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Alain Hecq

Maastricht University (from arXiv:2603.10152, 2026) · ORCID · OpenAlex

66 papers in scope · 57 published · 19 on the econ.EM arXiv · 906 citations · h-index 17 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Joann Jasiak
  2. Francesco Giancaterini
  3. Aryan Manafi Neyazi
  4. Gianluca Cubadda
  5. Christian Gouriéroux
  6. Elisa Voisin
  7. Sean Telg
  8. Tomás del Barrio Castro
  9. Stefano Grassi
  10. Claudio Morana
  11. Stephan Smeekes
  12. Ines Wilms
  13. Daniel Velásquez-Gaviria
  14. Ivan Ricardo
  15. Luca Margaritella
  16. Marie Ternes
  17. Marina Friedrich
  18. Jonas Striaukas
  19. Éric Ghysels
  20. Andrii Babii

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(21 of 66)

Regularized Generalized Covariance (RGCov) Estimator
published2026 · Econometrics Journal
with Francesco Giancaterini, Joann Jasiak, Aryan Manafi Neyazi
Paper profile Econometrics Journal arXiv:2504.18678
Seasonality in Mixed Causal-Noncausal Processes
working paper2026 · arXiv
with Tomás del Barrio Castro, Sean Telg
Paper profile arXiv arXiv:2604.07040
Shrinkage Regularization for (Non)Linear Serial Dependence Test
working paper2026 · arXiv
with Francesco Giancaterini, Joann Jasiak, Aryan Manafi Neyazi
Paper profile arXiv arXiv:2603.10152
Bubble Detection with Application to Green Bubbles: A Noncausal Approach
working paper2025 · arXiv
with Francesco Giancaterini, Joann Jasiak, Aryan Manafi Neyazi
Paper profile arXiv arXiv:2505.14911
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
published2025 · Journal of Forecasting · first circulated 2023
with Marie Ternes, Ines Wilms
Paper profile Journal of Forecasting arXiv:2301.10592
Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies
published2025 · Econometrics · 3 citations
with Daniel Velásquez-Gaviria
Econometrics
Spectral estimation for mixed causal-noncausal autoregressive models
published2025 · Econometric Reviews · 2 citations · first circulated 2022
with Daniel Velásquez-Gaviria
Paper profile Econometric Reviews arXiv:2211.13830
Detecting cointegrating relations in non-stationary matrix-valued time series
published2025 · Economics Letters · 3 citations · first circulated 2024
with Ivan Ricardo, Ines Wilms
Paper profile Economics Letters arXiv:2411.05601
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios
published2024 · Journal of Time Series Analysis · 5 citations
with Daniel Velásquez-Gaviria
Journal of Time Series Analysis
Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach
working paper2024 · arXiv · 2 citations
with Ivan Ricardo, Ines Wilms
Paper profile arXiv arXiv:2407.07973
Optimization of the generalized covariance estimator in noncausal processes
published2024 · Statistics and Computing · 4 citations · first circulated 2023
with Gianluca Cubadda, Francesco Giancaterini, Joann Jasiak
Paper profile Statistics and Computing arXiv:2306.14653
A short term credibility index for central banks under inflation targeting: An application to Brazil
published2024 · Journal of International Money and Finance · 2 citations · first circulated 2022
with João Victor Issler, Elisa Voisin
Paper profile Journal of International Money and Finance arXiv:2205.00924
Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models
working paper2023 · arXiv
with Daniel Velásquez-Gaviria
Paper profile arXiv arXiv:2310.19543
Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models
published2023 · Econometrics · 7 citations · first circulated 2022
with Gianluca Cubadda, Elisa Voisin
Paper profile Econometrics arXiv:2207.11557
Inference in Non-stationary High-Dimensional VARs
working paper2023 · arXiv
with Luca Margaritella, Stephan Smeekes
Paper profile arXiv arXiv:2302.01434
An Early Warning Test for the Brazilian Inflation-Targeting Regime: An Application to the COVID-19 Pandemic
published2023 · Revista Brasileira de Economia
with João Victor Issler, Elisa Voisin
Revista Brasileira de Economia
Is Climate Change Time-Reversible?
published2022 · Econometrics · 7 citations
with Francesco Giancaterini, Claudio Morana
Paper profile Econometrics arXiv:2205.07579
Dimension Reduction for High‐Dimensional Vector Autoregressive Models*
published2022 · Oxford Bulletin of Economics and Statistics · 14 citations
with Gianluca Cubadda
Paper profile Oxford Bulletin of Economics and Statistics arXiv:2009.03361
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
published2022 · Journal of Computational and Graphical Statistics · 3 citations · first circulated 2021
with Marie Ternes, Ines Wilms
Paper profile Journal of Computational and Graphical Statistics arXiv:2102.11780
Inference in mixed causal and noncausal models with generalized Student’s t-distributions
published2022 · Econometrics and Statistics · first circulated 2020
with Francesco Giancaterini
Paper profile Econometrics and Statistics arXiv:2012.01888
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure
published2021 · Journal of Financial Econometrics · 5 citations · first circulated 2019
with Luca Margaritella, Stephan Smeekes
Paper profile Journal of Financial Econometrics arXiv:1902.10991
Adaptive Random Bandwidth for Inference in CAViaR Models
working paper2021 · arXiv
with Li Sun
Paper profile arXiv arXiv:2102.01636
Selecting between causal and noncausal models with quantile autoregressions
published2020 · Studies in Nonlinear Dynamics and Econometrics · 6 citations
with Li Sun
Studies in Nonlinear Dynamics and Econometrics
EcoSta special issue on theoretical econometrics
published2020 · Econometrics and Statistics
with Jean-Marie Dufour, Wan Alan
Econometrics and Statistics
Forecasting bubbles with mixed causal-noncausal autoregressive models
published2020 · Econometrics and Statistics · 26 citations · first circulated 2019
with Elisa Voisin
Econometrics and Statistics
Mixed causal–noncausal autoregressions with exogenous regressors
published2020 · Journal of Applied Econometrics · 21 citations · first circulated 2017
with João Victor Issler, Sean Telg
Journal of Applied Econometrics
Identification of Noncausal Models by Quantile Autoregressions
working paper2019 · arXiv · 2 citations
with Li Sun
Paper profile arXiv arXiv:1904.05952
Testing for news and noise in non-stationary time series subject to multiple historical revisions
published2019 · Journal of Macroeconomics · first circulated 2016
with Jan Jacobs, Michalis P. Stamatogiannis
Journal of Macroeconomics
Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
published2019 · Journal of Time Series Analysis · 4 citations · first circulated 2018
with Thomas Götz, Thomas Goetz
Journal of Time Series Analysis
Predicting bubble bursts in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
working paper2019 · arXiv · 5 citations
with Elisa Voisin
Paper profile arXiv arXiv:1911.10916
Detecting Co‐Movements in Non‐Causal Time Series
published2018 · Oxford Bulletin of Economics and Statistics · 11 citations
with Gianluca Cubadda, Sean Telg
Oxford Bulletin of Economics and Statistics
Generating univariate fractional integration within a large VAR(1)
published2018 · Journal of Econometrics · 12 citations
with Guillaume Chevillon, Sébastien Laurent
Journal of Econometrics
Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
published2017 · Econometrics · 50 citations · first circulated 2016
with Sean Telg, Lenard Lieb
Econometrics
A vector heterogeneous autoregressive index model for realized volatility measures
published2017 · International Journal of Forecasting · 37 citations · first circulated 2016
with Gianluca Cubadda, Barbara Guardabascio
International Journal of Forecasting
Testing for deterministic seasonality in mixed-frequency VARs
published2016 · Economics Letters · 2 citations
with Tomás del Barrio Castro
Economics Letters
Testing for Granger causality in large mixed-frequency VARs
published2016 · Journal of Econometrics · 48 citations · first circulated 2015
with Thomas Götz, Stephan Smeekes
Journal of Econometrics
Identification of Mixed Causal-Noncausal Models in Finite Samples
published2016 · Annals of Economics and Statistics · 32 citations
with Lenard Lieb, Sean Telg
Annals of Economics and Statistics
On the Univariate Representation of BEKK Models with Common Factors
published2015 · Journal of Time Series Econometrics · 13 citations · first circulated 2012
with Sébastien Laurent, Franz C. Palm
Journal of Time Series Econometrics
Combining forecasts from successive data vintages: An application to U.S. growth
published2015 · International Journal of Forecasting · 6 citations
with Thomas Götz, Jean-Pierre Urbain
International Journal of Forecasting
Forecasting multivariate time series under present-value model short-and long-run co-movement restrictions
published2015 · International Journal of Forecasting · 6 citations · first circulated 2013
with Osmani Teixeira de Carvalho Guillén, João Victor Issler, Diogo V. Saraiva, Osmani Teixeira Carvalho Guillen, Diogo Vinícius Menezes Saraiva
International Journal of Forecasting
Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
published2014 · Journal of Forecasting · 27 citations · first circulated 2012
with Thomas Götz, Jean-Pierre Urbain, J.R.Y.J. Urbain
Journal of Forecasting
Nowcasting causality in mixed frequency vector autoregressive models
published2013 · Economics Letters · 16 citations
with Thomas Götz
Economics Letters
A general to specific approach for constructing composite business cycle indicators
published2013 · Economic Modelling · 7 citations · first circulated 2012
with Gianluca Cubadda, Barbara Guardabascio
Economic Modelling
Common Intraday Periodicity
published2011 · Journal of Financial Econometrics · 27 citations
with S. Laurent, Franz C. Palm, Sébastien Laurent
Journal of Financial Econometrics
Testing for common autocorrelation in data-rich environments
published2010 · Journal of Forecasting · 8 citations · first circulated 2009
with Gianluca Cubadda
Journal of Forecasting
Studying co-movements in large multivariate data prior to multivariate modelling
published2008 · Journal of Econometrics · 34 citations
with Gianluca Cubadda, Franz C. Palm
Journal of Econometrics
Asymmetric business cycle co-movements
published2008 · Applied Economics Letters · 4 citations
Applied Economics Letters
Macro-panels and reality
published2007 · Economics Letters · 13 citations
with Gianluca Cubadda, Franz C. Palm
Economics Letters
Common shocks, common dynamics, and the international business cycle
published2006 · Economic Modelling · 29 citations
with Marco Centoni, Gianluca Cubadda
Economic Modelling
Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
published2005 · Journal of International Money and Finance · 51 citations
with Bertrand Candelon, Willem F. C. Verschoor
Journal of International Money and Finance
Common cyclical features analysis in VAR models with cointegration
published2005 · Journal of Econometrics · 58 citations · first circulated 2001
with Franz C. Palm, Jean-Pierre Urbain
Journal of Econometrics
Should we really care about building business cycle coincident indexes!
published2005 · Applied Economics Letters · 2 citations
Applied Economics Letters
SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
published2002 · Econometric Reviews · 31 citations
with Franz C. Palm, Jean-Pierre Urbain
Econometric Reviews
On non-contemporaneous short-run co-movements
published2001 · Economics Letters · 51 citations
with Gianluca Cubadda
Economics Letters
Stability of activity-unemployment relationship in a codependent system
published2000 · Applied Economics Letters · 3 citations
with Bertrand Candelon
Applied Economics Letters
Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles
published2000 · Oxford Bulletin of Economics and Statistics · 81 citations
with Franz C. Palm, Jean-Pierre Urbain
Oxford Bulletin of Economics and Statistics
Notes and Communications – Comovements in International Stock Markets: What can we Learn From a Common Trend-Common Cycle Analysis?
published2000 · De Economist · 8 citations
with Franz C. Palm, Jean-Pierre Urbain
De Economist
Inference in codependence: Some Monte Carlo Results and Applications
published1999 · Annals of Economics and Statistics · 8 citations
with Michel Beine
no link
Codependence and Convergence in the EC Economies
published1998 · Journal of Policy Modeling · 9 citations
with Michel Beine
Journal of Policy Modeling
Does seasonal adjustment induce common cycles?
published1998 · Economics Letters · 33 citations
Economics Letters
Asymmetric Shocks Inside Future EMU
published1997 · Journal of Economic Integration · 14 citations
with Michel Beine
Journal of Economic Integration
Testing for the Price‐ and Wage‐Setting Model in Belgium Using Multivariate Cointegration Tests
published1997 · Labour · 6 citations
with Benoît Mahy
Labour
IGARCH effect on autoregressive lag length selection and causality tests
published1996 · Applied Economics Letters · 12 citations
Applied Economics Letters
Unit root tests with level shift in the presence of GARCH
published1995 · Economics Letters · 13 citations
Economics Letters
Misspecification tests, unit roots and level shifts
published1993 · Economics Letters · 23 citations
with Jean-Pierre Urbain
Economics Letters
L'impact du changement de définition de l'indice des prix de gros en Belgique sur la causalité prix de gros/prix de détail
published1992 · Brussels economic review
no link

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.