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Generating univariate fractional integration within a large VAR(1)
Chevillon, Guillaume; Hecq, Alain W. J.; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 1, pp. 54-65
Persistent link: https://www.econbiz.de/10011974715
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of time series econometrics 8 (2016) 2, pp. 91-113
Persistent link: https://www.econbiz.de/10011582755
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Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions
Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - In: International journal of forecasting 31 (2015) 3, pp. 862-875
Persistent link: https://www.econbiz.de/10011474611
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A vector heterogeneous autoregressive index model for realized volatility measures
Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain W. J. - In: International journal of forecasting 33 (2017) 2, pp. 337-344
Persistent link: https://www.econbiz.de/10011921023
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Testing for deterministic seasonality in mixed-frequency VARs
Barrio Castro, Tomás del; Hecq, Alain W. J. - In: Economics letters 149 (2016), pp. 20-24
Persistent link: https://www.econbiz.de/10011620030
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Combining forecasts from successive data vintages : an application to U.S. growth
Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - In: International journal of forecasting 32 (2016) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10011596442
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Testing for news and noise in non-stationary time series subject to multiple historical revisions
Hecq, Alain W. J.; Jacobs, Jan; Stamatogiannis, Michalis P. - In: Journal of macroeconomics 60 (2019), pp. 396-407
Persistent link: https://www.econbiz.de/10012243203
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A short term credibility index for central banks under inflation targeting : an application to Brazil
Hecq, Alain W. J.; Issler, João Victor; Voisin, Elisa - In: Journal of international money and finance 143 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10014551348
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Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
Hecq, Alain W. J.; Voisin, Elisa - In: Essays in honor of Joon Y. Park : econometric …, (pp. 209-233). 2023
Persistent link: https://www.econbiz.de/10014315310
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Dimension reduction for high-dimensional vector autoregressive models
Cubadda, Gianluca; Hecq, Alain W. J. - In: Oxford bulletin of economics and statistics 84 (2022) 5, pp. 1123-1152
Persistent link: https://www.econbiz.de/10013468551