Authors: Marc Hallin
Superior Title: Econometrics, Vol 10, Iss 4, p 37 (2022)
Subject Terms: high-dimensional time series, general dynamic factor model, spiked covariance model, reduced-rank process, Economics as a science, HB71-74
File Description: electronic resource
Subject Terms: Biotechnology, Environmental Sciences not elsewhere classified, Biological Sciences not elsewhere classified, Mathematical Sciences not elsewhere classified, Distribution-free tests, Multivariate ranks, Multivariate signs, Hájek representation
Availability: https://doi.org/10.6084/m9.figshare.18030228.v1
Authors: Matteo Barigozzi, Marc Hallin, Stefano Soccorsi, Rainer von Sachs
Contributors: Matteo Barigozzi, Marc Hallin, Stefano Soccorsi, Rainer von Sachs
Subject Terms: locally stationary dynamic factor models, volatility, financial connectedness
File Description: STAMPA
Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000632248500004; volume:222; issue:Issue 1, Part B; firstpage:324; lastpage:343; numberofpages:20; journal:JOURNAL OF ECONOMETRICS; https://hdl.handle.net/11585/763121; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85089194055; https://www.sciencedirect.com/science/article/pii/S0304407620301949
Authors: Carlos Trucíos (11598095), João H. G. Mazzeu (11598098), Marc Hallin (728220), Luiz K. Hotta (3605855), Pedro L. Valls Pereira (11598101), Mauricio Zevallos (11598104)
Subject Terms: Medicine, Space Science, Biological Sciences not elsewhere classified, Mathematical Sciences not elsewhere classified, Dimension reduction, High-dimensional time series, Large covariance matrix, Large panels, Minimum variance portfolio, Multivariate GARCH, Volatility
Availability: https://doi.org/10.6084/m9.figshare.16862648.v2
Authors: Matteo Barigozzi, Marc Hallin, Matteo Luciani, Paolo Zaffaroni
Contributors: Barigozzi, Matteo, Hallin, Marc, Luciani, Matteo, Zaffaroni, Paolo
Subject Terms: GDFMl, inference, asymptotics
Relation: journal:JOURNAL OF ECONOMETRICS; https://hdl.handle.net/11573/1687610; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85152638104
Availability: https://hdl.handle.net/11573/1687610
Authors: Victor Chernozhukov, Alfred Galichon, Marc Hallin, Marc Henry
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://ecares.org/index.php?Itemid%3D204%26gid%3D323%26option%3Dcom_docman%26task%3Ddoc_download.
Subject Terms: Statistical depth, vector quantiles, vector ranks, multivariate signs, optimal transport maps
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.690.1276; http://ecares.org/index.php?Itemid%3D204%26gid%3D323%26option%3Dcom_docman%26task%3Ddoc_download
Availability: http://ecares.org/index.php?Itemid%3D204%26gid%3D323%26option%3Dcom_docman%26task%3Ddoc_download
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1398238565.pdf.
Subject Terms: Key words and phrases, Time series, Spectral analysis, Periodogram, Quantile regression, Copulas, Ranks, Local stationarity
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.433.9827; http://www.ecore.be/DPs/dp_1398238565.pdf
Availability: http://www.ecore.be/DPs/dp_1398238565.pdf
Authors: Marc Hallin, Davy Paindaveine, Thomas Verdebout, Optimal Rank-based, Tests Common, Hal Id Hal
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://hal.univ-lille3.fr/hal-00991616/document/.
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.675.227; http://hal.univ-lille3.fr/hal-00991616/document/
Availability: http://hal.univ-lille3.fr/hal-00991616/document/
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://ecares.org/index2.php?Itemid%3D204%26gid%3D319%26option%3Dcom_docman%26task%3Ddoc_view.
Subject Terms: Volatility, Dynamic Factor Models, Block Structure
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.654.2864; http://ecares.org/index2.php?Itemid%3D204%26gid%3D319%26option%3Dcom_docman%26task%3Ddoc_view
Availability: http://ecares.org/index2.php?Itemid%3D204%26gid%3D319%26option%3Dcom_docman%26task%3Ddoc_view
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1320658751.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.640.4092; http://www.ecore.be/DPs/dp_1320658751.pdf
Availability: http://www.ecore.be/DPs/dp_1320658751.pdf
Authors: Marc Hallin, Chintan Mehta
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1365665140.pdf.
Subject Terms: Independent Component Analysis (ICA, local asymptotic normality (LAN, ranks, R-estimation, robustness. Marc Hallin is
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.434.3226; http://www.ecore.be/DPs/dp_1365665140.pdf
Availability: http://www.ecore.be/DPs/dp_1365665140.pdf
Authors: Mario Forni, Marc Hallin, Università Roma, La Sapienza, Paolo Zaffaroni
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.eief.it/files/2013/11/mlippialtri_joe_2013.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.431.3928; http://www.eief.it/files/2013/11/mlippialtri_joe_2013.pdf
Authors: Marc Hallin
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1363609083.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.431.9232; http://www.ecore.be/DPs/dp_1363609083.pdf
Availability: http://www.ecore.be/DPs/dp_1363609083.pdf
Authors: Marc Hallin, Ramon Van Den Akker, Bas J. M. Werker
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1378802287.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.412.7525; http://www.ecore.be/DPs/dp_1378802287.pdf
Availability: http://www.ecore.be/DPs/dp_1378802287.pdf
Authors: Marc Hallin, Marcelo Moreira, Alexei Onatski, Marcelo J. Moreira
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1350996535.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.375.7819; http://www.ecore.be/DPs/dp_1350996535.pdf
Availability: http://www.ecore.be/DPs/dp_1350996535.pdf
Authors: Marc Hallin, Christophe Ley
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1347865287.pdf.
Subject Terms: Key words, Consistency rates, Skewing function, Skew-normal distributions, Skew-symmetric distributions, Singular Fisher information, Symmetric kernel 2000 MSC, 62E10, 62F12
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.641.8866; http://www.ecore.be/DPs/dp_1347865287.pdf
Availability: http://www.ecore.be/DPs/dp_1347865287.pdf
Authors: Holger Dette, Marc Hallin, Tobias Kley, Stanislav Volgushev
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: https://eldorado.tu-dortmund.de/bitstream/2003/29220/1/DP_4711_SFB823_Dette_Hallin_Kley_Volgushev.pdf.
File Description: application/pdf
Authors: Delphine Cassart, Marc Hallin, Davy Paindaveine
Contributors: The Pennsylvania State University CiteSeerX Archives
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1047.922; http://homepages.ulb.ac.be/%7Edpaindav/stuff/Articles/Article35/edgeworth.pdf
Authors: Holger Dette, Marc Hallin, Tobias Kley, Stanislav Volgushev
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.ecore.be/DPs/dp_1322813247.pdf.
Subject Terms: Key words and phrases, Time series, Spectral analysis, Periodogram, Quantile regression, Copulas, Ranks, Time reversibility. 1 Introduction. 1.1 The location-scale paradigm
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.643.1595; http://www.ecore.be/DPs/dp_1322813247.pdf
Availability: http://www.ecore.be/DPs/dp_1322813247.pdf
Authors: Marc Hallin, Charles Mathias, Hugues Pirotte, David Veredas
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.seminar.hec.ulg.ac.be/docs/Sem09.03.19 Market_Liquidity_WP.pdf.
Subject Terms: Commonality, liquidity, equities, factor models, block structure
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.590.9875; http://www.seminar.hec.ulg.ac.be/docs/Sem09.03.19 Market_Liquidity_WP.pdf
Availability: http://www.seminar.hec.ulg.ac.be/docs/Sem09.03.19 Market_Liquidity_WP.pdf