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Research Output 2000 2019

2019

Detecting Co-Movements in Non-Causal Time Series

Cubadda, G., Hecq, A. & Telg, S., Jun 2019, In : Oxford Bulletin of Economics and Statistics. 81, 3, p. 697-715 19 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access

Granger Causality Testing in Mixed-Frequency VARs with Possibly (Co)Integrated Processes

Goetz, T. B. & Hecq, A. W., Nov 2019, In : Journal of Time Series Analysis. 40, 6, p. 914-935 22 p.

Research output: Contribution to journalArticleAcademicpeer-review

Testing for news and noise in non-stationary time series subject to multiple historical revisions

Hecq, A., Jacobs, J. P. A. M. & Stamatogiannis, M. P., Jun 2019, In : Journal of Macroeconomics. 60, p. 396-407 12 p.

Research output: Contribution to journalArticleAcademicpeer-review

2018

Generating univariate fractional integration within a large VAR(1)

Chevillon, G., Hecq, A. & Laurent, S., May 2018, In : Journal of Econometrics. 204, 1, p. 54-65 12 p.

Research output: Contribution to journalArticleAcademicpeer-review

2017

A vector heterogeneous autoregressive index model for realized volatility measures

Cubadda, G., Guardabascio, B. & Hecq, A., Jun 2017, In : International Journal of Forecasting. 33, 2, p. 337-344 8 p.

Research output: Contribution to journalArticleAcademicpeer-review

Detecting Co-Movements in Noncausal Time Series

Cubadda, G., Hecq, A. & Telg, S., 2 Mar 2017, MPRA Paper.

Research output: Working paperProfessional

Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?

Hecq, A., Telg, S. & Lieb, L., 31 Oct 2017, In : Econometrics. 5, 4, p. 1-22 22 p., 48.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access

Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors

Hecq, A., Issler, J. V. & Telg, S., 2017, MPRA Paper, 52 p.

Research output: Working paperProfessional

Open Access
2016

Combining forecasts from successive data vintages: An application to U.S. growth

Götz, T. B., Hecq, A. W. & Urbain, J. R. Y. J., 1 Jan 2016, In : International Journal of Forecasting. 32, 1, p. 61-74 14 p.

Research output: Contribution to journalArticleAcademicpeer-review

Identification of Mixed Causal-Noncausal Models in Finite Samples

Hecq, A., Lieb, L. & Telg, S., 2016, In : Annals of Economics and Statistics. 123/124, p. 307-331 11.

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)

On the Univariate Representation of BEKK Models with Common Factors

Hecq, A., Laurent, S. & Palm, F. C., Jul 2016, In : Journal of Time Series Econometrics . 8, 2, p. 91-113

Research output: Contribution to journalArticleAcademicpeer-review

Testing for deterministic seasonality in mixed-frequency VARs

del Barrio Castro, T. & Hecq, A., 1 Dec 2016, In : Economics Letters. 149, p. 20-24 5 p.

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)
152 Downloads (Pure)

Testing for Granger causality in large mixed-frequency VARs

Götz, T. B., Hecq, A. & Smeekes, S., 1 Aug 2016, In : Journal of Econometrics. 193, 2, p. 418-432 15 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
308 Downloads (Pure)

Testing for news and noise in non-stationary time series subject to multiple historical revisions

Hecq, A. W., Jacobs, J. P. A. M. & Stamatogiannis, M., 1 Jan 2016, Maastricht: Maastricht University, Graduate School of Business and Economics.

Research output: Working paperProfessional

Open Access
File
2015
360 Downloads (Pure)

A Vector Heterogeneous Autoregressive Index model for realized volatility measures

Cubadda, G., Guardabascio, B. & Hecq, A. W., 1 Jan 2015, Maastricht: Maastricht University, Graduate School of Business and Economics, 17 p.

Research output: Working paperProfessional

Open Access
File
1 Citation (Scopus)

Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

Guillen, O. T., Hecq, A. W., Issler, J. V. & Saraiva, D., 1 Jan 2015, In : International Journal of Forecasting. 31, 3, p. 862-875

Research output: Contribution to journalArticleAcademicpeer-review

302 Downloads (Pure)
Open Access
File
355 Downloads (Pure)

Long memory through marginalization of large systems and hidden cross-section dependence

Chevillon, G., Hecq, A. W. & Laurent, S. F. J. A., 1 Jan 2015, Maastricht: Maastricht University, Graduate School of Business and Economics.

Research output: Working paperProfessional

Open Access
File
453 Downloads (Pure)

Testing for Granger Causality in Large Mixed-Frequency VARs

Götz, T. B., Hecq, A. W. & Smeekes, S., 1 Jan 2015, Maastricht: Maastricht University, Graduate School of Business and Economics, 48 p.

Research output: Working paperProfessional

Open Access
File
2014
314 Downloads (Pure)

Combining distributions of real-time forecasts: An application to U.S. growth

Götz, T. B., Hecq, A. W. & Urbain, J. R. Y. J., 1 Jan 2014, Maastricht: Maastricht University, Graduate School of Business and Economics.

Research output: Working paperProfessional

Open Access
File
6 Citations (Scopus)

Forecasting mixed-frequency time series with ECM-MIDAS models

Götz, T. B., Hecq, A. W. & Urbain, J. R. Y. J., Apr 2014, In : Journal of Forecasting. 33, 3, p. 198-213 16 p.

Research output: Contribution to journalArticleAcademicpeer-review

3 Citations (Scopus)

Nowcasting causality in mixed frequency vector autoregressive models

Götz, T. B. & Hecq, A. W., 1 Jan 2014, In : Economics Letters. 122, 1, p. 74-78 5 p.

Research output: Contribution to journalArticleAcademicpeer-review

352 Downloads (Pure)
Open Access
File
2013
2 Citations (Scopus)

A general to specific approach for constructing composite business cycle indicators

Cubadda, G., Guardabascio, B. & Hecq, A. W., 1 Jan 2013, In : Economic Modelling. 33, p. 367-374

Research output: Contribution to journalArticleAcademicpeer-review

Building a synchronous common-cycle index for the European Union

Cubadda, G., Guardabascio, B. & Hecq, A. W., 1 Jan 2013, Global Interdependence, Decoupling, and Recoupling. Cheung, Y-W. & Westermann, F. (eds.). Cambridge, MA: MIT Press, p. 37-51 200 p.

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

337 Downloads (Pure)
Open Access
File
264 Downloads (Pure)

Testing for common cycles in non-stationary VARs with varied frecquency data

Götz, T. B., Hecq, A. W. & Urbain, J. R. Y. J., 1 Jan 2013, Maastricht: Maastricht University, Graduate School of Business and Economics.

Research output: Working paperProfessional

Open Access
File
7 Citations (Scopus)

Testing for common cycles in non-stationary VARs with varied frequency data

Götz, T. B., Hecq, A. W. & Urbain, J. R. Y. J., 1 Jan 2013, VAR Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Sims. Fomby, T. B., Kilian, L. & Murphy, A. (eds.). Emerald Group Publishing Limited, p. 361-393 (Advances in Econometrics; No. 32).

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

2012
210 Downloads (Pure)
Open Access
File
5 Citations (Scopus)

Common intraday periodicity

Hecq, A. W., Laurent, S. F. J. A. & Palm, F. C., 1 Jan 2012, In : Journal of Financial Econometrics. 10, 2, p. 325-353 29 p.

Research output: Contribution to journalArticleAcademicpeer-review

296 Downloads (Pure)

Forecasting Mixed Frequency Time Series with ECM-MIDAS Models

Hecq, A. W., Götz, T. B. & Urbain, J. R. Y. J., 1 Jan 2012, Maastricht: METEOR.

Research output: Working paperProfessional

Open Access
File
282 Downloads (Pure)

On the univariate representation of BEKK models with common factors

Hecq, A. W., Palm, F. C. & Laurent, S. F. J. A., 1 Jan 2012, Maastricht: METEOR, Maastricht University School of Business and Economics, 23 p.

Research output: Working paperProfessional

Open Access
File
203 Downloads (Pure)

Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)

Hecq, A. W., Götz, T. B. & Urbain, J. R. Y. J., 1 Jan 2012, Maastricht: METEOR, Maastricht University School of Business and Economics, 28 p.

Research output: Working paperProfessional

Open Access
File
2011
196 Downloads (Pure)

Are panel unit root tests useful for real-time data?

Hecq, A. W., Urbain, J. R. Y. J. & Gengenbach, C., 1 Jan 2011, Maastricht: METEOR, Maastricht University School of Business and Economics, 9 p.

Research output: Working paperProfessional

Open Access
File
321 Downloads (Pure)

Common intraday periodicity

Hecq, A. W., Palm, F. C. & Laurent, S. F. J. A., 1 Jan 2011, Maastricht: METEOR, Maastricht University School of Business and Economics, 35 p.

Research output: Working paperProfessional

Open Access
File
197 Downloads (Pure)
Open Access
File
6 Citations (Scopus)

Testing for Common Autocorrelation in Data Rich Environments

Hecq, A. W. & Cubadda, G., 1 Jan 2011, In : Journal of Forecasting. 30, 3, p. 325-335

Research output: Contribution to journalArticleAcademicpeer-review

2009

Asymmetric Business Cycle Co-movements

Hecq, A. W., 1 Jan 2009, In : Applied Economics Letters. 16, 6, p. 579-584 6 p.

Research output: Contribution to journalArticleAcademicpeer-review

11 Citations (Scopus)

Sudying Co-movements in Large Multivariate Models without Multivariate Modelling.

Hecq, A. W., Palm, F. C. & Cubadda, G., 1 Jan 2009, In : Journal of Econometrics. 148, 1, p. 25-35 11 p.

Research output: Contribution to journalArticleAcademicpeer-review

2008
3 Citations (Scopus)

Macro-Panels and Reality.

Cubadda, G., Hecq, A. W. & Palm, F. C., Jul 2008, In : Economics Letters. 99, 3, p. 537-540 4 p.

Research output: Contribution to journalArticleAcademicpeer-review

2007
11 Citations (Scopus)

Common Shoks, Common Dynamics and the International Business Cycle

Hecq, A. W. & Cubadda, G., 1 Jan 2007, In : Economic Modelling. 24, 1, p. 149-166

Research output: Contribution to journalArticleAcademicpeer-review

202 Downloads (Pure)

Macro-panels and reality

Cubadda, G., Hecq, A. W. & Palm, F. C., 1 Jan 2007, Maastricht: METEOR, Maastricht University School of Business and Economics, 8 p.

Research output: Working paperProfessional

Open Access
File

Macro panes and reality

Hecq, A. W., Palm, F. C. & Cubadda, G., 1 Jan 2007, onbekend: Kwantitatieve Economie.

Research output: Working paperProfessional

222 Downloads (Pure)
Open Access
File
2006
20 Citations (Scopus)

Common cyclical features analysis in VAR models with cointegration.

Hecq, A. W., Palm, F. C. & Urbain, J. R. Y. J., 1 Jan 2006, In : Journal of Econometrics. 132, 1, p. 117-141

Research output: Contribution to journalArticleAcademicpeer-review

2005

Should we really care about Building Business Cycle Coincident Indicators

Hecq, A. W., 1 Jan 2005, In : Applied Economics Letters. 3, p. 141-144

Research output: Contribution to journalArticleAcademicpeer-review

2004
21 Citations (Scopus)
195 Downloads (Pure)

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

Candelon, B., Hecq, A. W. & Verschoor, W. F. C., 1 Jan 2004, In : Journal of International Money and Finance. 24, 8, p. 1317-1334

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File