HAL.
- Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013.
"Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
744, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
- Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 735, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Paruolo Paolo, 2003.
"Common trends and cycles in I(2) VAR systems,"
Economics and Quantitative Methods
qf0217bis, Department of Economics, University of Insubria.
- Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
- Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria.
- Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
- Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gianluca Cubadda, 2007.
"A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series,"
CEIS Research Paper
102, Tor Vergata University, CEIS.
- Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 896-906, October.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009.
"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
- Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers 16, Fucape Business School.
- Alain Hecq, 2009. "Asymmetric business cycle co-movements," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 579-584.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009.
"Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features,"
MPRA Paper
22550, University Library of Munich, Germany.
- Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper 66065, University Library of Munich, Germany, revised 2009.
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"How important is innovation? : A Bayesian factor-augmented productivity model on panel data,"
MERIT Working Papers
2014-052, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
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- Georges Bresson & Jean-Michel Etienne & Pierre Mohnen, 2011. "How important is innovation? A Bayesian factor-augmented productivity model on panel data," TEPP Working Paper 2011-06, TEPP.
- Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
- Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186, October.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Issler, Joao Victor & Notini, Hilton & Rodrigues, Claudia & Soares, Ana Flávia, 2013. "Constructing coincident indices of economic activity for the Latin American economy," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
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"A common-feature approach for testing present-value restrictions with financial data,"
Research Memorandum
006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Justyna Wróblewska, 2015. "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 91-110, June.
- Haddad, Hedi Ben & Mezghani, Imed & Al Dohaiman, Mohammed, 2020. "Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors," Economic Systems, Elsevier, vol. 44(2).
- Chen, Xiaoshan & Mills, Terence C., 2009. "Evaluating growth cycle synchronisation in the EU," Economic Modelling, Elsevier, vol. 26(2), pages 342-351, March.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Carlomagno Real, Guillermo & Espasa, Antoni, 2017. "Discovering pervasive and non-pervasive common cycles," DES - Working Papers. Statistics and Econometrics. WS 25392, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justyna Wróblewska, 2011. "Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(3), pages 169-186, September.
- Justyna Wróblewska, 2012. "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 253-267, December.
- Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
- Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers 1110, University of Otago, Department of Economics, revised Oct 2011.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010.
"Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
707, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005.
"Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion,"
Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
Cited by:
- Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012.
"No contagion, only globalization and flight to quality,"
Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
- Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012. "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository 2013/239873, ULB -- Universite Libre de Bruxelles.
- Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012. "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository 2013/149092, ULB -- Universite Libre de Bruxelles.
- Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012. "No contagion, only globalization and flight to quality," Working Papers CEB 12-010, ULB -- Universite Libre de Bruxelles.
- Marie Briere & Ariane Chapelle & Ariane Szafarz, 2008. "No contagion, only globalization and flight to quality," DULBEA Working Papers 08-22.RS, ULB -- Universite Libre de Bruxelles.
- Marie Brière & Ariane Chapelle & Ariane Szafarz, 2012. "No contagion, only globalization and flight to quality," Post-Print hal-01494525, HAL.
- Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
- Apanard Penny Angkinand & James R. Barth & Hyeongwoo Kim, 2010. "Spillover Effects from the US Financial Crises: Some Time-Series Evidence from National Stock Returns," Chapters, in: Benton E. Gup (ed.), The Financial and Economic Crises, chapter 2, Edward Elgar Publishing.
- Jarosław Duda & Henryk Gurgul & Robert Syrek, 2022. "Multi-feature evaluation of financial contagion," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(4), pages 1167-1194, December.
- Rodrigo César de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012.
"Contagion in CDS, Banking and Equity Markets,"
Working Papers Series
293, Central Bank of Brazil, Research Department.
- Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
- Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021.
"On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?,"
IEER Working Papers
120, Institute of Empirical Economic Research, Osnabrueck University.
- Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021. "On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?," CESifo Working Paper Series 9016, CESifo.
- Bicu, A.C. & Candelon, B., 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.
- Manner, H. & Candelon, B., 2007.
"Testing for asset market linkages: a new approach based on time-varying copulas,"
Research Memorandum
052, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time‐Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, August.
- de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Metiu, N., 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Luchtenberg, Kimberly F. & Vu, Quang Viet, 2015. "The 2008 financial crisis: Stock market contagion and its determinants," Research in International Business and Finance, Elsevier, vol. 33(C), pages 178-203.
- Bua, Giovanna & Trecroci, Carmine, 2016.
"International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?,"
MPRA Paper
74771, University Library of Munich, Germany.
- Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Global connectedness of MSCI energy equity indices: A system-wide network approach," Energy Economics, Elsevier, vol. 84(C).
- Matesanz, David & Ortega, Guillermo J., 2008.
"Network analysis of exchange data: Interdependence drives crisis contagion,"
MPRA Paper
7720, University Library of Munich, Germany.
- David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
- Gourène, Grakolet Arnold Zamereith & Mendy, Pierre & Ake N'gbo, Gilbert Marie, 2017. "Multiple time-xcales analysis of global stock markets spillovers effects in African stock markets," MPRA Paper 77632, University Library of Munich, Germany.
- Anderson, Heather M. & Vahid, Farshid, 2007.
"Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 76-90, January.
- Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANU Working Papers in Economics and Econometrics 2005-451, Australian National University, College of Business and Economics, School of Economics.
- Gkillas, Konstantinos & Tsagkanos, Athanasios & Vortelinos, Dimitrios I., 2019. "Integration and risk contagion in financial crises: Evidence from international stock markets," Journal of Business Research, Elsevier, vol. 104(C), pages 350-365.
- Hecq, A.W. & Issler, J.V., 2012.
"A common-feature approach for testing present-value restrictions with financial data,"
Research Memorandum
006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Takashi Miyazaki & Shigeyuki Hamori, 2018.
"The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
- Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
- Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
- Manner, Hans & Blatt, Dominik & Candelon, Bertrand, 2014. "Detecting financial contagion in a multivariate system," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100411, Verein für Socialpolitik / German Economic Association.
- Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, vol. 117(1), pages 35-38.
- Carlomagno Real, Guillermo & Espasa, Antoni, 2017. "Discovering pervasive and non-pervasive common cycles," DES - Working Papers. Statistics and Econometrics. WS 25392, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Allard Bruinshoofd & Bertrand Candelon & Katharina Raabe, 2010. "Banking Sector Fragility and the Transmission of Currency Crises," Open Economies Review, Springer, vol. 21(2), pages 263-292, April.
- Gourène, Grakolet Arnold Zamereith & Mendy, Pierre, 2015. "Oil Prices and African Stock Markets Co-movement: A Time and Frequency Analysis," MPRA Paper 75852, University Library of Munich, Germany.
- Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012.
"No contagion, only globalization and flight to quality,"
Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
- Alain Hecq, 2005.
"Should we really care about building business cycle coincident indexes!,"
Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 141-144.
Cited by:
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012.
"A General to Specific Approach for Constructing Composite Business Cycle Indicators,"
CEIS Research Paper
224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012.
"A General to Specific Approach for Constructing Composite Business Cycle Indicators,"
CEIS Research Paper
224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
See citations under working paper version above.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo.
- Cubadda, Gianluca & Hecq, Alain, 2001.
"On non-contemporaneous short-run co-movements,"
Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
Cited by:
- Alain Hecq, 2005. "Should we really care about building business cycle coincident indexes!," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 141-144.
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
- Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012.
"A General to Specific Approach for Constructing Composite Business Cycle Indicators,"
CEIS Research Paper
224, Tor Vergata University, CEIS, revised 27 Feb 2012.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007.
"Common shocks, common dynamics, and the international business cycle,"
Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
- Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Department of Economics.
- Cubadda, Gianluca, 2004.
"A Reduced Rank Regression Approach to Coincident and Leading Indexes Building,"
Economics & Statistics Discussion Papers
esdp04022, University of Molise, Department of Economics.
- Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022.
"Detecting common bubbles in multivariate mixed causal-noncausal models,"
Papers
2207.11557, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models," Econometrics, MDPI, vol. 11(1), pages 1-16, March.
- Espasa, Antoni & Mayo, Iván, 2012.
"Forecasting aggregates and disaggregates with common features,"
DES - Working Papers. Statistics and Econometrics. WS
ws110805, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Espasa, Antoni & Mayo-Burgos, Iván, 2013. "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, vol. 29(4), pages 718-732.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008.
"Macro-panels and reality,"
Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Macro-panels and reality," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Valentina Corradi & Norman R. Swanson, 2003.
"The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test,"
Departmental Working Papers
200322, Rutgers University, Department of Economics.
- Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling comovements of economic time series: a selective survey,"
Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2018.
"Detecting Co-Movements in Noncausal Time Series,"
CEIS Research Paper
430, Tor Vergata University, CEIS, revised 23 Apr 2018.
- Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
- Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
- Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Paruolo Paolo, 2003.
"Common trends and cycles in I(2) VAR systems,"
Economics and Quantitative Methods
qf0217bis, Department of Economics, University of Insubria.
- Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
- Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
- Gianluca Cubadda, 2007.
"A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series,"
CEIS Research Paper
102, Tor Vergata University, CEIS.
- Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 896-906, October.
- Carsten Trenkler & Enzo Weber, 2013.
"Codependent VAR models and the pseudo-structural form,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 287-295, July.
- Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," Working Papers 12-10, University of Mannheim, Department of Economics.
- Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," University of Regensburg Working Papers in Business, Economics and Management Information Systems 465, University of Regensburg, Department of Economics.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(3), pages 280-290, August.
- Christoph Schleicher, 2004.
"Codependence in Cointegrated Autoregressive Models,"
Computing in Economics and Finance 2004
286, Society for Computational Economics.
- Christoph Schleicher, 2007. "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
- Alain Hecq, 2009. "Asymmetric business cycle co-movements," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 579-584.
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- Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
- Hecq, A.W. & Issler, J.V., 2012.
"A common-feature approach for testing present-value restrictions with financial data,"
Research Memorandum
006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
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- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
- Justyna Wróblewska, 2012. "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 253-267, December.
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- Bertrand Candelon & Alain Hecq, 2000.
"Stability of activity-unemployment relationship in a codependent system,"
Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 687-693.
Cited by:
- Alain Hecq, 2009. "Asymmetric business cycle co-movements," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 579-584.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000.
"Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
Cited by:
- Sato, Kiyotaka & Zhang, Zhaoyong & Allen, David, 2009. "The suitability of a monetary union in East Asia: What does the cointegration approach tell?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2927-2937.
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"Business Cycle Synchronization and Regional Integration: A Case Study for Central America,"
The World Bank Economic Review, World Bank, vol. 21(1), pages 49-72.
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- Alain Hecq & Franz C. Palm & Jean‐Pierre Urbain, 2000.
"Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 511-532, September.
Cited by:
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
- Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007.
"Common shocks, common dynamics, and the international business cycle,"
Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
- Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
- Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Department of Economics.
- Cubadda, Gianluca, 2004.
"A Reduced Rank Regression Approach to Coincident and Leading Indexes Building,"
Economics & Statistics Discussion Papers
esdp04022, University of Molise, Department of Economics.
- Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
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"Measuring international business cycles by saving for a rainy day,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(4), pages 1266-1290, November.
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- Mario J. Crucini & Mototsugu Shintani, 2015. "Measuring international business cycles by saving for a rainy day," Canadian Journal of Economics, Canadian Economics Association, vol. 48(4), pages 1266-1290, November.
- Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Valentina Corradi & Norman R. Swanson, 2003.
"The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test,"
Departmental Working Papers
200322, Rutgers University, Department of Economics.
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"Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 72(4), December.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Textos para discussão 384, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Issler, João Victor & Vahid, Farshid, 2002.
"The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
450, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Issler, João Victor & Vahid, Farshid, 2003. "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 492, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
- Issler, João Victor & Vahid, Farshid, 2002. "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 445, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Issler, J.V. & Vahid, F., 2001. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers 9/01, Monash University, Department of Econometrics and Business Statistics.
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"The estimation uncertainty of permanent-transitory decompositions in co-integrated systems,"
VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy
100582, Verein für Socialpolitik / German Economic Association.
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- Shirvani, Hassan & Wilbratte, Barry, 2007. "The permanent-transitory decomposition of the stock markets of the G7 countries: A multivariate approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 352-365, May.
- Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
- Enzo Weber, 2007.
"Regional and Outward Economic Integration in South-East Asia,"
SFB 649 Discussion Papers
SFB649DP2007-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Enzo Weber, 2012. "Regional and outward economic integration in South-East Asia," Applied Economics, Taylor & Francis Journals, vol. 44(10), pages 1271-1283, April.
- Weber, Enzo, 2007. "Regional and Outward Economic Integration in South-East Asia," MPRA Paper 6136, University Library of Munich, Germany, revised Dec 2007.
- Enzo Weber, 2011. "Regional and Outward Economic Integration in South-East Asia," Post-Print hal-00670761, HAL.
- Cubadda, Gianluca & Hecq, Alain, 2001. "On non-contemporaneous short-run co-movements," Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
- Beneš, Jaromír & Vávra, David, 2005. "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series 549, European Central Bank.
- Elizabeth Wakerly & Byron Scott & James Nason, 2006.
"Common trends and common cycles in Canada: who knew so much has been going on?,"
Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 320-347, February.
- James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004. "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper 2004-5, Federal Reserve Bank of Atlanta.
- Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2006. "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(1), pages 320-347, February.
- Francisco Barillas & Christoph Schleicher, 2003.
"Common Trends and Common Cycles in Canadian Sectoral Output,"
Staff Working Papers
03-44, Bank of Canada.
- Christoph Schleicher & Francisco Barillas, 2005. "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005 214, Society for Computational Economics.
- Herrera Hernandez, Jorge, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-21, November.
- Gianluca Cubadda, 2007.
"A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series,"
CEIS Research Paper
102, Tor Vergata University, CEIS.
- Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 896-906, October.
- Herrera Hernandez, Jorge, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-21, November.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013.
"Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
742, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2015. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 763, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
- Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(3), pages 280-290, August.
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"Codependence in Cointegrated Autoregressive Models,"
Computing in Economics and Finance 2004
286, Society for Computational Economics.
- Christoph Schleicher, 2007. "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
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"Twentieth century shocks, trends and cycles in industrialized nations,"
Econometric Institute Research Papers
EI 2004-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- H.K. van Dijk, 2004. "Twentieth Century Shocks, Trends and Cycles in Industrialized Nations," De Economist, Springer, vol. 152(2), pages 211-232, June.
- Athanasios L. Athanasenas, 2016. "An Eclectic Credit Cycle Search: The Case of US, Japan and Germany," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 70-96.
- Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186, October.
- Gattini, Luca & Hiebert, Paul, 2010.
"Forecasting and assessing Euro area house prices through the lens of key fundamentals,"
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- Luca GATTINI & Paul HIEBERT, 2010. "Forecasting and Assessing Euro Area House Prices Through the Lens of Key Fundamentals," EcoMod2010 259600061, EcoMod.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo.
- Hassan Shirvani & Barry Wilbratte, 2009. "The permanent income hypothesis in five major industrial countries: a multivariate trend-cycle decomposition test," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(1), pages 43-59, January.
- Issler, João Victor & Vahid, Farshid, 2001.
"The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
429, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
- Issler, J.V. & Vahid, F., 2001. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers 9/01, Monash University, Department of Econometrics and Business Statistics.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo.
- Hsiang-Hsi Liu & Chien-Kuo Tseng, 2022. "Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 101-121.
- Hecq, A.W. & Issler, J.V., 2012.
"A common-feature approach for testing present-value restrictions with financial data,"
Research Memorandum
006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 303-323, November.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
- Haddad, Hedi Ben & Mezghani, Imed & Al Dohaiman, Mohammed, 2020. "Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors," Economic Systems, Elsevier, vol. 44(2).
- Chen, Xiaoshan & Mills, Terence C., 2009. "Evaluating growth cycle synchronisation in the EU," Economic Modelling, Elsevier, vol. 26(2), pages 342-351, March.
- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
- Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
- Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers 1110, University of Otago, Department of Economics, revised Oct 2011.
- Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015.
"Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data,"
Working Papers
201572, University of Pretoria, Department of Economics.
- Michel Beine & Alain Hecq, 1999.
"Inference in Codependence : Some Monte Carlo Results and Applications,"
Annals of Economics and Statistics, GENES, issue 54, pages 69-90.
See citations under working paper version above.
- Michel Beine & Alain Hecq, 1999. "Inference in codependence: some Monte Carlo results and applications," ULB Institutional Repository 2013/10457, ULB -- Universite Libre de Bruxelles.
- Hecq, Alain, 1998.
"Does seasonal adjustment induce common cycles?,"
Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
Cited by:
- Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
- Akdi, Yilmaz & Berument, Hakan & Mümin Cilasun, Seyit, 2006.
"The relationship between different price indices: Evidence from Turkey,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 483-492.
- Hakan Berument & Seyit MŸmin Cilasun & Yilmaz Akdi, 2006. "The Relationship Between Different Price Indices : Evidence from Turkey," Working Papers 0603, Department of Economics, Bilkent University.
- Katrin Assenmacher & Stefan Gerlach, 2006.
"Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland,"
Working Papers
2006-05, Swiss National Bank.
- Gerlach, Stefan & Assenmacher, Katrin, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," CEPR Discussion Papers 5723, C.E.P.R. Discussion Papers.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
- Hakan Berument & Yilmaz Akdi & Cemal Atakan, 2006.
"An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes,"
Working Papers
0602, Department of Economics, Bilkent University.
- Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-14, September.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013.
"Testing for common cycles in non-stationary VARs with varied frecquency data,"
Research Memorandum
002, Maastricht University, Graduate School of Business and Economics (GSBE).
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
- Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
- David Harvey & Terence Mills, 2005. "Evidence for common features in G7 macroeconomic time series," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 165-175.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo.
- Yin-Wong Cheung & Frank Westermann, 2003.
"Sectoral trends and cycles in Germany,"
Empirical Economics, Springer, vol. 28(1), pages 141-156, January.
- Yin-Wong Cheung & Frank Westermann, 2001. "Sectoral Trends and Cycles in Germany," CESifo Working Paper Series 502, CESifo.
- Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
- Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 303-323, November.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
- Chen, Xiaoshan & Mills, Terence C., 2009. "Evaluating growth cycle synchronisation in the EU," Economic Modelling, Elsevier, vol. 26(2), pages 342-351, March.
- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
- Beine, Michel & Hecq, Alain, 1998.
"Codependence and Convergence in the EC Economies,"
Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
See citations under working paper version above.
- Michel Beine & Alain Hecq, 1998. "Codependence and convergence in the EC economies," ULB Institutional Repository 2013/10463, ULB -- Universite Libre de Bruxelles.
- Beine, Michel & Hecq, Alain, 1997.
"Asymmetric Shocks Inside Future EMU,"
Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 12, pages 131-140.
See citations under working paper version above.
- Michel Beine & Alain Hecq, 1997. "Asymmetric shocks inside future EMU," ULB Institutional Repository 2013/10465, ULB -- Universite Libre de Bruxelles.
- Alain Hecq & Benoît Mahy, 1997.
"Testing for the Price‐ and Wage‐Setting Model in Belgium Using Multivariate Cointegration Tests,"
LABOUR, CEIS, vol. 11(1), pages 177-199, April.
Cited by:
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- Alain Hecq, 1996.
"IGARCH effect on autoregressive lag length selection and causality tests,"
Applied Economics Letters, Taylor & Francis Journals, vol. 3(5), pages 317-323.
Cited by:
- Hecq, Alain, 1995. "Unit root tests with level shift in the presence of GARCH," Economics Letters, Elsevier, vol. 49(2), pages 125-130, August.
- Till Strohsal & Enzo Weber, 2011.
"Mean-Variance Cointegration and the Expectations Hypothesis,"
SFB 649 Discussion Papers
SFB649DP2011-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
- Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
- Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, University Library of Munich, Germany.
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"Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models,"
MPRA Paper
96324, University Library of Munich, Germany.
- R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor & Francis Journals, vol. 38(13), pages 1489-1500.
- Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2016. "Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 40(3), pages 235-262, September.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
MPRA Paper
74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Paul Beaumont & Stefan Norrbin & F. Pinar Yigit, 2007. "Time series evidence on the linkage between the volatility and growth of output," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 45-48.
- Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).
- Hecq, Alain, 1995.
"Unit root tests with level shift in the presence of GARCH,"
Economics Letters, Elsevier, vol. 49(2), pages 125-130, August.
Cited by:
- Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2000.
"Markov regime-switching and unit root tests,"
International Finance Discussion Papers
683, Board of Governors of the Federal Reserve System (U.S.).
- Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-415, October.
- Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
- Charles Nelson & Jeremy Piger & Eric Zivot, 1999.
"Unit Root Tests in the Presence of Markov Regime-Switching,"
Discussion Papers in Economics at the University of Washington
0040, Department of Economics at the University of Washington.
- Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
- Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2000.
"Markov regime-switching and unit root tests,"
International Finance Discussion Papers
683, Board of Governors of the Federal Reserve System (U.S.).
- Hecq, Alain & Urbain, Jean-Pierre, 1993.
"Misspecification tests, unit roots and level shifts,"
Economics Letters, Elsevier, vol. 43(2), pages 129-135.
Cited by:
- Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
- Hecq, Alain, 1995. "Unit root tests with level shift in the presence of GARCH," Economics Letters, Elsevier, vol. 49(2), pages 125-130, August.
- Maican, Florin G. & Sweeney, Richard J., 2012.
"Cost of Misspecification in Break-Model Unit-Root Tests,"
Working Papers in Economics
536, University of Gothenburg, Department of Economics.
- Florin G. Maican & Richard J. Sweeney, 2014. "Costs of misspecification in break-model unit-root tests," Applied Economics, Taylor & Francis Journals, vol. 46(1), pages 111-118, January.
- María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(1), pages 195-213, June.
- Montanes, Antonio, 1997. "Level shifts, unit roots and misspecification of the breaking date," Economics Letters, Elsevier, vol. 54(1), pages 7-13, January.
- Carrion-i-Silvestre, Josep Lluis, 2003. "Breaking date misspecification error for the level shift KPSS test," Economics Letters, Elsevier, vol. 81(3), pages 365-371, December.
- Kim, Dukpa & Perron, Pierre, 2009.
"Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series WP2006-052, Boston University - Department of Economics.
- Kurmas Akdogan, 2018. "Mean-reversion and structural change in European food prices," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 18(4), pages 163-173.
- Khan, Zeeshan & Hussain, Muzzammil & Shahbaz, Muhammad & Yang, Siqun & Jiao, Zhilun, 2020. "Natural resource abundance, technological innovation, and human capital nexus with financial development: A case study of China," Resources Policy, Elsevier, vol. 65(C).
Chapters
- Alain Hecq & Elisa Voisin, 2023.
"Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233,
Emerald Group Publishing Limited.
See citations under working paper version above.
- Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.
- Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013.
"Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data,"
Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393,
Emerald Group Publishing Limited.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2013. "Testing for common cycles in non-stationary VARs with varied frecquency data," Research Memorandum 002, Maastricht University, Graduate School of Business and Economics (GSBE).