234 results on '"Hecq, Alain"'
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2. Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach
3. Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models
4. Optimization of the Generalized Covariance Estimator in Noncausal Processes
5. Inference in Non-stationary High-Dimensional VARs
6. Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
7. Spectral estimation for mixed causal-noncausal autoregressive models
8. Optimization of the generalized covariance estimator in noncausal processes
9. Inference in mixed causal and noncausal models with generalized Student’s t-distributions
10. Detecting common bubbles in multivariate mixed causal-noncausal models
11. Is climate change time reversible?
12. A short term credibility index for central banks under inflation targeting: an application to Brazil
13. Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models
14. A short term credibility index for central banks under inflation targeting: An application to Brazil
15. Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
16. Adaptive Random Bandwidth for Inference in CAViaR Models
17. Inference in mixed causal and noncausal models with generalized Student's t-distributions
18. Dimension Reduction for High Dimensional Vector Autoregressive Models
19. Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
20. Identification of Noncausal Models by Quantile Autoregressions
21. Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
22. Forecasting bubbles with mixed causal-noncausal autoregressive models
23. Reduced Rank Regression Models in Economics and Finance
24. Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios.
25. Testing for news and noise in non-stationary time series subject to multiple historical revisions
26. Detecting cointegrating relations in non-stationary matrix-valued time series
27. Optimization of the Generalized Covariance Estimator in Noncausal Processes
28. Generating univariate fractional integration within a large VAR(1)
29. A vector heterogeneous autoregressive index model for realized volatility measures
30. Forecasting realized volatility measures with multivariate and univariate models
31. Testing for Granger causality in large mixed-frequency VARs
32. Combining forecasts from successive data vintages: An application to U.S. growth
33. Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models
34. Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions
35. An Early Warning Test for the Brazilian Inflation-Targeting Regime: An Application to the COVID-19 Pandemic
36. Is Climate Change Time-Reversible?
37. A general to specific approach for constructing composite business cycle indicators
38. Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*.
39. Dimension Reduction for High‐Dimensional Vector Autoregressive Models*
40. Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
41. Inference in mixed causal and noncausal models with generalized Student’s t-distributions
42. Dimension Reduction for High Dimensional Vector Autoregressive Models
43. Inference in Codependence: Some Monte Carlo Results and Applications
44. Studying co-movements in large multivariate data prior to multivariate modelling
45. Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure
46. Asymmetric Shocks Inside Future EMU
47. Testing for common cyclical features in nonstationary panel data models
48. Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
49. Building a Synchronous Common-Cycle Index for the European Union
50. Common shocks, common dynamics, and the international business cycle
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