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Mathematics

D-Index
53
Citations
13558
World Ranking
891
National Ranking
12

Research.com Recognitions

  • 2022 - Pierre-Simon de Laplace Award, Société Française de Statistique
  • 2022 - Gottfried E. Noether Distinguished Scholar Award, American Statistical Association
  • 2012 - Honorary Member of the Société Française de Statistique
  • 2009 - Honorary Member of the Royal Statistical Society of Belgium
  • 1997 - Fellow of the American Statistical Association (ASA)
  • 1990 - Fellow of the Institute of Mathematical Statistics (I.M.S.)

Overview

Marc Hallin is affiliated with the Université Libre de Bruxelles in Belgium and has a significant scholarly presence in the fields of Mathematics and Economics, Econometrics, and Finance. Their research contributions span key subfields including Statistics and Probability, Economics and Econometrics, Finance, General Economics, Econometrics and Finance, and Statistics, Probability and Uncertainty. The body of work is characterized by a focus on advanced statistical methods and modeling techniques, statistical inference, and applications in financial risk and volatility modeling.

The researcher has published extensively, as demonstrated by a collection of recent papers that cover both theoretical and applied aspects of statistics and econometrics. Notable publications include:

  • Distribution and quantile functions, ranks and signs in dimension d: A measure transportation approach, 2021, The Annals of Statistics
  • Time-varying general dynamic factor models and the measurement of financial connectedness, 2020, Journal of Econometrics
  • Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals, 2020, Journal of Econometrics
  • A note on the regularity of optimal-transport-based center-outward distribution and quantile functions, 2020, Journal of Multivariate Analysis
  • On universally consistent and fully distribution-free rank tests of vector independence, 2022, The Annals of Statistics

Frequent collaborators include Matteo Barigozzi, Alberto González-Sanz, Eustasio del Barrio, Mathias Drton, and Davide La Vecchia. This network of coauthors suggests ongoing engagement with researchers who contribute to intersections of statistics, probability, and econometric modeling.

Publication venues where this researcher has frequently contributed include:

  • arXiv (Cornell University)
  • Journal of Econometrics
  • Journal of Time Series Analysis
  • The Annals of Statistics
  • Journal of the American Statistical Association

The main topics covered in their work encompass:

  • Advanced Statistical Methods and Models
  • Statistical Methods and Inference
  • Financial Risk and Volatility Modeling
  • Monetary Policy and Economic Impact
  • Statistical Methods and Bayesian Inference
  • Market Dynamics and Volatility
  • Complex Systems and Time Series Analysis

Marc Hallin is recognized as a Fellow of the American Statistical Association, an award received in 1997. This distinction reflects an established contribution to the statistical sciences community.

Best Publications

  • The Generalized Dynamic-Factor Model: Identification and Estimation

    Mario Forni;Marc Hallin;Marco Lippi;Lucrezia Reichlin

  • The Generalized Dynamic Factor Model one-sided estimation and forecasting

    Mario Forni;Marc Hallin;Marco Lippi;Lucrezia Reichlin

  • Determining the Number of Factors in the General Dynamic Factor Model

    Marc Hallin;Roman Liška

  • Do financial variables help forecasting inflation and real activity in the euro area

    Mario Forni;Marc Hallin;Marco Lippi;Lucrezia Reichlin;Lucrezia Reichlin

  • The generalized dynamic factor model: consistency and rates

    Mario Forni;Marc Hallin;Marco Lippi;Lucrezia Reichlin;Lucrezia Reichlin

  • EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle

    Filippo Altissimo;Antonio Bassanetti;Riccardo Cristadoro;Mario Forni

  • Coincident and leading indicators for the EURO area

    Mario Forni;Marc Hallin;Marco Lippi;Lucrezia Reichlin

  • Quantile autoregression. Commentary

    Roger Koenker;Zhijie Xiao;Jianqing Fan;Yingying Fan

  • Multivariate quantiles and multiple-output regression quantiles: From L1 optimization to halfspace depth

    Marc Hallin;Davy Paindaveine;Miroslav Šiman

  • The Generalized Factor Model: Identification and Estimation

    Mario Forni;M. Hallin;M. Lippi;L. Reichlin

  • Dynamic functional principal components

    Siegfried Hörmann;Łukasz Kidziński;Marc Hallin;Marc Hallin

  • Local linear spatial regression

    Marc Hallin;Zudi Lu;Lanh T. Tran

  • Linear serial rank tests for randomness against ARMA alternatives

    Marc Hallin;Jean-François Ingenbleek;Madan Lal Puri

  • Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks

    Marc Hallin;Davy Paindaveine

  • SEMIPARAMETRICALLY EFFICIENT RANK-BASED INFERENCE FOR SHAPE I. OPTIMAL RANK-BASED TESTS FOR SPHERICITY

    Marc Hallin;Davy Paindaveine

  • Asymptotic power of sphericity tests for high-dimensional data

    Alexei Onatski;Marcelo M.J. Moreira;Marc Hallin

  • Dynamic factor models with infinite-dimensional factor spaces: One-sided representations

    Mario Forni;Marc Hallin;Marc Hallin;Marco Lippi;Paolo Zaffaroni;Paolo Zaffaroni

  • Monge-Kantorovich Depth, Quantiles, Ranks, and Signs

    Victor Chernozhukov;Alfred Galichon;Marc Hallin;Marc Henry

  • Aligned rank tests for linear models with autocorrelated error terms

    Marc Hallin;Madan L. Puri

  • Local linear spatial quantile regression

    Marc Hallin;Zudi Lu;Keming Yu

  • Multivariate quantiles and multiple-output regression quantiles: From $L_1$ optimization to halfspace depth

    Marc Hallin;Davy Paindaveine;Miroslav Šiman

Frequent Co-Authors

Madan L. Puri
Madan L. Puri Indiana University
Jean-Marie Dufour
Jean-Marie Dufour McGill University
Mario Forni
Mario Forni University of Modena and Reggio Emilia
Lucrezia Reichlin
Lucrezia Reichlin London Business School
Holger Dette
Holger Dette Ruhr University Bochum
George G. Roussas
George G. Roussas University of California, Davis
Peter C. B. Phillips
Peter C. B. Phillips Yale University
Christian Genest
Christian Genest McGill University
Stefan Mittnik
Stefan Mittnik Ludwig-Maximilians-Universität München
Olivier Scaillet
Olivier Scaillet University of Geneva

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