Works by Ghysels, Eric

Results: 88

Monetary Policy Rules with Model and Data Uncertainty.

Published in:

Southern Economic Journal, 2002, v. 69, n. 2, p. 239, doi. 10.2307/1061671

By:

Ghysels, Eric;
Swanson, Norman R.;
Callan, Myles

Publication type:

Article

Seasonal Time Series and Autocorrelation Function Estimation.

Published in:

Manchester School (1463-6786), 2002, v. 70, n. 5, p. 651, doi. 10.1111/1467-9957.00318

By:

Hahn Shik Lee;
Ghysels, Eric;
Bell, William R.

Publication type:

Article

Generalized predictive tests and structural change analysis in econometrics.

Published in:

International Economic Review, 1994, v. 35, n. 1, p. 199, doi. 10.2307/2527098

By:

Dufour, Jean-Marie;
Ghysels, Eric

Publication type:

Article

A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHOD OF MOMENTS ESTIMATOR.

Published in:

International Economic Review, 1990, v. 31, n. 2, p. 355, doi. 10.2307/2526844

By:

Ghysels, Eric;
Hall, Alastair

Publication type:

Article

Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998.

Published in:

Journal of Futures Markets, 2011, v. 31, n. 7, p. 629, doi. 10.1002/fut.20489

By:

Cao, Charles;
Ghysels, Eric;
Hatheway, Frank

Publication type:

Article

On the (Mis) Specification of Seasonality and its Consequences: An Empirical Investigation with US Data.

Published in:

Empirical Economics, 1993, v. 18, n. 4, p. 747, doi. 10.1007/BF01205419

By:

Ghysels, Eric;
Lee, Hahn S.;
Siklos, Pierre L.

Publication type:

Article

Monthly Art Market Returns.

Published in:

Journal of Risk & Financial Management, 2020, v. 13, n. 5, p. 1, doi. 10.3390/jrfm13050100

By:

Bocart, Fabian Y. R. P.;
Ghysels, Eric;
Hafner, Christian M.

Publication type:

Article

Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange.

Published in:

Journal of Risk & Financial Management, 2019, v. 12, n. 4, p. 1, doi. 10.3390/jrfm12040164

By:

Ghysels, Eric;
Giang Nguyen

Publication type:

Article

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis.

Published in:

Journal of Risk & Financial Management, 2018, v. 11, n. 2, p. 1, doi. 10.3390/jrfm11020023

By:

Conrad, Christian;
Custovic, Anessa;
Ghysels, Eric

Publication type:

Article

STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS.

Published in:

Review of Economics & Statistics, 2013, v. 95, n. 3, p. 776, doi. 10.1162/REST_a_00300

By:

Engle, Robert F.;
Ghysels, Eric;
Sohn, Bumjean

Publication type:

Article

A SEMIPARAMETRIC FACTOR MODEL OF INTEREST RATES AND TESTS OF THE AFFINE TERM STRUCTURE.

Published in:

Review of Economics & Statistics, 1998, v. 80, n. 4, p. 535, doi. 10.1162/003465398557816

By:

Ghysels, Eric;
Ng, Serena

Publication type:

Article

Federal budget projections: A nonparametric assessment of bias and efficiency.

Published in:

Review of Economics & Statistics, 1995, v. 77, n. 1, p. 17, doi. 10.2307/2109989

By:

Campbell, Bryan;
Ghysels, Eric

Publication type:

Article

HYBRID GARCH Models and Intra-Daily Return Periodicity.

Published in:

Journal of Time Series Econometrics, 2011, v. 3, n. 1, p. 1, doi. 10.2202/1941-1928.1095

By:

Xilong Chen;
Ghysels, Eric;
Fangfang Wang

Publication type:

Article

An Introduction to Econometric Theory.

Published in:

1998

By:

Ghysels, Eric

Publication type:

Book Review

On Periodic Structures and Testing for Seasonal Unit Roots.

Published in:

Journal of the American Statistical Association, 1996, v. 91, n. 436, p. 1551, doi. 10.1080/01621459.1996.10476722

By:

Ghysels, Eric;
Hall, Alastair;
Hahn Shik Lee

Publication type:

Article

A Study Toward a Dynamic Theory of Seasonality for Economic Time Series.

Published in:

Journal of the American Statistical Association, 1988, v. 83, n. 401, p. 168, doi. 10.1080/01621459.1988.10478583

By:

Ghysels, Eric

Publication type:

Article

TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING Part I: Theory.

Published in:

Macroeconomic Dynamics, 2000, v. 4, n. 4, p. 467, doi. 10.1017/s136510050001703x

By:

Ghysels, Eric

Publication type:

Article

Frailty Models for Commercial Mortgages.

Published in:

Journal of Fixed Income, 2016, v. 26, n. 2, p. 16, doi. 10.3905/jfi.2016.26.2.016

By:

XI CHEN;
GHYSELS, ERIC;
TELFEYAN, ROLAND

Publication type:

Article

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?.

Published in:

Management Science, 2018, v. 64, n. 10, p. 4936, doi. 10.1287/mnsc.2017.2864

By:

Ball, Ryan T.;
Ghysels, Eric

Publication type:

Article

Price Discovery without Trading: Evidence from the Nasdaq Preopening.

Published in:

Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 3, p. 1339, doi. 10.1111/0022-1082.00249

By:

Cao, Charles;
Ghysels, Eric;
Hatheway, Frank

Publication type:

Article

On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?

Published in:

Journal of Finance (Wiley-Blackwell), 1998, v. 53, n. 2, p. 549, doi. 10.1111/0022-1082.224803

By:

GHYSELS, ERIC

Publication type:

Article

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

Published in:

Applied Stochastic Models in Business & Industry, 2012, v. 28, n. 6, p. 500, doi. 10.1002/asmb.1957

By:

Ghysels, Eric;
Owyang, Michael T.

Publication type:

Article

Nowcasting Net Asset Values: The Case of Private Equity.

Published in:

Review of Financial Studies, 2023, v. 36, n. 3, p. 945, doi. 10.1093/rfs/hhac045

By:

Brown, Gregory W;
Ghysels, Eric;
Gredil, Oleg R

Publication type:

Article

Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability.

Published in:

Review of Financial Studies, 2018, v. 31, n. 2, p. 678, doi. 10.1093/rfs/hhx098

By:

Ghysels, Eric;
Horan, Casidhe;
Moench, Emanuel

Publication type:

Article

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.

Published in:

Review of Financial Studies, 2016, v. 29, n. 8, p. 2069, doi. 10.1093/rfs/hhw009

By:

Colacito, Riccardo;
Ghysels, Eric;
Jinghan Meng;
Siwasarit, Wasin

Publication type:

Article

News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons.

Published in:

Review of Financial Studies, 2011, v. 24, n. 1, p. 46, doi. 10.1093/rfs/hhq071

By:

Chen, Xilong;
Ghysels, Eric

Publication type:

Article

Do Heterogeneous Beliefs Matter for Asset Pricing?

Published in:

Review of Financial Studies, 2005, v. 18, n. 3, p. 875, doi. 10.1093/rfs/hhi026

By:

Anderson, Evan W.;
Ghysels, Eric;
Juergens, Jennifer L.

Publication type:

Article

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 1998, v. 2, n. 4, p. 133, doi. 10.2202/1558-3708.1035

By:

Ghysels, Eric;
Jasiak, Joanna

Publication type:

Article

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS.

Published in:

Econometric Theory, 2023, v. 39, n. 1, p. 70, doi. 10.1017/S0266466621000359

By:

Ghysels, Eric;
Mykland, Per;
Renault, Eric

Publication type:

Article

ET INTERVIEW: JEAN-PIERRE FLORENS.

Published in:

Econometric Theory, 2020, v. 36, n. 3, p. 369, doi. 10.1017/S0266466619000100

By:

Babii, Andrii;
Ghysels, Eric

Publication type:

Article

ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS.

Published in:

Econometric Theory, 2015, v. 31, n. 2, p. 362, doi. 10.1017/S0266466614000334

By:

Wang, Fangfang;
Ghysels, Eric

Publication type:

Article

THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT.

Published in:

Econometric Theory, 2012, v. 28, n. 4, p. 889, doi. 10.1017/S0266466611000818

By:

Ghysels, Eric;
Renault, Eric

Publication type:

Article

TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS.

Published in:

Econometric Theory, 2004, v. 20, n. 6, p. 1168, doi. 10.1017/S0266466604206053

By:

Eric Ghysels;
Alain Guay

Publication type:

Article

Comments on: "Bootstrap Inference for Group Factor Models".

Published in:

2025

By:

Ghysels, Eric

Publication type:

Letter to the Editor

High-Dimensional Granger Causality Tests with an Application to VIX and News*.

Published in:

Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 605, doi. 10.1093/jjfinec/nbac023

By:

Babii, Andrii;
Ghysels, Eric;
Striaukas, Jonas

Publication type:

Article

Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data.

Published in:

Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 260, doi. 10.1093/jjfinec/nbz029

By:

Ghysels, Eric

Publication type:

Article

Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 3, p. 459, doi. 10.1093/jjfinec/nbz007

By:

Ghysels, Eric

Publication type:

Article

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications.

Published in:

Journal of Financial Econometrics, 2020, v. 18, n. 3, p. 585, doi. 10.1093/jjfinec/nbaa015

By:

Andreou, Elena;
Gagliardini, Patrick;
Ghysels, Eric;
Rubin, Mirco

Publication type:

Article

Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference.

Published in:

Journal of Financial Econometrics, 2016, v. 14, n. 2, p. 227, doi. 10.1093/jjfinec/nbv009

By:

Ghysels, Eric;
Tauchen, George

Publication type:

Article

Editorial Announcement.

Published in:

Journal of Financial Econometrics, 2015, v. 13, n. 2, p. 223, doi. 10.1093/jjfinec/nbv002

By:

GHYSELS, ERIC

Publication type:

Article

Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White.

Published in:

2014

By:

Ghysels, Eric

Publication type:

Speech

Editorial Announcement.

Published in:

Journal of Financial Econometrics, 2014, v. 12, n. 1, p. 1, doi. 10.1093/jjfinec/nbt026

By:

Ghysels, Eric;
Renault, Eric

Publication type:

Article

Editor's Introduction.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 589, doi. 10.1093/jjfinec/nbs017

By:

Ghysels, Eric

Publication type:

Article

The JFEC Invited Lecture at the 2009 SoFiE Conference.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 1, doi. 10.1093/jjfinec/nbq036

By:

Renault, René Garcia, Eric Ghysels and Eric

Publication type:

Article

Introduction.

Published in:

Journal of Financial Econometrics, 2010, v. 8, n. 2, p. 155, doi. 10.1093/jjfinec/nbq015

By:

Ghysels, Eric

Publication type:

Article

Special Issue on “Multivariate Volatility Models”.

Published in:

Journal of Financial Econometrics, 2009, v. 7, n. 4, p. 339, doi. 10.1093/jjfinec/nbp017

By:

Garcia, René;
Ghysels, Eric;
Renault, Eric;
Rodrigues, Paulo

Publication type:

Article

The JFEC Invited Lecture at the 2008 SoFiE Conference.

Published in:

Journal of Financial Econometrics, 2009, v. 7, n. 3, p. 197, doi. 10.1093/jjfinec/nbp008

By:

GARCIA, RENÉ;
GHYSELS, ERIC;
RENAULT, ERIC

Publication type:

Article

The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4-6, 2008.

Published in:

2009

By:

GHYSELS, ERIC

Publication type:

Proceeding

Why Do Absolute Returns Predict Volatility So Well?

Published in:

Journal of Financial Econometrics, 2007, v. 5, n. 1, p. 31, doi. 10.1093/jjfinec/nbl010

By:

Forsberg, Lars;
Ghysels, Eric

Publication type:

Article

The Normal Inverse Gaussian Distribution and the Pricing of Derivatives.

Published in:

Journal of Derivatives, 2009, v. 16, n. 3, p. 23, doi. 10.3905/JOD.2009.16.3.023

By:

Eriksson, Anders;
Ghysels, Eric;
Fangfang Wang

Publication type:

Article