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Sean Telg

Personal Details

First Name:Sean
Middle Name:
Last Name:Telg
Suffix:
RePEc Short-ID:pte281
https://research.vu.nl/en/persons/sean-telg
Vrije Universiteit Amsterdam School of Business and Economics Department of Econometrics and Operations Research De Boelelaan 1105 1081 HV Amsterdam

Affiliation

(70%) Afdeling Econometrie and Operations Research
School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
https://sbe.vu.nl/nl/afdelingen-en-instituten/econometrie-en-or-nieuw/
RePEc:edi:ectvunl (more details at EDIRC)

(30%) Tinbergen Instituut

Amsterdam, Netherlands
http://www.tinbergen.nl/
RePEc:edi:tinbenl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
  2. Hecq, Alain & Issler, João Victor & Telg, Sean, 2019. "Mixed causal-noncausal autoregressions with exogenous regressors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 810, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  3. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
  4. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
  5. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
  6. Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper 74922, University Library of Munich, Germany, revised 04 Nov 2016.
  7. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).

Articles

  1. Alain Hecq & Joao Victor Issler & Sean Telg, 2020. "Mixed causal–noncausal autoregressions with exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 328-343, April.
  2. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
  3. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
  4. Alain Hecq & Lenard Lieb & Sean Telg, 2016. "Identification of Mixed Causal-Noncausal Models in Finite Samples," Annals of Economics and Statistics, GENES, issue 123-124, pages 307-331.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Hecq, Alain & Issler, João Victor & Telg, Sean, 2019. "Mixed causal-noncausal autoregressions with exogenous regressors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 810, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

    Cited by:

    1. Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
    2. Frédérique Bec & Alain Guay & Heino Bohn Nielsen & Sarra Saïdi, 2022. "Power of unit root tests against nonlinear and noncausal alternatives," THEMA Working Papers 2022-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
    4. Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.
    5. Juan D. Borrero & Jesus Mariscal, 2022. "Predicting Time SeriesUsing an Automatic New Algorithm of the Kalman Filter," Mathematics, MDPI, vol. 10(16), pages 1-13, August.
    6. Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
    7. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
    8. Alain Hecq & Joao Issler & Elisa Voisin, 2022. "A short term credibility index for central banks under inflation targeting: an application to Brazil," Papers 2205.00924, arXiv.org, revised Jul 2022.
    9. Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.

  2. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.

    Cited by:

    1. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.

  3. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.

    Cited by:

    1. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.

  4. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.

    Cited by:

    1. Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
    2. Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
    3. Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022. "Detecting common bubbles in multivariate mixed causal-noncausal models," Papers 2207.11557, arXiv.org.
    4. Alain Hecq & Elisa Voisin, 2019. "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers 1911.10916, arXiv.org, revised May 2022.

  5. Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper 74922, University Library of Munich, Germany, revised 04 Nov 2016.

    Cited by:

    1. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
    2. Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
    3. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
    4. Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
    5. Barend Abeln & Jan P. A. M. Jacobs & Pim Ouwehand, 2019. "CAMPLET: Seasonal Adjustment Without Revisions," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 73-95, April.
    6. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
    7. Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
    8. Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
    9. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.

  6. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).

    Cited by:

    1. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
    2. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    3. Kindop, Igor, 2021. "Ubiquitous multimodality in mixed causal-noncausal processes," MPRA Paper 109594, University Library of Munich, Germany, revised 04 Sep 2021.

Articles

  1. Alain Hecq & Joao Victor Issler & Sean Telg, 2020. "Mixed causal–noncausal autoregressions with exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 328-343, April.
    See citations under working paper version above.
  2. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
    See citations under working paper version above.
  3. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    See citations under working paper version above.
  4. Alain Hecq & Lenard Lieb & Sean Telg, 2016. "Identification of Mixed Causal-Noncausal Models in Finite Samples," Annals of Economics and Statistics, GENES, issue 123-124, pages 307-331.

    Cited by:

    1. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
    2. Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
    3. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017. "Detecting Co-Movements in Noncausal Time Series," MPRA Paper 77254, University Library of Munich, Germany, revised 02 Mar 2017.
    4. Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
    5. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
    6. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    7. Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
    8. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
    9. Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
    10. Jean-Baptiste MICHAU, 2019. "Helicopter Drops of Money under Secular Stagnation," Working Papers 2019-10, Center for Research in Economics and Statistics.
    11. Christian Gourieroux & Joann Jasiak, 2021. "Generalized Covariance Estimator," Papers 2107.06979, arXiv.org.
    12. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2016-05-08 2016-11-13 2017-03-12 2017-08-20 2018-12-17 2019-10-21. Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2017-03-12 2017-08-20 2018-04-30 2019-10-21. Author is listed
  3. NEP-ORE: Operations Research (3) 2016-05-08 2017-08-20 2021-07-19. Author is listed
  4. NEP-RMG: Risk Management (2) 2018-12-17 2021-07-19. Author is listed
  5. NEP-BAN: Banking (1) 2021-07-19
  6. NEP-ENE: Energy Economics (1) 2018-04-30
  7. NEP-FDG: Financial Development & Growth (1) 2021-07-19
  8. NEP-PKE: Post Keynesian Economics (1) 2016-05-08

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