252 citations · 1.3k across the 41 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
q-fin.ST2015★ 58 cited
Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
Matteo Barigozzi, Marc Hallin
We consider weighted directed networks for analysing, over the period 2000-2013, the interdependencies between volatilities of a large panel of stocks belonging to the S\&P100 inde…
math.ST2015★ 22 cited
Local bilinear multiple-output quantile/depth regression
Marc Hallin, Zudi Lu, Davy Paindaveine +1
A new quantile regression concept, based on a directional version of Koenker and Bassett's traditional single-output one, has been introduced in [Ann. Statist. (2010) 38 635-669] f…