Federal budget projections: A nonparametric assessment of bias and efficiency.
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- Review of Economics & Statistics, 1995, v. 77, n. 1, p. 17, doi. 10.2307/2109989
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Works matching AU Ghysels, Eric
Results: 88
1
2
HYBRID GARCH Models and Intra-Daily Return Periodicity.
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- Journal of Time Series Econometrics, 2011, v. 3, n. 1, p. 1, doi. 10.2202/1941-1928.1095
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3
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.
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- Review of Financial Studies, 2016, v. 29, n. 8, p. 2069, doi. 10.1093/rfs/hhw009
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4
News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons.
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- Review of Financial Studies, 2011, v. 24, n. 1, p. 46, doi. 10.1093/rfs/hhq071
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5
Do Heterogeneous Beliefs Matter for Asset Pricing?
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- Review of Financial Studies, 2005, v. 18, n. 3, p. 875, doi. 10.1093/rfs/hhi026
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6
Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998.
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- Journal of Futures Markets, 2011, v. 31, n. 7, p. 629, doi. 10.1002/fut.20489
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7
On Scoring Asymmetric Periodic Probability Models of Turning-point Forecasts.
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- Journal of Forecasting, 1993, v. 12, n. 3/4, p. 227, doi. 10.1002/for.3980120305
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8
Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series.
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- Journal of Time Series Analysis, 2015, v. 36, n. 6, p. 797, doi. 10.1111/jtsa.12129
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9
Discussion of 'An approach for identifying and predicting economic recessions in real-time using time-frequency functional models'by Holan, Yang, Matteson, and Wikle Discussion of 'An approach for identifying and predicting economic recessions in real-time using time-frequency functional models'by Holan, Yang, Matteson, and Wikle
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- Applied Stochastic Models in Business & Industry, 2012, v. 28, n. 6, p. 500, doi. 10.1002/asmb.1957
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10
Machine Learning Time Series Regressions With an Application to Nowcasting.
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- Journal of Business & Economic Statistics, 2022, v. 40, n. 3, p. 1094, doi. 10.1080/07350015.2021.1899933
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11
Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences.
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- Journal of Business & Economic Statistics, 2014, v. 32, n. 4, p. 483, doi. 10.1080/07350015.2014.959124
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12
Rejoinder.
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- 2014
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- Letter to the Editor
13
Comment.
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- 2014
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- Opinion
14
Moment-Implied Densities: Properties and Applications.
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- Journal of Business & Economic Statistics, 2014, v. 32, n. 1, p. 88, doi. 10.1080/07350015.2013.847842
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15
Should Macroeconomic Forecasters Use Daily Financial Data and How?
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- Journal of Business & Economic Statistics, 2013, v. 31, n. 2, p. 240, doi. 10.1080/07350015.2013.767199
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16
Forecasting Professional Forecasters.
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- Journal of Business & Economic Statistics, 2009, v. 27, n. 4, p. 504, doi. 10.1198/jbes.2009.06044
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17
Comment.
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- Journal of Business & Economic Statistics, 2006, v. 24, n. 2, p. 192, doi. 10.1198/073500106000000080
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18
Editors' Report 2003.
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- Journal of Business & Economic Statistics, 2004, v. 22, n. 4, p. 488, doi. 10.1198/073500104000000479
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19
Editors' Introduction to JBES Twentieth Anniversary Issue on the Generalized Method of Moments.
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- Journal of Business & Economic Statistics, 2002, v. 20, n. 4, p. 441, doi. 10.1198/073500102288618568
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20
Interview With Christopher A. Sims.
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- 2002
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- Interview
21
Interview With Lars Peter Hansen.
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- 2002
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- Interview
22
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results.
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- Journal of Business & Economic Statistics, 2002, v. 20, n. 3, p. 363, doi. 10.1198/073500102288618504
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23
Some Econometric Recipes for High-Frequency Data Cooking.
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- Journal of Business & Economic Statistics, 2000, v. 18, n. 2, p. 154, doi. 10.2307/1392553
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24
Comment.
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- 1998
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25
Seasonal Adjustment and Other Data Transformations.
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- Journal of Business & Economic Statistics, 1997, v. 15, n. 4, p. 410, doi. 10.2307/1392487
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26
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
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- Journal of Business & Economic Statistics, 1996, v. 14, n. 3, p. 396, doi. 10.2307/1392454
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27
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
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- Journal of Business & Economic Statistics, 1996, v. 14, n. 3, p. 374, doi. 10.2307/1392449
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28
Periodic Autoregressive Conditional Heteroscedasticity.
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- Journal of Business & Economic Statistics, 1996, v. 14, n. 2, p. 139, doi. 10.2307/1392425
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29
Bayesian analysis of stochastic volatility models.
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- Journal of Business & Economic Statistics, 1994, v. 12, n. 4, p. 399, doi. 10.2307/1392204
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30
On the Periodic Structure of the Business Cycle.
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- Journal of Business & Economic Statistics, 1994, v. 12, n. 3, p. 289, doi. 10.2307/1392085
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31
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product.
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- Journal of Business & Economic Statistics, 1990, v. 8, n. 2, p. 145, doi. 10.2307/1391976
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32
Seasonal Extraction in the Presence of Feedback.
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- Journal of Business & Economic Statistics, 1987, v. 5, n. 2, p. 191, doi. 10.2307/1391899
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33
Valuation in US Commercial Real Estate.
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- European Financial Management, 2007, v. 13, n. 3, p. 472, doi. 10.1111/j.1468-036X.2007.00369.x
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34
Seasonal Time Series and Autocorrelation Function Estimation.
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- Manchester School (1463-6786), 2002, v. 70, n. 5, p. 651, doi. 10.1111/1467-9957.00318
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35
An empirical analysis of the Canadian budget process.
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- Canadian Journal of Economics, 1997, v. 30, n. 3, p. 553, doi. 10.2307/136233
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36
The Normal Inverse Gaussian Distribution and the Pricing of Derivatives.
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- Journal of Derivatives, 2009, v. 16, n. 3, p. 23, doi. 10.3905/JOD.2009.16.3.023
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37
Price Discovery without Trading: Evidence from the Nasdaq Preopening.
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- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 3, p. 1339, doi. 10.1111/0022-1082.00249
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38
On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?
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- Journal of Finance (Wiley-Blackwell), 1998, v. 53, n. 2, p. 549, doi. 10.1111/0022-1082.224803
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39
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING Part I: Theory.
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- Macroeconomic Dynamics, 2000, v. 4, n. 4, p. 467, doi. 10.1017/s136510050001703x
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40
Frailty Models for Commercial Mortgages.
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- Journal of Fixed Income, 2016, v. 26, n. 2, p. 16, doi. 10.3905/jfi.2016.26.2.016
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41
Monetary Policy Rules with Model and Data Uncertainty.
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- Southern Economic Journal, 2002, v. 69, n. 2, p. 239, doi. 10.2307/1061671
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42
STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS.
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- Review of Economics & Statistics, 2013, v. 95, n. 3, p. 776, doi. 10.1162/REST_a_00300
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43
A SEMIPARAMETRIC FACTOR MODEL OF INTEREST RATES AND TESTS OF THE AFFINE TERM STRUCTURE.
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- Review of Economics & Statistics, 1998, v. 80, n. 4, p. 535, doi. 10.1162/003465398557816
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44
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model.
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- Studies in Nonlinear Dynamics & Econometrics, 1998, v. 2, n. 4, p. 133, doi. 10.2202/1558-3708.1035
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45
Panel data nowcasting: The case of price–earnings ratios.
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- Journal of Applied Econometrics, 2024, v. 39, n. 2, p. 292, doi. 10.1002/jae.3028
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46
Comments on: "Bootstrap Inference for Group Factor Models".
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- 2025
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- Publication type:
- Letter to the Editor
47
High-Dimensional Granger Causality Tests with an Application to VIX and News*.
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- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 605, doi. 10.1093/jjfinec/nbac023
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48
Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data.
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- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 260, doi. 10.1093/jjfinec/nbz029
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49
Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data*.
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- Journal of Financial Econometrics, 2021, v. 19, n. 3, p. 459, doi. 10.1093/jjfinec/nbz007
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50
Mixed-Frequency Macro–Finance Factor Models: Theory and Applications.
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- Journal of Financial Econometrics, 2020, v. 18, n. 3, p. 585, doi. 10.1093/jjfinec/nbaa015
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