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The generalized dynamic factor model : one-sided estimation and forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2002
Persistent link: https://www.econbiz.de/10013424011
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Do financial variables help forecasting inflation and real activity in the euro area?
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of monetary economics 50 (2003) 6, pp. 1243-1255
Persistent link: https://www.econbiz.de/10001799316
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Locally optimal tests against periodic autoregression : parametric and nonparametric approaches
Bentarzi, Mohamed - In: Econometric theory 12 (1996) 1, pp. 88-112
Persistent link: https://www.econbiz.de/10001201816
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Séquences généralisées : un outil pour l'analyse des séries hétéroscédastiques?
Hallin, Marc - In: Journal de la Société de Statistique de Paris 135 (1994) 3, pp. 7-19
Persistent link: https://www.econbiz.de/10001173934
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019
Persistent link: https://www.econbiz.de/10012064776
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High-dimensional functional factor models
Hallin, Marc; Nisol, Gilles; Tavakoli, Shahin - 2019
Persistent link: https://www.econbiz.de/10012064780
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
Persistent link: https://www.econbiz.de/10012064799
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - 2018
Persistent link: https://www.econbiz.de/10012064840
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Quantile spectral analysis for locally stationary time series
Birr, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2015
Persistent link: https://www.econbiz.de/10011622344