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Nowcasting causality in mixed frequency vector autoregressive models

Götz, Thomas B.; Hecq, Alain W. J. - In: Economics letters 122 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010393951

Measuring common cyclical features during financial turmoil : evidence of interdependence not contagion

Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - In: Journal of international money and finance 24 (2005) 8, pp. 1317-1334

Persistent link: https://www.econbiz.de/10003229309

Separation, weak exogeneity, and P-T decomposition in conintegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - In: Econometric reviews 21 (2002) 3, pp. 273-307

Persistent link: https://www.econbiz.de/10001718742

Measuring common cyclical features during financial turmoil

Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - 2002

Persistent link: https://www.econbiz.de/10001720545

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems

Hecq, Alain W. J.; Palm, B. F. C.; Urbain, C. J.-P. - 2002

The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...