Hecq, A., Ricardo, I., & Wilms, I. (2025). Detecting cointegrating relations in non-stationary matrix-valued time series. Economics Letters, 248, Article 112205. https://doi.org/10.1016/j.econlet.2025.112205
Hecq, A., & Velasquez Gaviria, D. (2025). Non-causal and non-invertible ARMA models: Identification, estimation and application in equity portfolios. Journal of Time Series Analysis, 46(2), 325-352. https://doi.org/10.1111/jtsa.12776
Giancaterini, F., & Hecq, A. (2025). Inference in mixed causal and noncausal models with generalized Student’s t-distributions. Econometrics and Statistics, 33, 1-12. https://doi.org/10.1016/j.ecosta.2021.11.007
Cubadda, G., Giancaterini, F., Hecq, A., & Jasiak, J. (2024). Optimization of the generalized covariance estimator in noncausal processes. Statistics and Computing, 34(4), Article 127. https://doi.org/10.1007/s11222-024-10437-1
Hecq, A., Issler, J. V., & Voisin, E. (2024). A short term credibility index for central banks under inflation targeting: An application to Brazil. Journal of International Money and Finance, 143, Article 103057. https://doi.org/10.1016/j.jimonfin.2024.103057
Hecq, A., Ricardo, I., & Wilms, I. (2024). Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series. Cornell University - arXiv. arXiv.org No. 2411.05601 https://doi.org/10.48550/arXiv.2411.05601
Hecq, A., Ricardo, I., & Wilms, I. (2024). Reduced-Rank Matrix Autoregressive Models: A Medium N Approach. Cornell University - arXiv. arXiv.org No. 2407.07973 https://doi.org/10.48550/arXiv.2407.07973
Cubadda, G., Giancaterini, F., Hecq, A., & Jasiak, J. (2023). Optimization of the Generalized Covariance Estimator in Noncausal Processes. Cornell University - arXiv. arXiv.org No. 2306.14653v1 https://doi.org/10.48550/arXiv.2306.14653