Marc Hallin
Dados Biográficos
| ID | 5735902 |
|---|---|
| NOME | Marc Hallin |
| PRENOMES | Marc |
| SOBRENOME | Hallin |
| ASSINATURA | HALLIN M |
| AFILIAÇÕES | Université Libre de Bruxelles |
| ORCID | 0000-0002-6599-7409 |
| VERIFICADO | Sim |
| TOTAL DE OBRAS | 5 |
| TOTAL DE CITAÇÕES | 3 |
| TOTAL COMO AUTOR | 5 |
| TOTAL COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 2000 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2026 |
| ÍNDICE H | 1 |
The Econometric Theory Interview
Marco Lippi was born in Rome in 1943. An indefatigable and inspiring pedagogue, he has been teaching mathematics, economics, the history of economic thought, and econometrics to generations of students at the Universities of Perugia, Rome (La Sapienza, Tor Vergata, and LUISS), Modena, the Scuola Superiore Sant’Anna in Pisa, and the European Center for Advanced Research in Economics and Statistics (ECARES) in Brussels. As a fellow of the Einaudi I…
Multiple-Attribute Lorenz Functions and Gini Indices
Based on measure transportation ideas and the related concepts of quantile functions and regions, we propose multiple-output generalizations of the traditional univariate concepts of Lorenz and concentration functions, and the related Gini and Kakwani coefficients. These new concepts have a natural interpretation, either in terms of contributions of quantile regions to the expectation of some variable of interest, or in terms of the physical noti…
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series
Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH volatility models, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte Carlo experiments and outperforms the most alternative methods. This new approach is also used to construct minimum one-step-ahead variance portfolios…
Coincident and Leading Indicators for the Euro Area
This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…
The Generalized Dynamic-Factor Model
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence a…
Coincident and Leading Indicators for the Euro Area
This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…
The Generalized Dynamic-Factor Model
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence a…
Coincident and Leading Indicators for the Euro Area
This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series
Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH volatility models, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte Carlo experiments and outperforms the most alternative methods. This new approach is also used to construct minimum one-step-ahead variance portfolios…
Multiple-Attribute Lorenz Functions and Gini Indices
Based on measure transportation ideas and the related concepts of quantile functions and regions, we propose multiple-output generalizations of the traditional univariate concepts of Lorenz and concentration functions, and the related Gini and Kakwani coefficients. These new concepts have a natural interpretation, either in terms of contributions of quantile regions to the expectation of some variable of interest, or in terms of the physical noti…
The Econometric Theory Interview
Marco Lippi was born in Rome in 1943. An indefatigable and inspiring pedagogue, he has been teaching mathematics, economics, the history of economic thought, and econometrics to generations of students at the Universities of Perugia, Rome (La Sapienza, Tor Vergata, and LUISS), Modena, the Scuola Superiore Sant’Anna in Pisa, and the European Center for Advanced Research in Economics and Statistics (ECARES) in Brussels. As a fellow of the Einaudi I…
Complex Systems and Time Series Analysis (3 obras) · Computer Science (3 obras) · Econometrics (3 obras) · Economics (3 obras) · Mathematics (3 obras) · Monetary Policy and Economic Impact (3 obras) · Statistics (3 obras) · Applied Mathematics (2 obras) · Dynamic factor (2 obras) · Economic theories and models (2 obras)