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Dynamic factor models with infinite-dimensional factor spaces : one-sided representations
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 185 (2015) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10011348429
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A class of simple distribution-free-rank-based unit root tests
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 163 (2011) 2, pp. 200-214
Persistent link: https://www.econbiz.de/10009270609
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Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - In: Journal of econometrics 130 (2006) 1, pp. 123-142
Persistent link: https://www.econbiz.de/10003228631
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The generalized dynamic factor model consistency and rates
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of econometrics 119 (2004) 2, pp. 231-255
Persistent link: https://www.econbiz.de/10001956174
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
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Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534
Persistent link: https://www.econbiz.de/10013274311
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
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Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
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R-estimation in semiparametric dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 199 (2017) 1, pp. 74-92
Persistent link: https://www.econbiz.de/10011818962