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Eric Ghysels

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.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1998. "Bayesian inference for periodic regime-switching models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 129-143.

    Mentioned in:

    1. Bayesian inference for periodic regime-switching models (Journal of Applied Econometrics 1998) in ReplicationWiki ()
  2. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.

    Mentioned in:

    1. Detecting multiple breaks in financial market volatility dynamics (Journal of Applied Econometrics 2002) in ReplicationWiki ()

Working papers

  1. Christian Brownlees & Benjamin Chabot & Eric Ghysels & Christopher J. Kurz, 2015. "Backtesting Systemic Risk Measures During Historical Bank Runs," Working Paper Series WP-2015-9, Federal Reserve Bank of Chicago.

    Cited by:

    1. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
    2. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
    3. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    4. Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2018. "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," NBER Working Papers 25405, National Bureau of Economic Research, Inc.
    5. Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
    6. Gilbert Colletaz & Grégory Levieuge & Alexandra Popescu, 2018. "Monetary policy and long-run systemic risk-taking," Post-Print hal-02162296, HAL.
    7. Peter Grundke, 2019. "Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 953-990, May.
    8. Mitchener, Kris & Das, Sanjiv & Vossmeyer, Angela, 2018. "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," CEPR Discussion Papers 13416, C.E.P.R. Discussion Papers.
    9. Busch, Pascal & Cappelletti, Giuseppe & Marincas, Vlad & Meller, Barbara & Wildmann, Nadya, 2021. "How useful is market information for the identification of G-SIBs?," Occasional Paper Series 260, European Central Bank.
    10. Kremer, Manfred & Chavleishvili, Sulkhan, 2021. "Measuring Systemic Financial Stress and its Impact on the Macroeconomy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242346, Verein für Socialpolitik / German Economic Association.
    11. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.

  2. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," NBER Working Papers 20660, National Bureau of Economic Research, Inc.

    Cited by:

    1. Afees A. Salisu & Juncal Cuñado & Kazeem Isah & Rangan Gupta, 2021. "Stock markets and exchange rate behavior of the BRICS," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1581-1595, December.
    2. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    3. Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What do stock markets tell us about exchange rates?," Bank of England working papers 537, Bank of England.
    4. Wang, Xinjie & Xiao, Yaqing & Yan, Hongjun & Zhang, Jinfan, 2021. "Under-reaction in the sovereign CDS market," Journal of Banking & Finance, Elsevier, vol. 130(C).
    5. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    6. Lee, Hsiu-Chuan & Lee, Yun-Huan & Lu, Yang-Cheng & Wang, Yu-Chun, 2020. "States of psychological anchors and price behavior of Japanese yen futures," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    7. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
    8. Jung, JiYong & Jung, Kuk Mo, 2021. "Stock market uncertainty and uncovered equity parity deviation: Evidence from Asia," Journal of Asian Economics, Elsevier, vol. 73(C).
    9. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
    10. Gehrig, Thomas & Fohlin, Caroline & Haas, Marlene, 2015. "Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907," CEPR Discussion Papers 10497, C.E.P.R. Discussion Papers.
    11. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    12. Alquist, Ron & Chabot, Benjamin R. & Yamarthy, Ram, 2022. "The price of property rights: Institutions, finance, and economic growth," Journal of International Economics, Elsevier, vol. 137(C).
    13. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
    14. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
    15. Aftab, Muhammad & Ahmad, Rubi & Ismail, Izlin, 2018. "Examining the uncovered equity parity in the emerging financial markets," Research in International Business and Finance, Elsevier, vol. 45(C), pages 233-242.

  3. Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.

    Cited by:

    1. Thunström, Linda & Nordström, Jonas & Shogren, Jason F., 2015. "Certainty and overconfidence in future preferences for food," Journal of Economic Psychology, Elsevier, vol. 51(C), pages 101-113.
    2. Jonathan Benchimol & Makram El-Shagi & Yossi Saadon, 2020. "Do Expert Experience and Characteristics Affect Inflation Forecasts?," Bank of Israel Working Papers 2020.11, Bank of Israel.
    3. Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.
    4. Carlos Diaz Vela, 2016. "Extracting the Information Shocks from the Bank of England Inflation Density Forecasts," Discussion Papers in Economics 16/13, Division of Economics, School of Business, University of Leicester.
    5. Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
    6. Fernanda Nechio, 2015. "Have long-term inflation expectations declined?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    7. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    8. Granziera, Eleonora & Jalasjoki, Pirkka & Paloviita, Maritta, 2024. "The bias of the ECB inflation projections: A State-dependent analysis," Bank of Finland Research Discussion Papers 4/2024, Bank of Finland.
    9. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
    10. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    11. Lorenzo Burlon & Simone Emiliozzi & Alessandro Notarpietro & Massimiliano Pisani, 2015. "Medium-term forecasting of euro-area macroeconomic variables with DSGE and BVARX models," Questioni di Economia e Finanza (Occasional Papers) 257, Bank of Italy, Economic Research and International Relations Area.
    12. Iversen, Jens & Laséen, Stefan & Lundvall, Henrik & Söderström, Ulf, 2016. "Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank," Working Paper Series 318, Sveriges Riksbank (Central Bank of Sweden).
    13. Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
    14. Eleni Argiri & Stephen G. Hall & Angeliki Momtsia & Daphne Marina Papadopoulou & Ifigeneia Skotida & George S. Tavlas & Yongli Wang, 2024. "An evaluation of the inflation forecasting performance of the European Central Bank, the Federal Reserve, and the Bank of England," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 932-947, July.
    15. Michal Franta & Jan Libich, 2024. "Holding the economy by the tail: analysis of short- and long-run macroeconomic risks," Empirical Economics, Springer, vol. 66(4), pages 1443-1489, April.
    16. Cobb, Marcus P A, 2017. "Joint Forecast Combination of Macroeconomic Aggregates and Their Components," MPRA Paper 76556, University Library of Munich, Germany.
    17. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
    18. Boriss Siliverstovs, 2021. "New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past?," Econometrics, MDPI, vol. 9(1), pages 1-25, March.
    19. Pierre L. Siklos, 2016. "Forecast Disagreement and the Inflation Outlook: New International Evidence," IMES Discussion Paper Series 16-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    20. Leif Anders Thorsrud, 2016. "Nowcasting using news topics. Big Data versus big bank," Working Paper 2016/20, Norges Bank.
    21. G. Kontogeorgos & K. Lambrias, 2022. "Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 213-229, March.
    22. Oguzhan Cepni & I. Ethem Guney & Norman R. Swanson, 2020. "Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 18-36, January.
    23. Huber, Florian & Onorante, Luca & Pfarrhofer, Michael, 2024. "Forecasting euro area inflation using a huge panel of survey expectations," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1042-1054.
    24. Nima Nonejad, 2021. "Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 769-791, August.
    25. Eleonora Granziera & Pirkka Jalasjoki & Maritta Paloviita, 2021. "The Bias and Efficiency of the ECB Inflation Projections: a State Dependent Analysis," Working Paper 2021/1, Norges Bank.
    26. Pierre L. Siklos, 2017. "What has publishing inflation forecasts accomplished? Central banks and their competitors," CAMA Working Papers 2017-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Fabio Ashtar Telarico, 2021. "Forecasting pandemic tax revenues in a small, open economy," Papers 2112.15431, arXiv.org.
    28. Hilde C. Bjørnland & Francesco Ravazzolo & Leif Anders Thorsrud, 2015. "Forecasting GDP with global components. This time is different," Working Papers No 1/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    29. Nicolaas Johannes Odendaal & Monique Reid, 2018. "Media based sentiment indices as an alternative measure of consumer confidence," Working Papers 17/2018, Stellenbosch University, Department of Economics.
    30. Kevin J. Lansing & Benjamin Pyle, 2015. "Persistent overoptimism about economic growth," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    31. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    32. Sephton, Peter & Mann, Janelle, 2018. "Gold and crude oil prices after the great moderation," Energy Economics, Elsevier, vol. 71(C), pages 273-281.
    33. Granziera, Eleonora & Jalasjoki, Pirkka & Paloviita, Maritta, 2021. "The bias and efficiency of the ECB inflation projections: A state dependent analysis," Bank of Finland Research Discussion Papers 7/2021, Bank of Finland.
    34. Goodhart, C. A. E. & Pradhan, Manoj, 2023. "A snapshot of Central Bank (two year) forecasting: a mixed picture," LSE Research Online Documents on Economics 118680, London School of Economics and Political Science, LSE Library.
    35. Kontogeorgos, Georgios & Lambrias, Kyriacos, 2019. "An analysis of the Eurosystem/ECB projections," Working Paper Series 2291, European Central Bank.
    36. Carola Binder & Wesley Janson & Randal J. Verbrugge, 2019. "Thinking Outside the Box: Do SPF Respondents Have Anchored Inflation Expectations?," Working Papers 19-15, Federal Reserve Bank of Cleveland.
    37. Francesco Ravazzolo & Philip Rothman, 2015. "Oil-Price Density Forecasts of U.S. GDP," Working Papers No 10/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    38. Paloviita, Maritta & Haavio, Markus & Jalasjoki, Pirkka & Kilponen, Juha, 2017. "What does "below, but close to, two percent" mean? Assessing the ECB's reaction function with real time data," Bank of Finland Research Discussion Papers 29/2017, Bank of Finland.
    39. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    40. James Mitchell & Martin Weale, 2021. "Censored Density Forecasts: Production and Evaluation," Working Papers 21-12R, Federal Reserve Bank of Cleveland, revised 16 Aug 2022.
    41. Gary Koop & Stuart McIntyre & James Mitchell, 2018. "UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-07, Economic Statistics Centre of Excellence (ESCoE).
    42. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
    43. Barrera Chaupis, Carlos, 2016. "Expectations' Dispersion & Convergence towards Central Banks' IR forecasts: Chile, Colombia, Mexico, Peru & United Kingdom, 2004-2014," MPRA Paper 85410, University Library of Munich, Germany, revised 12 Dec 2016.
    44. Nuttanan Wichitaksorn, 2020. "Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach," PIER Discussion Papers 146, Puey Ungphakorn Institute for Economic Research.
    45. Łyziak, Tomasz & Paloviita, Maritta, 2018. "On the formation of inflation expectations in turbulent times: The case of the euro area," Economic Modelling, Elsevier, vol. 72(C), pages 132-139.
    46. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    47. Tai Young-Taft, 2015. "Marx's Theory of Money and 21st-century Macrodynamics," Economics Working Paper Archive wp_841, Levy Economics Institute.
    48. Maritta Paloviita & Markus Haavio & Pirkka Jalasjoki & Juha Kilponen, 2021. "What Does "Below, but Close to, 2 Percent" Mean? Assessing the ECB's Reaction Function with Real-Time Data," International Journal of Central Banking, International Journal of Central Banking, vol. 17(2), pages 125-169, June.
    49. Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
    50. Kapur, Muneesh, 2018. "Macroeconomic Policies and Transmission Dynamics in India," MPRA Paper 88566, University Library of Munich, Germany.
    51. James Cust & David Mihalyi, 2017. "Evidence for a Presource Curse? Oil discoveries, Elevated Expectations, and Growth Disappointments," OxCarre Working Papers 193, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    52. Todd E. Clark & Edward S. Knotek & Saeed Zaman, 2015. "Measuring Inflation Forecast Uncertainty," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2015(03), pages 1-6, March.
    53. Carola Binder & Wesley Janson & Randal Verbrugge, 2023. "Out of Bounds: Do SPF Respondents Have Anchored Inflation Expectations?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 559-576, March.
    54. Nikolaos Giannellis & Stephen G. Hall & Georgios P. Kouretas & George S. Tavlas, 2024. "Forecasting in turbulent times," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 819-826, July.
    55. Zhang, Hanyuan & Song, Haiyan & Wen, Long & Liu, Chang, 2021. "Forecasting tourism recovery amid COVID-19," Annals of Tourism Research, Elsevier, vol. 87(C).
    56. Salvador Climent-Serrano, 2017. "Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman¡¯s Stress Tests," Applied Finance and Accounting, Redfame publishing, vol. 3(1), pages 24-35, February.
    57. Łyziak, Tomasz & Paloviita, Maritta, 2017. "Formation of inflation expectations in turbulent times: Can ECB manage inflation expectations of professional forecasters?," Bank of Finland Research Discussion Papers 13/2017, Bank of Finland.
    58. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
    59. Fabio Ashtar Telarico, 2021. "Прогнозиране На Данъчните Приходи При Пандемия В Малка Отворена Икономика [Forecasting pandemic tax revenues in a small, open economy]," Post-Print hal-03500128, HAL.
    60. Tura-Gawron, Karolina, 2019. "Consumers’ approach to the credibility of the inflation forecasts published by central banks: A new methodological solution," Journal of Macroeconomics, Elsevier, vol. 62(C).
    61. Laine, Olli-Matti & Lindblad, Annika, 2020. "Nowcasting Finnish GDP growth using financial variables: a MIDAS approach," BoF Economics Review 4/2020, Bank of Finland.
    62. Gary Koop & Stuart McIntyre & James Mitchell, 2020. "UK regional nowcasting using a mixed frequency vector auto‐regressive model with entropic tilting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(1), pages 91-119, January.
    63. Jin-Kyu Jung & Michael Frenkel & Jan-Christoph Rülke, 2019. "On the consistency of central banks´ interest rate forecasts," Economics Bulletin, AccessEcon, vol. 39(1), pages 701-716.
    64. Wichitaksorn, Nuttanan, 2022. "Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach," Journal of Asian Economics, Elsevier, vol. 78(C).

  4. Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity and volatility in the U.S. treasury market," Staff Reports 590, Federal Reserve Bank of New York.

    Cited by:

    1. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
    2. Wycliffe Oluoch & Kalu Ojah, 2024. "Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey," The African Finance Journal, Africagrowth Institute, vol. 26(1), pages 1-33.
    3. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
    4. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    5. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    6. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    7. Geromichalos, Athanasios & Herrenbrueck, Lucas M. & Salyer, Kevin D., 2016. "A search-theoretic model of the term premium," Theoretical Economics, Econometric Society, vol. 11(3), September.
    8. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
    9. Carol Alexander & Daniel F. Heck & Andreas Kaeck, 2022. "The Role of Binance in Bitcoin Volatility Transmission," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(1), pages 1-32, January.
    10. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
    11. Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    12. Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    13. Ben Omrane, Walid & Tao, Yusi & Welch, Robert, 2017. "Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 9-30.
    14. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
    15. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    16. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
    17. Siikanen, Milla & Kanniainen, Juho & Valli, Jaakko, 2017. "Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic," Finance Research Letters, Elsevier, vol. 21(C), pages 264-271.
    18. Song, Zhaogang & Zhu, Haoxiang, 2018. "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, vol. 128(1), pages 103-124.
    19. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    20. R. Krishnan & Vinod Mishra, 2012. "Intraday Liquidity Patterns in Indian Stock Market," Monash Economics Working Papers 34-12, Monash University, Department of Economics.

  5. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports 581, Federal Reserve Bank of New York.

    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    3. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    4. Michael Pfarrhofer, 2024. "Forecasts with Bayesian vector autoregressions under real time conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 771-801, April.
    5. Dubiel-Teleszynski, Tomasz & Kalogeropoulos, Konstantinos & Karouzakis, Nikolaos, 2024. "Sequential learning and economic benefits from dynamic term structure models," LSE Research Online Documents on Economics 123659, London School of Economics and Political Science, LSE Library.
    6. Robert J. Hodrick & Tuomas Tomunen, 2018. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers 25092, National Bureau of Economic Research, Inc.
    7. Sarun Kamolthip, 2021. "Macroeconomic forecasting with LSTM and mixed frequency time series data," Papers 2109.13777, arXiv.org.
    8. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2024. "Econometrics of machine learning methods in economic forecasting," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 10, pages 246-273, Edward Elgar Publishing.
    9. Strohsal, Till & Wolf, Elias, 2020. "Data revisions to German national accounts: Are initial releases good nowcasts?," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1252-1259.
    10. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals," CEPR Discussion Papers 9538, C.E.P.R. Discussion Papers.
    11. Dai, Zhifeng & Kang, Jie, 2021. "Bond yield and crude oil prices predictability," Energy Economics, Elsevier, vol. 97(C).
    12. Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
    13. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Distilling the Macroeconomic News Flow," CEPR Discussion Papers 9360, C.E.P.R. Discussion Papers.
    14. Joelle Miffre & Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2023. "The commodity risk premium and neural networks," Post-Print hal-04322519, HAL.
    15. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    16. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
    17. Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019. "Time-Varying Risk Aversion and the Predictability of Bond Premia," Working Papers 201906, University of Pretoria, Department of Economics.
    18. Alessi, Lucia & Balduzzi, Pierluigi & Savona, Roberto, 2019. "Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data," JRC Working Papers in Economics and Finance 2019-03, Joint Research Centre, European Commission.
    19. Maghyereh, Aktham & Ziadat, Salem Adel & Al Rababa'a, Abdel Razzaq A., 2024. "Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach," Energy, Elsevier, vol. 306(C).
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    21. Corradi, Valentina & Fosten, Jack & Gutknecht, Daniel, 2024. "Predictive ability tests with possibly overlapping models," Journal of Econometrics, Elsevier, vol. 241(1).
    22. Pradeep Mishra & Khder Alakkari & Mostafa Abotaleb & Pankaj Kumar Singh & Shilpi Singh & Monika Ray & Soumitra Sankar Das & Umme Habibah Rahman & Ali J. Othman & Nazirya Alexandrovna Ibragimova & Gulf, 2021. "Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)," Data, MDPI, vol. 6(11), pages 1-15, November.
    23. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2019. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Swiss Finance Institute Research Paper Series 19-52, Swiss Finance Institute.
    24. Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
    25. Oguzhan Cepni & Rangan Gupta & I. Ethem Guney & M. Hasan Yilmaz, 2019. "Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages," Working Papers 201957, University of Pretoria, Department of Economics.
    26. Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021. "Gold, platinum and the predictability of bond risk premia," Finance Research Letters, Elsevier, vol. 38(C).
    27. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
    28. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
    29. Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020. "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    30. Jing-Zhi Huang & Zhan Shi, 2023. "Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance," Management Science, INFORMS, vol. 69(3), pages 1780-1804, March.
    31. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Economic Cycles and Expected Stock Returns," CEPR Discussion Papers 9528, C.E.P.R. Discussion Papers.
    32. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    33. Feng Zhao & Guofu Zhou & Xiaoneng Zhu, 2021. "Unspanned Global Macro Risks in Bond Returns," Management Science, INFORMS, vol. 67(12), pages 7825-7843, December.
    34. Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers 201912, University of Pretoria, Department of Economics.
    35. Nazemi, Abdolreza & Fabozzi, Frank J., 2024. "Interpretable machine learning for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 164(C).
    36. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
    37. Strohsal, Till & Wolf, Elias, 2019. "Data revisions to German national accounts: Are initial releases good nowcasts?," Discussion Papers 2019/11, Free University Berlin, School of Business & Economics.
    38. Xiaosai Liao & Xinjue Li & Qingliang Fan, 2024. "Robust Bond Risk Premia Predictability Test in the Quantiles," Papers 2410.03557, arXiv.org.
    39. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.

  6. Olivier Armantier & Eric Ghysels & Asani Sarkar & Jeffrey Shrader, 2011. "Discount window stigma during the 2007-2008 financial crisis," Staff Reports 483, Federal Reserve Bank of New York.

    Cited by:

    1. Claudia Buch & Catherine Koch & Michael Koetter, 2016. "Crises and rescues: liquidity transmission through international banks," BIS Working Papers 576, Bank for International Settlements.
    2. Andrea Attar & Thomas Mariotti & François Salanié, 2022. "Regulating Insurance Markets: Multiple Contracting and Adverse Selection," Post-Print hal-03796415, HAL.
    3. Andrea Gurgone & Giulia Iori, 2022. "Macroprudential capital buffers in heterogeneous banking networks: insights from an ABM with liquidity crises," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1399-1445, October.
    4. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Working Paper Series WP-2011-04, Federal Reserve Bank of Chicago.
    5. Crosignani, Matteo & Faria-e-Castro, Miguel & Fonseca, Luís, 2016. "The (unintended?) consequences of the largest liquidity injection ever," ESRB Working Paper Series 31, European Systemic Risk Board.
    6. Wang, Zijian, 2020. "Liquidity and private information in asset markets: To signal or not to signal," Journal of Economic Theory, Elsevier, vol. 190(C).
    7. Merrouche, Ouarda & Karam, Philippe & Turk, Rima & Souissi, Moez, 2014. "The Transmission of Liquidity Shocks: Evidence from Credit Rating Downgrades," CEPR Discussion Papers 10252, C.E.P.R. Discussion Papers.
    8. Chang, Su-Hsin & Contessi, Silvio & Francis, Johanna L., 2014. "Understanding the accumulation of bank and thrift reserves during the U.S. financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 78-106.
    9. Céline Gauthier & Alfred Lehar & Héctor Pérez Saiz & Moez Souissi, 2015. "Emergency Liquidity Facilities, Signalling and Funding Costs," Staff Working Papers 15-44, Bank of Canada.
    10. Ken B. Cyree & Mark D. Griffiths & Drew B. Winters, 2017. "Implications of a TAF program stigma for lenders: the case of publicly traded banks versus privately held banks," Review of Quantitative Finance and Accounting, Springer, vol. 49(2), pages 545-567, August.
    11. He, Zhiguo & Huang, Jing & Zhou, Jidong, 2023. "Open banking: Credit market competition when borrowers own the data," Journal of Financial Economics, Elsevier, vol. 147(2), pages 449-474.
    12. Huberto M. Ennis & John A. Weinberg, 2010. "Over-the-counter loans, adverse selection, and stigma in the interbank market," Working Paper 10-07, Federal Reserve Bank of Richmond.
    13. Morten L. Bech & Todd Keister, 2013. "Liquidity regulation and the implementation of monetary policy," Departmental Working Papers 201325, Rutgers University, Department of Economics.
    14. Saki Bigio & Javier Bianchi, 2014. "Banks, Liquidity Management and Monetary Policy," 2014 Meeting Papers 489, Society for Economic Dynamics.
    15. Buch, Claudia M. & Goldberg, Linda, 2014. "International banking and liquidity risk transmission: Lessons from across countries," Discussion Papers 17/2014, Deutsche Bundesbank.
    16. V. Bignon & C. Jobst, 2017. "Economic Crises and the Eligibility for the Lender of Last Resort: Evidence from 19th century France," Working papers 618, Banque de France.
    17. Affinito, Massimiliano, 2013. "Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Working Paper Series 1607, European Central Bank.
    18. Pierre-Richard Agénor & Koray Alper & Luiz Pereira da Silva, 2015. "External Shocks, Financial Volatility and Reserve Requirements in an Open Economy," Working Papers Series 396, Central Bank of Brazil, Research Department.
    19. Michelle L. Barnes, 2014. "Let's talk about it: what policy tools should the Fed \\"normally\\" use?," Current Policy Perspectives 14-12, Federal Reserve Bank of Boston.
    20. Acharya, Viral & Kovner, Anna & Afonso, Gara, 2013. "How do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007," CEPR Discussion Papers 9457, C.E.P.R. Discussion Papers.
    21. Agénor, Pierre-Richard & Alper, Koray & Pereira da Silva, Luiz A., 2014. "Sudden floods, macroprudential regulation and stability in an open economy," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 68-100.
    22. Riedler, Jesper & Brueckbauer, Frank, 2017. "Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation," ZEW Discussion Papers 17-022, ZEW - Leibniz Centre for European Economic Research.
    23. Rustom M. Irani & Ralf R. Meisenzahl, 2015. "Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register," Finance and Economics Discussion Series 2015-1, Board of Governors of the Federal Reserve System (U.S.).
    24. Olivier Armantier & Adam Copeland, 2012. "Assessing the quality of “Furfine-based” algorithms," Staff Reports 575, Federal Reserve Bank of New York.
    25. La׳O, Jennifer, 2014. "Predatory trading, Stigma and the Fed׳s Term Auction Facility," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 57-75.
    26. Attar, Andrea & Mariotti, Thomas & Salanié, François, 2014. "Multiple Contracting in Insurance Markets," TSE Working Papers 14-532, Toulouse School of Economics (TSE), revised Sep 2016.
    27. Adam Gersl & Zlatuse Komarkova & Lubos Komarek, 2016. "Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 32-49, February.
    28. Zlatuse Komarkova & Adam Gersl & Lubos Komarek, 2011. "Models for Stress Testing Czech Banks' Liquidity Risk," Working Papers 2011/11, Czech National Bank.
    29. Clemens Jobst & Stefano Ugolini, 2016. "The Coevolution of Money Markets and Monetary Policy, 1815–2008," Post-Print hal-01357712, HAL.
    30. Fecht, Falko & Weber, Patrick, 2023. "Who borrows from the Eurosystem’s lender-of-the-last-resort facility?," Journal of Banking & Finance, Elsevier, vol. 150(C).
    31. Acharya, Viral & Merrouche, Ouarda, 2012. "Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis," CEPR Discussion Papers 8859, C.E.P.R. Discussion Papers.
    32. Michael Brei & Ramon Moreno, 2018. "Reserve requirements and capital flows in Latin America," BIS Working Papers 741, Bank for International Settlements.
    33. Cañón Salazar Carlos Iván, 2016. "Distributional Policy Effects with Many Treatment Outcomes," Working Papers 2016-01, Banco de México.
    34. Todd Keister, 2017. "The Interplay Between Liquidity Regulation, Monetary Policy Implementation and Financial Stability," World Scientific Book Chapters, in: Douglas D Evanoff & George G Kaufman & Agnese Leonello & Simone Manganelli (ed.), Achieving Financial Stability Challenges to Prudential Regulation, chapter 13, pages 173-193, World Scientific Publishing Co. Pte. Ltd..
    35. Mark A. Carlson & Marco Macchiavelli, 2018. "Emergency Collateral Upgrades," Finance and Economics Discussion Series 2018-078, Board of Governors of the Federal Reserve System (U.S.).
    36. Anna Cororaton & Samuel Rosen, 2021. "Public Firm Borrowers of the U.S. Paycheck Protection Program [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 10(4), pages 641-693.
    37. Huberto M. Ennis, 2011. "Strategic behavior in the tri-party repo market," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(4Q), pages 389-413.
    38. Agénor, Pierre-Richard & Jia, Pengfei, 2020. "Capital controls and welfare with cross-border bank capital flows," Journal of Macroeconomics, Elsevier, vol. 65(C).
    39. Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2013. "Federal Reserve financial crisis lending programs and bank stock returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3819-3829.
    40. Olivier Armantier & Charles Holt, 2024. "Can Discount Window Stigma Be Cured? An Experimental Investigation," Staff Reports 1103, Federal Reserve Bank of New York.
    41. Colignatus, Thomas, 2011. "Conditions for turning the ex ante risk premium into an ex post redemption for EU government debt," MPRA Paper 34816, University Library of Munich, Germany, revised 17 Nov 2011.
    42. Mark Carlson & Burcu Duygan-Bump & William Nelson, 2015. "Why do we need both liquidity regulations and a lender of last resort? A perspective from Federal Reserve lending during the 2007-09 US financial crisis," BIS Working Papers 493, Bank for International Settlements.
    43. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014. "Dealer financial conditions and lender-of-last resort facilities," Staff Reports 673, Federal Reserve Bank of New York.
    44. Allen, Kyle D. & Hein, Scott E. & Whitledge, Matthew D., 2017. "The evolution of the Federal Reserve’s Term Auction Facility and FDIC-insured bank utilization," Journal of Financial Stability, Elsevier, vol. 31(C), pages 154-166.
    45. Gande, Amar & Kalpathy, Swaminathan, 2017. "CEO compensation and risk-taking at financial firms: Evidence from U.S. federal loan assistance," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 131-150.
    46. Andrieș, Alin Marius & Nistor, Simona & Ongena, Steven & Sprincean, Nicu, 2020. "On Becoming an O-SII (“Other Systemically Important Institution”)," Journal of Banking & Finance, Elsevier, vol. 111(C).
    47. James J. McAndrews & Asani Sarkar & Zhenyu Wang, 2008. "The effect of the Term Auction Facility on the London inter-bank offered rate," Staff Reports 335, Federal Reserve Bank of New York.
    48. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
    49. Yeon-Koo Che & Chongwoo Choe & Keeyoung Rhee, 2020. "Bailout Stigma," Papers 2006.05640, arXiv.org, revised Oct 2023.
    50. Gary Gorton & Ellis W. Tallman, 2016. "How Did Pre-Fed Banking Panics End?," NBER Working Papers 22036, National Bureau of Economic Research, Inc.
    51. Gary B. Gorton & Andrew Metrick, 2013. "The Federal Reserve and Financial Regulation: The First Hundred Years," NBER Working Papers 19292, National Bureau of Economic Research, Inc.
    52. Allen N. Berger & Martien Lamers & Raluca A. Roman & Koen Schoors, 2023. "Supply and Demand Effects of Bank Bailouts: Depositors Need Not Apply and Need Not Run," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1397-1442, September.
    53. Olivier Armantier & Marco Cipriani & Asani Sarkar, 2025. "Discount Window Stigma After the Global Financial Crisis," Liberty Street Economics 20250117, Federal Reserve Bank of New York.
    54. Roberto Robatto, 2015. "Financial Crises and Systemic Bank Runs in a Dynamic Model of Banking," 2015 Meeting Papers 483, Society for Economic Dynamics.
    55. Hoag, Christopher, 2018. "Clearinghouse loan certificates as a lender of last resort," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 215-229.
    56. Carlson, Mark & Macchiavelli, Marco, 2020. "Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 137(3), pages 701-722.
    57. Q. Farooq Akram & Jon H. Findreng & Lyndsie Smith, 2023. "The Norwegian overnight interbank market during the Covid pandemic," Working Paper 2023/8, Norges Bank.
    58. Felix P. Ackon & Huberto M. Ennis, 2018. "The Fed's Discount Window: An Overview of Recent Data," Working Paper 18-8, Federal Reserve Bank of Richmond.
    59. P. Andrade & C. Cahn & H. Fraisse & J-S. Mésonnier, 2015. "Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem's LTROs," Working papers 540, Banque de France.
    60. Weber, Patrick, 2015. "Does the Eurosystem's lender of last resort facility has a structurally di fferent option value across banks?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113123, Verein für Socialpolitik / German Economic Association.
    61. Brian Begalle & Antoine Martin & James J. McAndrews & Susan McLaughlin, 2013. "The risk of fire sales in the tri-party repo market," Staff Reports 616, Federal Reserve Bank of New York.
    62. Gary B. Gorton & Guillermo L. Ordoñez, 2014. "How Central Banks End Crises," PIER Working Paper Archive 14-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    63. Kick, Thomas & Koetter, Michael & Storz, Manuela, 2016. "Cross-border transmission of emergency liquidity," Discussion Papers 34/2016, Deutsche Bundesbank.
    64. Mr. Philippe D Karam & Ouarda Merrouche & Moez Souissi & Ms. Rima A Turk, 2014. "The Transmission of Liquidity Shocks: The Role of Internal Capital Markets and Bank Funding Strategies," IMF Working Papers 2014/207, International Monetary Fund.
    65. Ben S. Bernanke, 2018. "The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 251-342.
    66. Brancati, Emanuele & Macchiavelli, Marco, 2019. "The information sensitivity of debt in good and bad times," Journal of Financial Economics, Elsevier, vol. 133(1), pages 99-112.
    67. Anne-Marie Rieu-Foucault, 2018. "Les interventions de crise de la FED et de la BCE diffèrent-elles ?," EconomiX Working Papers 2018-31, University of Paris Nanterre, EconomiX.
    68. John Friedland, 2016. "Directors at too big to fail institutions should be liable," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 13(3), pages 195-203, August.
    69. Gary Gorton, 2013. "The Development of Opacity in U.S. Banking," NBER Working Papers 19540, National Bureau of Economic Research, Inc.
    70. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63, October –.
    71. Jin, Ling & Li, Zhisheng & Lu, Lei & Ni, Xiaoran, 2023. "Does stock market rescue affect investment efficiency in the real sector?," Journal of Financial Markets, Elsevier, vol. 65(C).
    72. Edoardo Rainone, 2021. "Identifying deposits' outflows in real-time," Temi di discussione (Economic working papers) 1319, Bank of Italy, Economic Research and International Relations Area.
    73. Christopher S. Sutherland, 2017. "What Explains Month-End Funding Pressure in Canada?," Discussion Papers 17-9, Bank of Canada.
    74. Zhang, Hanzhe & Hu, Yunzhi, 2020. "Overcoming Borrowing Stigma: The Design of Lending-of-Last-Resort Policies," Working Papers 2020-5, Michigan State University, Department of Economics.
    75. Abbassi, Puriya & Fecht, Falko & Weber, Patrick, 2013. "How stressed are banks in the interbank market?," Discussion Papers 40/2013, Deutsche Bundesbank.
    76. Anbil, Sriya & Carlson, Mark & Styczynski, Mary-Frances, 2023. "The effect of the Federal Reserve’s lending facility on PPP lending by commercial banks," Journal of Financial Intermediation, Elsevier, vol. 55(C).
    77. Kim, Hugh Hoikwang, 2020. "Information spillover of bailouts," Journal of Financial Intermediation, Elsevier, vol. 43(C).
    78. Anbil, Sriya, 2018. "Managing stigma during a financial crisis," Journal of Financial Economics, Elsevier, vol. 130(1), pages 166-181.
    79. Berger, Allen N. & Black, Lamont K. & Bouwman, Christa H.S. & Dlugosz, Jennifer, 2017. "Bank loan supply responses to Federal Reserve emergency liquidity facilities," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 1-15.
    80. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    81. Stefano Puddu & Andreas Waelchli, 2011. "Too TAF Towards the Risk," IRENE Working Papers 11-01, IRENE Institute of Economic Research.
    82. Stefano Puddu & Andreas Waelchli, 2015. "TAF Effect on Liquidity Risk Exposure," IRENE Working Papers 15-07, IRENE Institute of Economic Research.

  7. Neville Francis & Eric Ghysels & Michael T. Owyang, 2011. "The low-frequency impact of daily monetary policy shocks," Working Papers 2011-009, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Giovanni Ballarin & Petros Dellaportas & Lyudmila Grigoryeva & Marcel Hirt & Sophie van Huellen & Juan-Pablo Ortega, 2022. "Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data," Papers 2211.00363, arXiv.org, revised Jan 2024.
    2. Morita, Hiroshi & 森田, 裕史, 2019. "Forecasting Public Investment Using Daily Stock Returns," Discussion paper series HIAS-E-88, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    3. Pitschner, Stefan, 2013. "Using Financial Markets To Estimate the Macro Effects of Monetary Policy:," Working Paper Series 267, Sveriges Riksbank (Central Bank of Sweden).
    4. J. Isaac Miller, 2014. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 584-614.
    5. Cláudia Duarte, 2014. "Autoregressive augmentation of MIDAS regressions," Working Papers w201401, Banco de Portugal, Economics and Research Department.
    6. Bjørn Eraker & Ching Wai (Jeremy) Chiu & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2015. "Bayesian Mixed Frequency VARs," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 698-721.
    7. Marcellino, Massimiliano & Foroni, Claudia, 2014. "Markov-Switching Mixed-Frequency VAR Models," CEPR Discussion Papers 9815, C.E.P.R. Discussion Papers.

  8. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.

    Cited by:

    1. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
    2. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
    3. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    4. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014. "Momentum Trading, Return Chasing and Predictable Crashes," Working Paper Series WP-2014-27, Federal Reserve Bank of Chicago.
    5. Gao, Ya & Guo, Bin & Xiong, Xiong, 2021. "Signed momentum in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    6. William Goetzmann & Simon Huang, 2015. "Momentum in Imperial Russia," NBER Working Papers 21700, National Bureau of Economic Research, Inc.
    7. Blanco, Ivan & De Jesus, Miguel & Remesal, Alvaro, 2023. "Overlapping momentum portfolios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 1-22.
    8. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
    9. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.

  9. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.

    Cited by:

    1. Raymond H. Chan & Ephraim Clark & Xu Guo & Wing-Keung Wong, 2020. "New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management," Risk Management, Palgrave Macmillan, vol. 22(2), pages 108-132, June.
    2. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    3. Zaremba, Adam & Shemer, Jacob, 2018. "Is there momentum in factor premia? Evidence from international equity markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 120-130.
    4. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
    5. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
    6. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
    7. Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
    8. Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    9. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2016. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks," MPRA Paper 75002, University Library of Munich, Germany.
    10. Sina Badreddine & Ephraim Clark, 2021. "The asymmetric effects of industry specific volatility in momentum returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6444-6458, October.
    11. Zaremba, Adam, 2017. "Performance persistence of government bond factor premia," Finance Research Letters, Elsevier, vol. 22(C), pages 182-189.

  10. Eric Ghysels & Jonathan H. Wright, 2006. "Forecasting professional forecasters," Finance and Economics Discussion Series 2006-10, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Stylianos Asimakopoulos & Joan Paredes & Thomas Warmedinger, 2020. "Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 369-390, January.
    2. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
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    43. Ilek, Alex, 2021. "Are monetary surprises effective? The view of professional forecasters in Israel," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 516-530.
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    45. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
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    4. Etienne, Xiaoli, 2015. "Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices," 2015 Conference, August 9-14, 2015, Milan, Italy 211626, International Association of Agricultural Economists.
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    8. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
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    45. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
    46. Qifa Xu & Lu Chen & Cuixia Jiang & Yezheng Liu, 2022. "Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 407-421, April.
    47. Chang, Tsangyao & Hsu, Chen-Min & Chen, Sheng-Tung & Wang, Mei-Chih & Wu, Cheng-Feng, 2023. "Revisiting economic growth and CO2 emissions nexus in Taiwan using a mixed-frequency VAR model," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 319-342.
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  12. Eric Ghysels & Anders Eriksson Lars Forsberg, 2004. "Approximating the probability distribution of functions of random variables: A new approach," Econometric Society 2004 Far Eastern Meetings 503, Econometric Society.

    Cited by:

    1. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    2. Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
    3. Hainaut, Donatien, 2016. "Impact of volatility clustering on equity indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 367-381.
    4. Puzanova, Natalia & Siddiqui, Sikandar & Trede, Mark, 2009. "Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology," Journal of Financial Stability, Elsevier, vol. 5(4), pages 374-392, December.
    5. Lillestøl, Jostein, 2007. "Some new bivariate IG and NIG-distributions for modelling covariate nancial returns," Discussion Papers 2007/1, Norwegian School of Economics, Department of Business and Management Science.
    6. Bunčák, Tomáš, 2013. "Jump Processes in Exchange Rates Modeling," MPRA Paper 49882, University Library of Munich, Germany.
    7. Liyuan Jiang & Shuang Zhou & Keren Li & Fangfang Wang & Jie Yang, 2018. "A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps," Papers 1808.05289, arXiv.org, revised Feb 2019.
    8. Insan Tunali & Berk Yavuzoglu, 2018. "Edgeworth Expansion Based Correction Of Selectivity Bias In Models Of Double Selection," Working Papers 1802, Nazarbayev University, Department of Economics, revised Nov 2018.

  13. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

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    1. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, New Economic School (NES).
    2. Elena Andreou & Eric Ghysels, 2007. "Quality Control for Structural Credit Risk Models," University of Cyprus Working Papers in Economics 3-2007, University of Cyprus Department of Economics.

  14. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.

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    1. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    2. Todd Feldman & Shuming Liu, 2018. "A New Predictive Measure Using Agent-Based Behavioral Finance," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 941-959, April.
    3. Jongen, R. & Muller, A. & Verschoor, W.F.C., 2012. "Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 148-169.
    4. Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
    5. Onishchenko, Olena & Zhao, Jing & Kongahawatte, Sampath & Kuruppuarachchi, Duminda, 2024. "Investor heterogeneity and anchoring-induced momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    6. Attig, Najah & El Ghoul, Sadok, 2021. "Flying under the radar: The real effects of anonymous trading," Journal of Corporate Finance, Elsevier, vol. 71(C).
    7. Adam V. Reed & Pedro A. C. Saffi & Edward D. Van Wesep, 2021. "Short-Sales Constraints and the Diversification Puzzle," Management Science, INFORMS, vol. 67(2), pages 1159-1182, February.
    8. Elyès Jouini, 2023. "Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy," Management Science, INFORMS, vol. 69(7), pages 4190-4209, July.
    9. Luisito Bertinelli & Arnaud Bourgain & Florian Léon, 2020. "Corruption and tax compliance: evidence from small retailers in Bamako, Mali," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 366-370, March.
    10. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
    11. Luo, Xin & Tao, Yunqing & Zou, Kai, 2022. "A new measure of realized volatility: Inertial and reverse realized semivariance," Finance Research Letters, Elsevier, vol. 47(PA).
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    311. Byron Botha & Geordie Reid & Tim Olds & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African GDP using a suite of statistical models," Working Papers 11001, South African Reserve Bank.
    312. Guerrero, Víctor & Islas C., Alejandro & Poncela, Pilar & Rodríguez, Julio & Sánchez-Mangas, Rocío, 2014. "Mexico: Combining monthly inflation predictions from surveys," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
    313. Wang, Ruina & Li, Jinfang, 2021. "The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    314. Liu, Min & Lee, Chien-Chiang, 2021. "Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting," Energy Economics, Elsevier, vol. 103(C).
    315. Laine, Olli-Matti & Lindblad, Annika, 2020. "Nowcasting Finnish GDP growth using financial variables: a MIDAS approach," BoF Economics Review 4/2020, Bank of Finland.
    316. Cattivelli, Luca & Pirino, Davide, 2019. "A SHARP model of bid–ask spread forecasts," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1211-1225.
    317. Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
    318. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
    319. Atin Aboutorabi & Ga'etan de Rassenfosse, 2024. "Nowcasting R&D Expenditures: A Machine Learning Approach," Papers 2407.11765, arXiv.org.
    320. Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
    321. Uğurlu-Yıldırım, Ecenur & Şendeniz-Yüncü, İlkay, 2021. "Additional factor in asset-pricing: Institutional ownership," Finance Research Letters, Elsevier, vol. 40(C).
    322. Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Nowcasting distributions: a functional MIDAS model," Papers 2411.05629, arXiv.org.
    323. Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
    324. Angelos Kanas & Panagiotis D. Zervopoulos, 2020. "Systemic risk-shifting in U.S. commercial banking," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 517-539, February.
    325. Stefan Gebauer, 2017. "The Use of Financial Market Variables in Forecasting," DIW Roundup: Politik im Fokus 115, DIW Berlin, German Institute for Economic Research.
    326. Michael D. Boldin & Jonathan H. Wright, 2015. "Weather-adjusting employment data," Working Papers 15-5, Federal Reserve Bank of Philadelphia.
    327. Ghysels, Eric & Qian, Hang, 2019. "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, vol. 9(C), pages 1-16.
    328. Dirk Drechsel & Stefan Neuwirth, 2016. "Taming volatile high frequency data with long lag structure: An optimal filtering approach for forecasting," KOF Working papers 16-407, KOF Swiss Economic Institute, ETH Zurich.
    329. Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    330. Luke Mosley & Idris Eckley & Alex Gibberd, 2021. "Sparse Temporal Disaggregation," Papers 2108.05783, arXiv.org, revised Oct 2022.
    331. Franses, Ph.H.B.F., 2016. "Yet another look at MIDAS regression," Econometric Institute Research Papers EI2016-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    332. Marc Francke & Alex Van De Minne, 2022. "Daily appraisal of commercial real estate a new mixed frequency approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(5), pages 1257-1281, September.
    333. Ruey Yau & C. James Hueng, 2019. "Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 177-198, June.
    334. Chi-Wei Su & Yuru Song & Hsu-Ling Chang & Weike Zhang & Meng Qin, 2023. "Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?," Sustainability, MDPI, vol. 15(9), pages 1-15, May.
    335. Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).
    336. Czado, Claudia & Ivanov, Eugen & Okhrin, Yarema, 2019. "Modelling temporal dependence of realized variances with vines," Econometrics and Statistics, Elsevier, vol. 12(C), pages 198-216.
    337. Mahmut Gunay, 2020. "Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial," Working Papers 2002, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    338. Wichitaksorn, Nuttanan, 2022. "Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach," Journal of Asian Economics, Elsevier, vol. 78(C).
    339. Cláudia Duarte & Sónia Cabral, 2016. "Nowcasting Portuguese tourism exports," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    340. Yun-Yeong Kim, 2016. "Dynamic Analyses Using VAR Model with Mixed Frequency Data through Observable Representation," Korean Economic Review, Korean Economic Association, vol. 32, pages 41-75.
    341. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).
    342. Selma Toker & Nimet Özbay & Kristofer Månsson, 2022. "Mixed data sampling regression: Parameter selection of smoothed least squares estimator," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 718-751, July.
    343. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
    344. Byron Botha & Tim Olds & Geordie Reid & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African gross domestic product using a suite of statistical models," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 526-554, December.

  16. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.

    Cited by:

    1. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
    2. Cecilia Mancini & Vanessa Mattiussi & Roberto Reno', 2012. "Spot Volatility Estimation Using Delta Sequences," Working Papers - Mathematical Economics 2012-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    3. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
    4. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    5. Paulo M.M. Rodrigues & Antonio Rubia, 2010. "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Working Papers w201011, Banco de Portugal, Economics and Research Department.
    6. de Pooter, M.D. & van Dijk, D.J.C., 2004. "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers EI 2004-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016. "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, vol. 24(C), pages 1-11.
    8. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
    9. Erie Febrian & Aldrin Herwany, 2009. "Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)," Working Papers in Economics and Development Studies (WoPEDS) 200910, Department of Economics, Padjadjaran University, revised Sep 2009.
    10. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37.
    11. Haipeng Xing & Hongsong Yuan & Sichen Zhou, 2017. "A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points," Review of Economics & Finance, Better Advances Press, Canada, vol. 8, pages 44-60, May.
    12. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

  17. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.

    Cited by:

    1. Kristensen, Dennis, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
    2. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    3. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
    4. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
    5. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
    6. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    7. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
    8. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Papers 0910.1430, arXiv.org.
    9. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, University Library of Munich, Germany.
    10. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
    11. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    12. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
    13. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
    14. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
    15. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers 05-9, Bank of Canada.
    16. Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián, 2008. "Short-term evolution of forward curves and volatility in illiquid power market," MPRA Paper 8932, University Library of Munich, Germany, revised May 2008.
    17. Cyrus Ramezani & Yong Zeng, 2007. "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, vol. 3(4), pages 487-507, October.
    18. Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
    19. Nikolai Dokuchaev, 2011. "Option Pricing Via Maximization Over Uncertainty And Correction Of Volatility Smile," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 507-524.

  18. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.

    Cited by:

    1. Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
    2. Patrick McGlenchy & Paul Kofman, 2004. "Structurally Sound Dynamic Index Futures Hedging," Econometric Society 2004 Australasian Meetings 80, Econometric Society.
    3. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
    4. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.

  19. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2003s-26, CIRANO.

    Cited by:

    1. Song, Zefang & Song, Xinyuan & Li, Yuan, 2023. "Bayesian Analysis of ARCH-M model with a dynamic latent variable," Econometrics and Statistics, Elsevier, vol. 28(C), pages 47-62.
    2. Antonia Lopez-Villavicencio & Valérie Mignon, 2016. "Exchange Rate Pass-through in Emerging Countries: Do the Inflation Environment, Monetary Policy Regime and Institutional Quality Matter?," Working Papers 2016-07, CEPII research center.
    3. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
    4. Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc.
    5. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
    6. Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid, 2013. "Semiparametric Estimation of Risk-return Relationships," LIDAM Discussion Papers ISBA 2013035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Wang, Wenzhao, 2020. "Institutional investor sentiment, beta, and stock returns," Finance Research Letters, Elsevier, vol. 37(C).
    8. Chotipong Charoensom, 2024. "An Estimation of Regime Switching Models with Nonlinear Endogenous Switching," PIER Discussion Papers 217, Puey Ungphakorn Institute for Economic Research.
    9. Cardak, Buly A. & Martin, Vance L., 2023. "Household willingness to take financial risk: Stockmarket movements and life‐cycle effects," Journal of Banking & Finance, Elsevier, vol. 149(C).
    10. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
    12. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    13. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    14. Prabheesh, K.P. & Sasongko, Aryo & Indawan, Fiskara, 2023. "Did the policy responses influence credit and business cycle co-movement during the COVID-19 crisis? Evidence from Indonesia," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 243-255.
    15. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2010. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Working Papers 10-06, Duke University, Department of Economics.
    16. Marianne Andries & Valentin Haddad, 2017. "Information Aversion," NBER Working Papers 23958, National Bureau of Economic Research, Inc.
    17. Yao, Jing & Yang, Yiwen, 2023. "Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis," Economic Modelling, Elsevier, vol. 129(C).
    18. Pástor, Luboš & Sinha, Meenakshi & Swaminathan, Bhaskaran, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," CEPR Discussion Papers 5462, C.E.P.R. Discussion Papers.
    19. Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
    20. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
    21. Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
    22. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
    23. C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
    24. Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2012. "Measuring the risk premium in uncovered interest parity using the component GARCH-M model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 167-176.
    25. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
    26. Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
    27. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
    28. Lima, Luiz Renato & Meng, Fanning & Godeiro, Lucas, 2020. "Quantile forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1149-1162.
    29. González-Sánchez, Mariano & Nave, Juan & Rubio, Gonzalo, 2020. "Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity," Research in International Business and Finance, Elsevier, vol. 53(C).
    30. Das, Sonali & Demirer, Riza & Gupta, Rangan & Mangisa, Siphumlile, 2019. "The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 132-147.
    31. Dufour, Jean-Marie & García, René, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
    32. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
    33. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
    34. Antonio Díaz & Carlos Esparcia, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, CEPII research center, issue 166, pages 1-22.
    35. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2017. "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation," CREATES Research Papers 2018-12, Department of Economics and Business Economics, Aarhus University.
    36. Matteo Mogliani & Anna Simoni, 2020. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Post-Print hal-03089878, HAL.
    37. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
    38. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
    39. Yuming Li, 2017. "Risks and rewards for momentum and reversal portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 289-315, August.
    40. Qian Chen & Xiang Gao & Shan Xie & Li Sun & Shuairu Tian & Shigeyuki Hamori, 2021. "On the Predictability of China Macro Indicator with Carbon Emissions Trading," Energies, MDPI, vol. 14(5), pages 1-24, February.
    41. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," CEPR Discussion Papers 11307, C.E.P.R. Discussion Papers.
    42. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
    43. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, vol. 44(3), pages 1291-1314, June.
    44. Talha Omer & Kristofer Månsson & Pär Sjölander & B. M. Golam Kibria, 2024. "Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates," Statistical Papers, Springer, vol. 65(5), pages 3303-3325, July.
    45. Marks, Joseph M. & Nam, Kiseok, 2018. "Intertemporal risk-return tradeoff in the short-run," Economics Letters, Elsevier, vol. 172(C), pages 81-84.
    46. Valadkhani, Abbas & Smyth, Russell, 2017. "How do daily changes in oil prices affect US monthly industrial output?," Energy Economics, Elsevier, vol. 67(C), pages 83-90.
    47. Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis.
    48. Sarun Kamolthip, 2021. "Macroeconomic forecasting with LSTM and mixed frequency time series data," Papers 2109.13777, arXiv.org.
    49. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
    50. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
    51. Jonathan J. Reeves & Xuan Xie, 2014. "Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 347-356, March.
    52. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
    53. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.
    54. Mark J. Jensen & John M. Maheu, 2014. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper series 31_14, Rimini Centre for Economic Analysis.
    55. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Post-Print halshs-00460461, HAL.
    56. Emre Alper, C. & Fendoglu, Salih & Saltoglu, Burak, 2012. "MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets," Economics Letters, Elsevier, vol. 117(2), pages 528-532.
    57. Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
    58. Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
    59. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    60. John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
    61. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
    62. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 111-135, June.
    63. R. Sufana, 2013. "Leverage effects in a multiasset framework," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 783-787, May.
    64. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
    65. Bai, Yiyi & Okullo, Samuel J., 2023. "Drivers and pass-through of the EU ETS price: Evidence from the power sector," Energy Economics, Elsevier, vol. 123(C).
    66. Kiseok Nam & Joshua Krausz & Augustine C. Arize, 2014. "Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2193-2203, December.
    67. Ekaterina Smetanina, 2017. "Real-Time GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 561-601.
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    369. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 107-121.
    370. Reschenhofer, Erhard & Mangat, Manveer Kaur & Stark, Thomas, 2020. "Volatility forecasts, proxies and loss functions," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 133-153.
    371. Dirk Swagerman & Ivan Novakovic, 2010. "Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(4), pages 23-42.
    372. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Post-Print halshs-00344839, HAL.
    373. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    374. Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
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    376. Ulrich Gunter & Irem Önder & Stefan Gindl, 2019. "Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria," Tourism Economics, , vol. 25(3), pages 375-401, May.
    377. Mathijs Cosemans & Rik Frehen & Peter C. Schotman & Rob Bauer, 2016. "Estimating Security Betas Using Prior Information Based on Firm Fundamentals," The Review of Financial Studies, Society for Financial Studies, vol. 29(4), pages 1072-1112.
    378. Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
    379. Laine, Olli-Matti & Lindblad, Annika, 2020. "Nowcasting Finnish GDP growth using financial variables: a MIDAS approach," BoF Economics Review 4/2020, Bank of Finland.
    380. Ryuta Sakemoto, 2018. "The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market," Economics and Business Letters, Oviedo University Press, vol. 7(1), pages 24-35.
    381. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    382. Huang, Teng-Ching & Wu, Ching-Chih & Lin, Bing-Huei, 2016. "Institutional herding and risk–return relationship," Journal of Business Research, Elsevier, vol. 69(6), pages 2073-2080.
    383. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.
    384. Rafique, Amir & Iqbal, Khurram & Zakaria, Muhammad & Mujtaba, Ghulam, 2019. "Investigating ICAPM with mean-reverting dynamic conditional correlation: Evidence from an emerging stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 514-523.
    385. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yuan, Jing, 2018. "Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 13-31.
    386. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
    387. Pedro Piccoli & Newton C. A. da Costa & Wesley Vieira da Silva & June A. W. Cruz, 2018. "Investor sentiment and the risk–return tradeoff in the Brazilian market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 599-618, November.
    388. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
    389. Michael D. Boldin & Jonathan H. Wright, 2015. "Weather-adjusting employment data," Working Papers 15-5, Federal Reserve Bank of Philadelphia.
    390. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
    391. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    392. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
    393. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    394. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
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  20. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.

    Cited by:

    1. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    2. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
    3. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    4. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.).
    5. Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
    6. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    7. Ghysels, Eric & Tauchen, George, 2003. "Frontiers of financial econometrics and financial engineering," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 1-7.
    8. Kim, Myung Suk & Wang, Suojin, 2008. "Consistent estimation in regression models for the drift function in some continuous time models," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2682-2691, January.
    9. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
    10. Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
    11. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.

  21. Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.

    Cited by:

    1. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
    2. Hounyo, Ulrich & Varneskov, Rasmus T., 2020. "Inference for local distributions at high sampling frequencies: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 215(1), pages 1-34.
    3. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    4. Christophe M. Boucher & Bertrand B. Maillet, 2013. "Learning by Failing: A Simple VaR Buffer," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 22(2), pages 113-127, May.
    5. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2020. "An analytical perturbative solution to the Merton–Garman model using symmetries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 3-22, January.
    6. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
    7. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
    8. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2010. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Working Papers 10-06, Duke University, Department of Economics.
    9. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
    10. Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, Department of Economics and Business Economics, Aarhus University.
    11. Yong-Chao Zhang & Na Zhang & Qinglong Zhou, 2023. "The Closed-Form Solution of an Extraction Model and Optimal Stopping Problems with Regime Switching," Mathematics, MDPI, vol. 11(20), pages 1-16, October.
    12. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
    13. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
    14. Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010. "Asymmetry and Long Memory in Volatility Modelling," Econometric Institute Research Papers EI 2010-60, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    15. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    16. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers 06-14, Bank of Canada.
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    18. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
    19. Andreas Kaeck & Carol Alexander, 2010. "Stochastic Volatility Jump-Diffusions for Equity Index Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2010-06, Henley Business School, University of Reading.
    20. Brix, Anne Floor & Lunde, Asger & Wei, Wei, 2018. "A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method," Energy Economics, Elsevier, vol. 72(C), pages 560-582.
    21. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    22. Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
    23. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers 2014-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    24. Constantinides, George M. & Lian, Lei, 2021. "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
    25. Gudkov, Nikolay & Ignatieva, Katja, 2021. "Electricity price modelling with stochastic volatility and jumps: An empirical investigation," Energy Economics, Elsevier, vol. 98(C).
    26. He, Xin-Jiang & Zhu, Song-Ping, 2017. "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 149-163.
    27. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    28. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
    29. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008. "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper 1181, Economics Department, Queen's University.
    30. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
    31. Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011. "Volatility Activity: Specification and Estimation," Working Papers 11-23, Duke University, Department of Economics.
    32. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
    33. Basel M. A. Awartani, 2008. "Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 267-278.
    34. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.
    35. Francisco Peñaranda & Jón Daníelsson, 2007. "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2010.
    36. Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
    37. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    38. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
    39. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers 207677, University of Queensland, School of Economics.
    40. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
    41. Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
    42. Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
    43. Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
    44. Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    45. Qian Han, 2013. "A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    46. Chiu, Hsin-Yu & Chen, Ting-Fu, 2020. "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    47. Bing-Huei Lin & Mao-Wei Hung & Jr-Yan Wang & Ping-Da Wu, 2013. "A lattice model for option pricing under GARCH-jump processes," Review of Derivatives Research, Springer, vol. 16(3), pages 295-329, October.
    48. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
    49. Huber, Christoph & Huber, Juergen & Kirchler, Michael, 2021. "Volatility shocks and investment behavior," OSF Preprints jr4eb, Center for Open Science.
    50. Matthew Lorig, 2010. "Time-Changed Fast Mean-Reverting Stochastic Volatility Models," Papers 1010.5203, arXiv.org, revised Apr 2012.
    51. Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, School of Economics, University of Bristol, UK.
    52. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    53. Chris Brooks & Marcel Prokopczuk, 2011. "The Dynamics of Commodity Prices," ICMA Centre Discussion Papers in Finance icma-dp2011-09, Henley Business School, University of Reading.
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    Cited by:

    1. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    2. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.

  23. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.

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    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
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    3. Bissoondeeal, Rakesh K. & Karoglou, Michail & Binner, Jane M., 2019. "Structural changes and the role of monetary aggregates in the UK," Journal of Financial Stability, Elsevier, vol. 42(C), pages 100-107.
    4. David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
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    13. Moses K. Tule & Umar B. Ndako & Samuel F. Onipede, 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 57-65, November.
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    40. Žikica Lukić & Bojana Milošević, 2024. "Change-point analysis for matrix data: the empirical Hankel transform approach," Statistical Papers, Springer, vol. 65(9), pages 5955-5980, December.
    41. Ewing, Bradley T. & Malik, Farooq, 2016. "Volatility spillovers between oil prices and the stock market under structural breaks," Global Finance Journal, Elsevier, vol. 29(C), pages 12-23.
    42. Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere, 2010. "Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa," Working Papers 201030, University of Pretoria, Department of Economics.
    43. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
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    45. Juncal Cunado Eizaguirre & Javier Gomez Biscarri & Fernando Perez de Gracia Hidalgo, 2009. "Financial liberalization, stock market volatility and outliers in emerging economies," Applied Financial Economics, Taylor & Francis Journals, vol. 19(10), pages 809-823.
    46. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    47. Evzen Kocenda, 2001. "Detecting Structural Breaks: Exchange Rates in Transition Economies," Development and Comp Systems 0012009, University Library of Munich, Germany.
    48. Bock, David & Pettersson, Kjell, 2007. "Explorative analysis of spatial aspects on the Swedish influenza data," Research Reports 2007:10, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    49. Bock, David, 2007. "Evaluations of likelihood based surveillance of volatility," Research Reports 2007:9, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    50. Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014. "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 1-23, April.
    51. Tule, Moses K. & Ndako, Umar B. & Onipede, Samuel F., 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, Elsevier, vol. 35(C), pages 57-65.
    52. Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303.
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    Cited by:

    1. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    2. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
    3. John P. Owens & Douglas G. Steigerwald, 2006. "Noise reduced realized volatility: a kalman filter approach," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 211-227, Emerald Group Publishing Limited.
    4. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    7. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
    8. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554.
    9. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2003. "The economic value of volatility timing using "realized" volatility," Journal of Financial Economics, Elsevier, vol. 67(3), pages 473-509, March.
    10. John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
    11. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
    12. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
    13. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu, 2006. "Realized Beta: Persistence and Predictability," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 1-39, Emerald Group Publishing Limited.
    14. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
    15. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
    16. Chao Yu & Yue Fang & Zeng Li & Bo Zhang & Xujie Zhao, 2014. "Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 572-591, November.
    17. Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
    18. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
    19. ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour, 2002. "Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," Cahiers de recherche 2002-21, Universite de Montreal, Departement de sciences economiques.
    20. Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
    21. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    22. Denisa BANULESCU-RADU & Elena Ivona DUMITRESCU, 2019. "Do High-frequency-based Measures Improve Conditional Covariance Forecasts?," LEO Working Papers / DR LEO 2709, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    23. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
    24. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
    25. Wang, Chengyang & Nishiyama, Yoshihiko, 2015. "Volatility forecast of stock indices by model averaging using high-frequency data," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 324-337.
    26. Vander Elst, Harry & Veredas, David, 2014. "Disentangled jump-robust realized covariances and correlations with non-synchronous prices," DES - Working Papers. Statistics and Econometrics. WS ws142416, Universidad Carlos III de Madrid. Departamento de Estadística.
    27. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
    28. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
    29. Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 31-67.
    30. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    31. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    32. Michiel de Pooter & Martin Martens & Dick van Dijk, 2008. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 199-229.
    33. Marine Carrasco & Rachidi Kotchoni, 2015. "Adaptive Realized Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 757-797.
    34. Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
    35. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    36. Bannouh, K. & van Dijk, D.J.C. & Martens, M.P.E., 2008. "Range-based covariance estimation using high-frequency data: The realized co-range," Econometric Institute Research Papers EI 2007-53, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    37. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
    38. Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
    39. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
    40. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
    41. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," Economics Papers 2005-W05, Economics Group, Nuffield College, University of Oxford.
    42. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
    43. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    44. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
    45. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A Feasible Central Limit Theory for Realised Volatility Under Leverage," Economics Papers 2004-W03, Economics Group, Nuffield College, University of Oxford.
    46. Michael Haliassos, 2002. "Stockholding: Recent Lessons from Theory and Computations," University of Cyprus Working Papers in Economics 0206, University of Cyprus Department of Economics.
    47. Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582.
    48. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
    49. Andrey Rafalson, 2012. "Bootstrap inference about integrated volatility (in Russian)," Quantile, Quantile, issue 10, pages 91-108, December.
    50. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
    51. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
    52. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
    53. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
    54. Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," ERIM Report Series Research in Management ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    55. Dipankor Coondoo & Paramita Mukherjee, 2004. "Components of volatility and their empirical measures: a note," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1313-1318.
    56. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
    57. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 740-749.
    58. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
    59. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
    60. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank.
    61. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
    62. Ahadzie, Richard Mawulawoe & Jeyasreedharan, Nagaratnam, 2020. "Trading volume and realized higher-order moments in the Australian stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    63. Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012. "Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 354-389, 2012 06.
    64. Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
    65. Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker, 2016. "Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 113-146, March.
    66. Richard Hawkes & Paresh Date, 2007. "Medium‐term horizon volatility forecasting: A comparative study," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(6), pages 465-481, November.
    67. Martens, Martin & van Dijk, Dick, 2007. "Measuring volatility with the realized range," Journal of Econometrics, Elsevier, vol. 138(1), pages 181-207, May.
    68. Ghysels, Eric, 2014. "Factor Analysis with Large Panels of Volatility Proxies," CEPR Discussion Papers 10034, C.E.P.R. Discussion Papers.
    69. Denisa BANULESCU-RADU & Laurent FERRARA & Clément MARSILLI, 2019. "Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences," LEO Working Papers / DR LEO 2710, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    70. Ziegelmann, Flávio Augusto & Borges, Bruna & Caldeira, João F., 2015. "Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    71. Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
    72. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010. "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 413-427, June.
    73. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
    74. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-04140857, HAL.
    75. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society.
    76. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    77. Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022. "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 20, Bank of Italy, Directorate General for Markets and Payment System.
    78. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
    79. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
    80. Zhou, Dong-hai & Liu, Xiao-xing & Tang, Chun & Yang, Guang-yi, 2023. "Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    81. Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.
    82. Kalnina, Ilze, 2011. "Subsampling high frequency data," Journal of Econometrics, Elsevier, vol. 161(2), pages 262-283, April.

  25. Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.

    Cited by:

    1. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    2. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.).
    3. Bernard Sinclair-Desgagné, 2001. "Incentives in Common Agency," CIRANO Working Papers 2001s-66, CIRANO.
    4. mamatzakis, e & Christodoulakis, G, 2013. "Behavioural Asymmetries in the G7 Foreign Exchange Market," MPRA Paper 51615, University Library of Munich, Germany.
    5. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    6. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
    7. Christoffersen, Peter & Errunza, Vihang, 2000. "Towards a global financial architecture: capital mobility and risk management issues," Emerging Markets Review, Elsevier, vol. 1(1), pages 3-20, May.
    8. Marek RUSNAK, 2013. "Revisions to the Czech National Accounts: Properties and Predictability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(3), pages 244-261, July.
    9. Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
    10. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    11. Richard Lajeunesse & Paul Lanoie & Michel Patry, 2001. "Environmental Regulation and Productivity: New Findings on the Porter Analysis," CIRANO Working Papers 2001s-53, CIRANO.
    12. Vrugt, Evert B., 2009. "U.S. and Japanese macroeconomic news and stock market volatility in Asia-Pacific," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 611-627, November.
    13. Ngo Van Long & Koji Shimomura, 2002. "Relative Wealth, Status Seeking, and Catching Up," CIRANO Working Papers 2002s-09, CIRANO.
    14. Julie Doonan & Paul Lanoie & Benoit Laplante, 2002. "Environmental Performance of Canadian Pulp and Paper Plants: Why Some Do Well and Others Do Not ?," CIRANO Working Papers 2002s-24, CIRANO.
    15. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
    16. Padrón, Yaiza García & Boza, Juan García, 2006. "Which are the Risk Factors in the Pricing of Personal Pension in Spain?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    17. Richard G. Anderson, 2006. "Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC," Review, Federal Reserve Bank of St. Louis, vol. 88(Jan), pages 81-93.
    18. Michael Pedersen, 2010. "Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data," Working Papers Central Bank of Chile 595, Central Bank of Chile.
    19. John W. Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001. "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers 2001s-61, CIRANO.
    20. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 235-249.

  26. Eric Ghysels & Junghoon Seon, 2000. "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers 2000s-11, CIRANO.

    Cited by:

    1. Röthig, Andreas, 2004. "Currency futures and currency crises," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 4022, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Röthig, Andreas, 2004. "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics 136, Darmstadt University of Technology, Department of Law and Economics.
    3. D. Sornette & W. -X. Zhou, 2003. "Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market," Papers cond-mat/0306496, arXiv.org.

  27. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.

    Cited by:

    1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
    3. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    4. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    5. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
    6. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    7. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    8. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
    9. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
    10. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    11. Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.
    12. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2006. "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets," Working Papers 2005-03, University of New Orleans, Department of Economics and Finance.
    13. Rodrigue Oeuvray & Pascal Junod, 2013. "On time scaling of semivariance in a jump-diffusion process," Papers 1311.1122, arXiv.org.
    14. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
    15. R. Oeuvray & P. Junod, 2015. "A practical approach to semideviation and its time scaling in a jump-diffusion process," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 809-827, May.
    16. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
    17. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    18. Tyler J. VanderWeele, 2007. "The volatility effects of nontrading for stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1037-1041.
    19. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
    20. Rodríguez Nava Abigail & Francisco Venegas Martínez, 2010. "Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo," Contaduría y Administración, Accounting and Management, vol. 55(3), pages 11-40, septiembr.
    21. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    22. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016. "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series 368, Quantitative Finance Research Centre, University of Technology, Sydney.
    23. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.

  28. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.

    Cited by:

    1. John W. Galbraith, 1999. "Content Horizons For Forecasts Of Economic Time Series," Departmental Working Papers 1999-01, McGill University, Department of Economics.
    2. Psaradakis, Zacharias, 2000. "Bootstrap tests for unit roots in seasonal autoregressive models," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 389-395, December.
    3. Ngo Van Long & Antoine Soubeyran, 1999. "Cost Manipulation Games in Oligopoly, with Costs of Manipulating," CIRANO Working Papers 99s-13, CIRANO.
    4. Artur C. B. da Silva Lopes & Antonio Montanes, 2005. "The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 83-108.
    5. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
    6. Jérôme Foulon & Paul Lanoie & Benoit Laplante, 1999. "Incentives for Pollution Control: Regulation or (and?) Information," CIRANO Working Papers 99s-11, CIRANO.
    7. Patrice Roussel & Michel Tremblay, 1999. "Modelling the Role of Organizational Justice: Effects on Satisfaction and Unionization Propensity of Canadian Managers," CIRANO Working Papers 99s-16, CIRANO.

  29. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.

    Cited by:

    1. FERROUHI, El Mehdi & EZZAHID, Elhadj, 2013. "Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange," MPRA Paper 77322, University Library of Munich, Germany.
    2. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.

  30. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
    3. Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
    4. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.

  31. Eric Ghysels & Serena Ng, 1998. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics 403, Boston College Department of Economics.

    Cited by:

    1. Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146.
    2. D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The University of Manchester.
    3. Zongwu Cai & Jiazi Chen & Linlin Niu, 2021. "A Semiparametric Model for Bond Pricing with Life Cycle Fundamental," Working Papers 2021-01-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    4. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
    5. D H Kim, 2004. "Nonlinearity in the Term Structure," Economics Discussion Paper Series 0401, Economics, The University of Manchester.
    6. Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 229-253, September.
    7. Zongwu Cai & Jiazi Chen & Linlin Liu, 2021. "Estimating Impact of Age Distribution on Bond Pricing: A Semiparametric Functional Data Analysis Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202102, University of Kansas, Department of Economics, revised Jan 2021.
    8. Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng, 2019. "Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates," Journal of Econometrics, Elsevier, vol. 212(2), pages 433-450.
    9. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra.
    10. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    11. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    12. Michael R. Wickens & Chiona Balfoussia, 2004. "Macroeconomic Sources of Risk in the Term Structure," CEIS Research Paper 61, Tor Vergata University, CEIS.
    13. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
    14. Dong Heon Kim, 2004. "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings 440, Econometric Society.

  32. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.

    Cited by:

    1. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    2. Anindya Biswas & Biswajit Mandal, 2016. "Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-13, March.
    3. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
    4. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
    5. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    6. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    7. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
    8. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.

  33. Charles Cao & Eric Ghysels & Frank Hatheway, 1998. "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers 98s-14, CIRANO.

    Cited by:

    1. Medrano, Luis Angel & Vives, Xavier, 2001. "Strategic Behavior and Price Discovery," RAND Journal of Economics, The RAND Corporation, vol. 32(2), pages 221-248, Summer.
    2. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December.

  34. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.

    Cited by:

    1. Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.
    2. Andres Fernandez & Norman R. Swanson, 2009. "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers 09-28, Federal Reserve Bank of Philadelphia.
    3. Sharon Kozicki, 1999. "How useful are Taylor rules for monetary policy?," Economic Review, Federal Reserve Bank of Kansas City, vol. 84(Q II), pages 5-33.
    4. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
    5. Söderström, Ulf, 1999. "Should central banks be more aggressive?," SSE/EFI Working Paper Series in Economics and Finance 309, Stockholm School of Economics.
    6. Dean Croushore & Tom Stark, 1999. "A real-time data set for marcoeconomists: does the data vintage matter?," Working Papers 99-21, Federal Reserve Bank of Philadelphia.
    7. Felipe Morandé Lavín & Mauricio Tejada, 2008. "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers wp285, University of Chile, Department of Economics.
    8. Dean Croushore & Tom Stark, 2002. "Is macroeconomic research robust to alternative data sets?," Working Papers 02-3, Federal Reserve Bank of Philadelphia.
    9. Dean Croushore & Tom Stark, 2000. "A real-time data set for macroeconomists: does data vintage matter for forecasting?," Working Papers 00-6, Federal Reserve Bank of Philadelphia.
    10. Raffella Giacomini & Barbara Rossi, 2005. "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers 845, UCLA Department of Economics.
    11. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.

  35. Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.

    Cited by:

    1. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    2. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
    3. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
    4. Härdle, Wolfgang Karl & López-Cabrera, Brenda & Teng, Huei-wen, 2013. "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers 2013-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    6. Ramazan Gencay & Aslihan Salih, 2003. "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 73-101, May.

  36. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.

    Cited by:

    1. Élise Cormier & Jean-Marc Suret, 1997. "Le régime d'épargne-actions du Québec : Vue d'ensemble et évaluation," CIRANO Working Papers 97s-16, CIRANO.
    2. Cayton, Peter Julian & Bersales, Lisa Grace, 2012. "Median-based seasonal adjustment in the presence of seasonal volatility," MPRA Paper 37146, University Library of Munich, Germany.
    3. Paraskevi Katsiampa & Kyriaki Begiazi, 2019. "An empirical analysis of the Scottish housing market by property type," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(4), pages 559-583, September.

  37. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.

    Cited by:

    1. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers 01/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society.
    3. Gerhard, Frank & Hautsch, Nikolaus, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Papers 99/19, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
    5. Jose Montalvo, 1999. "Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 469-475.
    6. GIOT, Pierre, 1999. "Time transformations, intraday data and volatility models," LIDAM Discussion Papers CORE 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," LIDAM Discussion Papers CORE 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society.
    9. Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008. "Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks," Journal of Econometrics, Elsevier, vol. 147(1), pages 163-185, November.

  38. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.

    Cited by:

    1. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    2. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    3. Alexei Goriaev & Alexei Zabotkin, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Working Papers w0077, New Economic School (NES).
    4. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    5. BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 9715, Universite de Montreal, Departement de sciences economiques.
    6. Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
    7. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    8. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    9. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    10. Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, vol. 5(4), pages 389-408, December.
    11. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
    12. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
    13. Gulnur Muradoglu & Hakan Berument & Kivilcim Metin, 1999. "Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)," Multinational Finance Journal, Multinational Finance Journal, vol. 3(4), pages 223-252, December.
    14. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    15. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
    16. Kodjovi G. Assoe, 1998. "Regime-Switching in Emerging Stock Market Returns," Multinational Finance Journal, Multinational Finance Journal, vol. 2(2), pages 101-132, June.
    17. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
    18. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
    19. Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
    20. Shabir Ahmad Hakim & Zarinah Hamid & Ahamed Kameel Mydin Meera, 2016. "Capital Asset Pricing Model and Pricing of Islamic Financial Instruments نموذج تسعير الأصول الرأسمالية وتسعير الأدوات المالية الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 29(1), pages 21-39, January.
    21. Hooker, Mark A., 2004. "Macroeconomic factors and emerging market equity returns: a Bayesian model selection approach," Emerging Markets Review, Elsevier, vol. 5(4), pages 379-387, December.
    22. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
    23. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    24. Aue, Alexander & Gabrys, Robertas & Horváth, Lajos & Kokoszka, Piotr, 2009. "Estimation of a change-point in the mean function of functional data," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2254-2269, November.
    25. Henry Aray, 2006. "The Latin American and Spanish Stock markets," ThE Papers 06/12, Department of Economic Theory and Economic History of the University of Granada..
    26. Boyer, Marcel & Cherkaoui, Mouna & Ghysels, Eric, 1997. "L’intégration des marchés émergents et la modélisation des rendements des actifs risqués," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 311-330, mars-juin.
    27. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    28. Kodongo, Odongo & Ojah, Kalu, 2014. "Conditional pricing of currency risk in Africa's equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 133-155.
    29. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 523-541.
    30. Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.
    31. Atakan Yalçın & Nuri Ersşahin, 2011. "Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 28-48, July.

  39. Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO.

    Cited by:

    1. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
    2. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
    3. German Rodikov & Nino Antulov-Fantulin, 2022. "Can LSTM outperform volatility-econometric models?," Papers 2202.11581, arXiv.org.
    4. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Dias, Fabio S. & Peters, Gareth W., 2021. "Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence," Applied Mathematics and Computation, Elsevier, vol. 411(C).
    6. Lange, Rutger-Jan, 2024. "Bellman filtering and smoothing for state–space models," Journal of Econometrics, Elsevier, vol. 238(2).
    7. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany.
    8. Solomon Abayomi Olakojo, 2020. "A Markov‐switching analysis of Nigeria's business cycles: Are election cycles important?," African Development Review, African Development Bank, vol. 32(1), pages 67-79, March.
    9. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    10. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.
    11. Michael Weba, 2024. "Investment strategies based on forecasts are (almost) useless," Papers 2408.01772, arXiv.org.
    12. Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.
    13. Benjamin Poignard & Manabu Asai, 2022. "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers 2201.08584, arXiv.org, revised May 2022.
    14. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
    15. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
    16. Liao, Wen Ju & Sung, Hao-Chang, 2020. "Implied risk aversion and pricing kernel in the FTSE 100 index," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

  40. Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO.

    Cited by:

    1. GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    4. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.

  41. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.

    Cited by:

    1. Wu, Ximing & Sickles, Robin, 2018. "Semiparametric estimation under shape constraints," Econometrics and Statistics, Elsevier, vol. 6(C), pages 74-89.
    2. Shively, Thomas S. & Walker, Stephen G. & Damien, Paul, 2011. "Nonparametric function estimation subject to monotonicity, convexity and other shape constraints," Journal of Econometrics, Elsevier, vol. 161(2), pages 166-181, April.
    3. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
    4. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an efficient numerical approach," Computational Management Science, Springer, vol. 7(2), pages 171-187, April.
    5. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
    6. R. S. Tunaru, 2018. "Dividend derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 63-81, January.
    7. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
    8. Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
    9. GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
    11. M. Ryan Haley & Todd B. Walker, 2010. "Alternative tilts for nonparametric option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(10), pages 983-1006, October.
    12. Atmaz, Adem & Basak, Suleyman, 2019. "Option prices and costly short-selling," Journal of Financial Economics, Elsevier, vol. 134(1), pages 1-28.
    13. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008. "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
    14. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics.
    15. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    16. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
    17. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005. "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers 2005-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Rodriguez, J.C., 2007. "Option Pricing and Momentum," Discussion Paper 2007-93, Tilburg University, Center for Economic Research.
    19. Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
    20. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April.
    21. Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    22. George J. Jiang, 2002. "Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates," International Review of Finance, International Review of Finance Ltd., vol. 3(3‐4), pages 233-272, September.
    23. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
    24. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
    25. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
    26. Li, Gang & Zhang, Chu, 2016. "On the relationship between conditional jump intensity and diffusive volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 196-213.
    27. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
    28. Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi, 2013. "Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics," Research Paper Series 327, Quantitative Finance Research Centre, University of Technology, Sydney.
    29. Rodriguez, J.C., 2007. "Option Pricing and Momentum," Other publications TiSEM c3d95a76-1818-4543-87f5-b, Tilburg University, School of Economics and Management.
    30. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    31. Elias Tzavalis & Shijun Wang, 2003. "Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary," Working Papers 488, Queen Mary University of London, School of Economics and Finance.
    32. Biao Guo & Hai Lin, 2020. "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1767-1792, November.
    33. Li, Chenxu & Ye, Yongxin, 2019. "Pricing and Exercising American Options: an Asymptotic Expansion Approach," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    34. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    35. Lin, Yueh-Neng & Lin, Anchor Y., 2016. "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 88-106.
    36. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
    37. Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
    38. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011, January-A.

  42. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.

    Cited by:

    1. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.

  43. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.

    Cited by:

    1. Shively, Thomas S. & Walker, Stephen G. & Damien, Paul, 2011. "Nonparametric function estimation subject to monotonicity, convexity and other shape constraints," Journal of Econometrics, Elsevier, vol. 161(2), pages 166-181, April.
    2. Jun Lu & Hiroshi Ohta, 2003. "A data and digital-contracts driven method for pricing complex derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 212-219.
    3. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
    4. GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
    6. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    7. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
    8. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005. "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers 2005-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Tze Leung Lai & Samuel Po-Shing Wong, 2007. "Combining domain knowledge and statistical models in time series analysis," Papers math/0702814, arXiv.org.
    10. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
    11. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra.
    12. Yu, Xisheng & Xie, Xiaoke, 2015. "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 155-173.
    13. Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.
    14. Li, Gang & Zhang, Chu, 2016. "On the relationship between conditional jump intensity and diffusive volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 196-213.
    15. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    16. Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
    17. Weiping Li & Su Chen, 2018. "The Early Exercise Premium In American Options By Using Nonparametric Regressions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-29, November.
    18. J Lu & H Ohta, 2003. "Digital contracts-driven method for pricing complex derivatives," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(9), pages 1002-1010, September.

  44. Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    3. D.M. Nachane & Nishita Raje, 2007. "Financial Liberalisation and Monetary Policy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(1), pages 47-83, March.
    4. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
    5. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    6. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    7. Luis F. Céspedes & Claudio Soto, 2007. "Credibility and Inflation Targeting in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 14, pages 547-578, Central Bank of Chile.
    8. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    9. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    10. Robert W. Rich & Charles Steindel, 2007. "A comparison of measures of core inflation," Economic Policy Review, Federal Reserve Bank of New York, vol. 13(Dec), pages 19-38.
    11. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
    12. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
    13. Arturo Estrella & Anthony P. Rodrigues, 2005. "One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory," Staff Reports 232, Federal Reserve Bank of New York.
    14. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    15. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    16. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
    17. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    18. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
    19. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    20. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.
    21. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    22. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
    23. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    24. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
    25. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    26. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
    27. Masafumi Kozuka, 2014. "Policy Duration Effects, Quantitative Monetary Easing Policy and Economic Growth: Evidence from Japanese Time Series Data," Discussion Papers 1410, Graduate School of Economics, Kobe University.
    28. Cunado, Juncal & Gomez Biscarri, Javier & Perez de Gracia, Fernando, 2006. "Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization," Emerging Markets Review, Elsevier, vol. 7(3), pages 261-278, September.
    29. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
    30. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    31. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.
    32. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
    33. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
    34. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, New Economic School (NES).
    35. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(2), pages 467-488, April.
    36. Albert N. Link & David Paton & Donald S. Siegel, 2005. "An econometric analysis of trends in research joint venture activity," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 149-158.
    37. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    38. Steland, Ansgar, 2004. "Random walks with drift : a sequential approach," Technical Reports 2004,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    39. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra.
    40. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
    41. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    42. Robert W. Rich & Charles Steindel, 2005. "A review of core inflation and an evaluation of its measures," Staff Reports 236, Federal Reserve Bank of New York.
    43. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  45. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.

    Cited by:

    1. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    2. Cayetano, Gea, 2007. "Studying the Properties of the Correlation Trades," MPRA Paper 22318, University Library of Munich, Germany.
    3. de Jong, F.C.J.M. & Nijman, T.E., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.
    4. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    5. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2007. "Is it possible to construct derivatives for the Paris residential market?," THEMA Working Papers 2007-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
    7. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
    9. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
    10. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    11. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    12. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    13. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    14. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    15. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
    16. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
    17. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    18. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    19. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    20. A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
    21. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

  46. René Garcia & Eric Ghysels & Maral Kichian, 1995. "On the Dynamic Specification of International Asset Pricing Models," CIRANO Working Papers 95s-39, CIRANO.

    Cited by:

    1. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  47. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Department of Economics.
    2. Ching-Chih Chang & Chin-Yuan Hsieh & Yung-Chih Lin, 2012. "A predictive model of the freight rate of the international market in Capesize dry bulk carriers," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 313-317, March.
    3. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Universite de Montreal, Departement de sciences economiques.
    4. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    5. Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
    6. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    7. Budina, Nina & Maliszewski, Wojciech & de Menil, Georges & Turlea, Geomina, 2006. "Money, inflation and output in Romania, 1992-2000," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 330-347, March.
    8. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    9. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
    10. Supachoke Thawornkaiwong, 2016. "Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series," PIER Discussion Papers 25, Puey Ungphakorn Institute for Economic Research.
    11. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 1 : estimation et tests," Working papers 209, Banque de France.
    12. Saman, Corina, 2011. "Scenarios of the Romanian GDP Evolution With Neural Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 129-140, December.
    13. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
    14. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
    15. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    16. Rabindra Nepal and John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    17. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
    18. Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
    19. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    20. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    21. Franses, Philip Hans & de Bruin, Paul, 2002. "On data transformations and evidence of nonlinearity," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
    22. Matas Mir, Antonio & Osborn, Denise R, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank.
    23. Myladis R. Cogollo & Gilberto González-Parra & Abraham J. Arenas, 2021. "Modeling and Forecasting Cases of RSV Using Artificial Neural Networks," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    24. Zhang, G. Peter & Qi, Min, 2005. "Neural network forecasting for seasonal and trend time series," European Journal of Operational Research, Elsevier, vol. 160(2), pages 501-514, January.
    25. James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
    26. Ching-Chih Chang & Tin-Chia Lai, 2011. "The nonlinear dynamic process of macroeconomic development by modelling dry bulk shipping market," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1655-1663.
    27. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    28. Chu, Ching-Wu & Zhang, Guoqiang Peter, 2003. "A comparative study of linear and nonlinear models for aggregate retail sales forecasting," International Journal of Production Economics, Elsevier, vol. 86(3), pages 217-231, December.
    29. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    30. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, January.
    31. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
    32. Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R., 2004. "Linear versus neural network forecasts for European industrial production series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 435-446.
    33. Tarlok Singh, 2012. "Testing nonlinearities in economic growth in the OECD countries: an evidence from SETAR and STAR models," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3887-3908, October.
    34. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    35. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
    36. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
    37. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers 210, Banque de France.
    38. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
    39. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    40. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.
    41. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
    42. Lenz, Carlos, 2003. "A different look at the Census X-11 filter," Economics Letters, Elsevier, vol. 79(1), pages 1-6, April.

  48. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.

    Cited by:

    1. Martin Scheicher, 2000. "Time-varying risk in the German stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 70-91.
    2. BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 9715, Universite de Montreal, Departement de sciences economiques.
    3. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
    4. Michael W Brandt & David A Chapman, 2018. "Linear Approximations and Tests of Conditional Pricing Models [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, vol. 22(2), pages 455-489.
    5. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
    6. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    7. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
    8. Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, University Library of Munich, Germany.
    9. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
    10. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.
    11. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 523-541.

  49. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.

    Cited by:

    1. Per Frederiksen & Morten Orregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
    2. Takaishi, Tetsuya, 2018. "Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 139-154.
    3. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    5. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    7. Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO.
    8. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
    9. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
    10. Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011. "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 124-146, February.
    11. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
    12. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
    13. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
    14. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics Department Working Paper Series n1480105, Department of Economics, National University of Ireland - Maynooth.
    15. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
    16. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    17. Veredas, David & Rodríguez Poo, Juan M., 2001. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS ws013321, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
    19. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    20. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    21. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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    3. Natsuki Arai, 2016. "Evaluating the Efficiency of the FOMC's New Economic Projections," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 1019-1049, August.
    4. Ulrich Fritsche & Artur Tarassow, 2017. "Vergleichende Evaluation der Konjunkturprognosen des Instituts für Makroökonomie und Konjunkturforschung an der Hans-Böckler-Stiftung für den Zeitraum 2005-2014," IMK Studies 54-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    5. Artur Tarassow & Sven Schreiber, 2018. "FEP - the forecast evaluation package for gretl," IMK Working Paper 190-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    6. Chatagny, Florian & Siliverstovs, Boriss, 2015. "Evaluating rationality of level and growth rate forecasts of direct tax revenues under flexible loss function: Evidence from Swiss cantons," Economics Letters, Elsevier, vol. 134(C), pages 65-68.
    7. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Döpke, Jörg & Fritsche, Ulrich & Müller, Karsten, 2019. "Has macroeconomic forecasting changed after the Great Recession? Panel-based evidence on forecast accuracy and forecaster behavior from Germany," Journal of Macroeconomics, Elsevier, vol. 62(C).
    9. Jörg Döpke & Ulrich Fritsche & Karsten Müller, 2018. "Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany," Macroeconomics and Finance Series 201803, University of Hamburg, Department of Socioeconomics.
    10. Mr. Mikhail Golosov & Mr. John R King, 2002. "Tax Revenue Forecasts in IMF-Supported Programs," IMF Working Papers 2002/236, International Monetary Fund.
    11. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.

  51. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.

    Cited by:

    1. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    2. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    3. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    4. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    6. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    7. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
    8. Weihua Shi & Cheng-Few Lee, 2008. "Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 511-530.
    9. Kunst, Robert M. & Franses, Philip Hans, 2010. "Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data," Economics Series 252, Institute for Advanced Studies.
    10. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques.
    11. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
    12. Jérôme Fillol, 2003. "Multifractality: Theory and Evidence an Application to the French Stock Market," Economics Bulletin, AccessEcon, vol. 3(31), pages 1-12.
    13. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.
    14. A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
    15. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

  52. Eric Ghysels & Joann Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers 95s-31, CIRANO.

    Cited by:

    1. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
    2. Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO.
    3. Juan Carlos Ruilova & Pedro Alberto Morettin, 2020. "Parsimonious Heterogeneous ARCH Models for High Frequency Modeling," JRFM, MDPI, vol. 13(2), pages 1-19, February.
    4. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    5. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    6. Sirimon Treepongkaruna & Robert Brooks & Stephen Gray, 2012. "Do trading hours affect volatility links in the foreign exchange market?," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 7-27, April.
    7. Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40, National Bureau of Economic Research, Inc.
    8. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    9. Andersen, Torben G, 1996. "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
    10. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
    11. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
    12. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
    13. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    14. Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
    15. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    16. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    17. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
    18. Gavin Ooft & Philip Hans Franses & Sailesh Bhaghoe, 2023. "Autoregressive conditional durations: An application to the Surinamese dollar versus the US dollar exchange rate," Review of Development Economics, Wiley Blackwell, vol. 27(4), pages 2618-2637, November.
    19. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    20. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques.
    21. David N. Margolis, 1995. "Firm Heterogeneity and Worker Self-Selection Bias Estimated Returns to Seniority," CIRANO Working Papers 95s-04, CIRANO.
    22. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
    23. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    24. James E. Griffin & Mark F.J. Steel, 2002. "Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility," Econometrics 0201002, University Library of Munich, Germany, revised 04 Apr 2003.
    25. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
    26. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc.
    27. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
    28. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.
    29. Zoltan Eisler & Janos Kertesz, 2004. "Multifractal model of asset returns with leverage effect," Papers cond-mat/0403767, arXiv.org, revised May 2004.

  53. Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," CIRANO Working Papers 95s-21, CIRANO.

    Cited by:

    1. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    3. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
    4. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    5. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    6. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.
    7. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 221-241.

  54. Eric Ghysels & Lynda Khalaf & Cosme Vodounou, 1994. "Simulation Based Inference in Moving Average Models," CIRANO Working Papers 94s-11, CIRANO.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
    3. Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi, 2023. "Multivariate Wold decompositions: a Hilbert A-module approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 45-96, June.
    4. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
    6. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    7. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    8. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    9. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    10. Nikolay Gospodinov & Serena Ng, 2013. "Minimum distance estimation of possibly non-invertible moving average models," FRB Atlanta Working Paper 2013-11, Federal Reserve Bank of Atlanta.
    11. Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1595-1631, December.
    12. Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
    13. Pesaran, H.M. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cambridge Working Papers in Economics 9513, Faculty of Economics, University of Cambridge.
    14. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    15. Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics.

  55. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Inference for Periodic Regime-Switching Models," CIRANO Working Papers 94s-15, CIRANO.

    Cited by:

    1. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
    2. Jaehee Kim & Sooyoung Cheon, 2010. "A Bayesian regime‐switching time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 365-378, September.
    3. Zhao-Hua Lu & Sy-Miin Chow & Nilam Ram & Pamela M. Cole, 2019. "Zero-Inflated Regime-Switching Stochastic Differential Equation Models for Highly Unbalanced Multivariate, Multi-Subject Time-Series Data," Psychometrika, Springer;The Psychometric Society, vol. 84(2), pages 611-645, June.
    4. Bailliu, Jeannine & Dib, Ali & Kano, Takashi & Schembri, Lawrence, 2014. "Multilateral adjustment, regime switching and real exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 68-87.
    5. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    6. Aknouche, Abdelhakim, 2024. "Periodically homogeneous Markov chains: The discrete state space case," MPRA Paper 122287, University Library of Munich, Germany.
    7. Carvalho, Alexandre X. & Tanner, Martin A., 2007. "Modelling nonlinear count time series with local mixtures of Poisson autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 51(11), pages 5266-5294, July.

  56. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.

    Cited by:

    1. Maher Asal, 2012. "Has the Euro Boosted Equity Markets in the Euro Area?," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 1(2), pages 51-70, October.

  57. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Mohitosh Kejriwal, 2020. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 669-685, June.
    2. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    3. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2008. "Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation," Centre for Growth and Business Cycle Research Discussion Paper Series 109, Economics, The University of Manchester.
    4. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    5. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
    6. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    7. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
    8. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
    9. Matas Mir, Antonio & Osborn, Denise R, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank.
    10. David N. Margolis, 1995. "Firm Heterogeneity and Worker Self-Selection Bias Estimated Returns to Seniority," CIRANO Working Papers 95s-04, CIRANO.
    11. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
    12. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, January.
    13. Erick Elder, 1999. "Investment effects of departures from governmental present-value budget balance," Applied Economics, Taylor & Francis Journals, vol. 31(10), pages 1239-1247.
    14. Denise Osborn & Marianne Sensier, 2007. "UK inflation: persistance, seasonality and monetary policy," Economics Discussion Paper Series 0716, Economics, The University of Manchester.
    15. Mauro Costantini & Sergio de Nardis, 2007. "Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy," ISAE Working Papers 86, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    16. Pesaran, H.M. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cambridge Working Papers in Economics 9513, Faculty of Economics, University of Cambridge.
    17. Bataa, Erdenebat, 2012. "The Composite Leading Indicator of Mongolia," MPRA Paper 72415, University Library of Munich, Germany.
    18. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
    19. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
    20. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
    21. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," Economics Discussion Paper Series 0612, Economics, The University of Manchester.
    22. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.
    23. Kornelis, Marcel & Dekimpe, Marnik G. & Leeflang, Peter S.H., 2008. "Does competitive entry structurally change key marketing metrics?," International Journal of Research in Marketing, Elsevier, vol. 25(3), pages 173-182.

  58. Ghysels, E. & Sarlan, H., 1994. "On the Analysis of Business Cycles Through the Spectrum of Chronologies," Cahiers de recherche 9416, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  59. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Y. Boubacar Maïnassara & A. Ilmi Amir, 2024. "Portmanteau tests for periodic ARMA models with dependent errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(2), pages 164-188, March.
    2. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
    3. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
    4. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    5. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
    6. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    7. Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(3), pages 43-61, December.
    8. Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Working Papers 201925, University of Pretoria, Department of Economics.
    9. Clements, Michael P., 2002. "Comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 469-482, December.
    10. Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.
    11. Ergün, A. Tolga & Jun, Jongbyung, 2010. "Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 264-272, August.
    12. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    13. Samit Paul & Madhusudan Karmakar, 2017. "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 21(4), pages 247-283, December.
    14. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    15. Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
    16. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
    17. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    18. Olivier Habimana, 2017. "Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility," International Economics and Economic Policy, Springer, vol. 14(4), pages 625-642, October.
    19. Wen Cheong Chin & Min Cherng Lee, 2018. "S&P500 volatility analysis using high-frequency multipower variation volatility proxies," Empirical Economics, Springer, vol. 54(3), pages 1297-1318, May.
    20. Abdelhakim Aknouche & Bader Almohaimeed & Stefanos Dimitrakopoulos, 2022. "Periodic autoregressive conditional duration," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 5-29, January.
    21. Gau, Yin-Feng & Hua, Mingshu, 2007. "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 135-158, March.
    22. Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Volatility forecasting for crude oil futures," Research Papers in Economics 2007:9, Stockholm University, Department of Economics.
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    156. Esta Lestari, 2010. "Volatility Spillover Effects in East Asian Capital Markets: A Case Study of the Real Estate Sectors," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 58, pages 57-82, April.
    157. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.
    158. Abdelhakim Aknouche & Eid Al-Eid & Nacer Demouche, 2018. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 485-511, October.
    159. Degiannakis, Stavros & Floros, Christos, 2010. "VIX Index in Interday and Intraday Volatility Models," MPRA Paper 96304, University Library of Munich, Germany.
    160. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    161. Y. -F. Gau & M. Hau, 2004. "Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 263-266.

  60. Ghysels, E., 1993. "Seasonal Adjustment and Other Data Transformations," Cahiers de recherche 9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Robin L. Lumsdaine & Mr. Eswar S Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations: A New Approach," IMF Working Papers 1999/154, International Monetary Fund.
    2. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    3. Maravall, Agustin, 2006. "An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2167-2190, May.
    4. Roberto Astolfi & Dominique Ladiray & Gian Luigi Mazzi, 2001. "Business Cycle Extraction of Euro-Zone GDP: Direct versus Indirect Approach," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 377-398.
    5. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
    6. Robin L. Lumsdaine & Eswar S. Prasad, 1997. "Identifying the Common Component in International Economic Fluctuations," NBER Working Papers 5984, National Bureau of Economic Research, Inc.
    7. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.

  61. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Serhii Lupenko, 2022. "The Mathematical Model of Cyclic Signals in Dynamic Systems as a Cyclically Correlated Random Process," Mathematics, MDPI, vol. 10(18), pages 1-27, September.
    2. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
    3. Amato, Amedeo & Tronzano, Marco, 2000. "Fiscal policy, debt management and exchange rate credibility: Lessons from the recent Italian experience," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 921-943, June.
    4. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    5. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Inference for Periodic Regime-Switching Models," CIRANO Working Papers 94s-15, CIRANO.
    6. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    7. Madura, Jeff & Ngo, Thanh & Viale, Ariel M., 2011. "Convergent synergies in the global market for corporate control," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2468-2478, September.
    8. Al-Mohamed, Somar & Elkanj, Nasser & Gangopadhyay, Partha, 2018. "Time-Varying Integration of MENA Stock Markets," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 8(2), pages 85-114.
    9. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.

  62. Ghysels, E. & Hall, A., 1993. "The Periodic Time Series and Testing the Unit Root Hypothesis," Cahiers de recherche 9325, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.

  63. Ghysels, E. & Lieberman, O., 1993. "Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples," Cahiers de recherche 9335, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Judd, Kenneth L., 1996. "Approximation, perturbation, and projection methods in economic analysis," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 12, pages 509-585, Elsevier.
    2. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    3. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.

  64. Ghysels, E. & Lee, H.S. & Siklos, P.L., 1992. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data," Cahiers de recherche 9237, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. R. Anton Braun & Charles L. Evans, 1994. "Seasonality and equilibrium business cycle theories," Staff Report 168, Federal Reserve Bank of Minneapolis.
    2. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2010. "House prices, collateral constraint, and the asymmetric effect on consumption," Journal of Housing Economics, Elsevier, vol. 19(1), pages 26-37, March.
    3. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
    4. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
    5. Smith, Jeremy & Otero, Jesus, 1997. "Structural breaks and seasonal integration," Economics Letters, Elsevier, vol. 56(1), pages 13-19, September.
    6. Engelbert Stockhammer & Robert Calvert Jump & Karsten Kohler & Julian Cavallero, 2018. "Short and medium term financial-real cycles: An empirical assessment," FMM Working Paper 29-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    7. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    9. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
    10. Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
    11. Shen Chung-Hua & Huang Tai-Hsin, 1999. "Money Demand and Seasonal Cointegration," International Economic Journal, Taylor & Francis Journals, vol. 13(3), pages 97-123.
    12. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
    13. Lee, Hahn Shik & Siklos, Pierre L., 1997. "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 381-391, September.
    14. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
    15. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    16. Huang, Tai-Hsin & Shen, Chung-Hua, 1999. "Applying the seasonal error correction model to the demand for international reserves in Taiwan," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 107-131, January.
    17. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    18. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    19. 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.
    20. Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.

  65. Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
    2. Robin L. Lumsdaine & Mr. Eswar S Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations: A New Approach," IMF Working Papers 1999/154, International Monetary Fund.
    3. Ghysels, Eric & Lee, Hahn S & Siklos, Pierre L, 1993. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data," Empirical Economics, Springer, vol. 18(4), pages 747-760.
    4. S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
    5. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Universite de Montreal, Departement de sciences economiques.
    6. Siem Jan Koopman & Philip Hans Franses, 2002. "Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 509-526, December.
    7. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    8. Cho, Sungwon, 1998. "Time-series implications of the permanent income hypothesis on durable goods consumption," ISU General Staff Papers 1998010108000012849, Iowa State University, Department of Economics.
    9. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
    10. Matas-Mir, Antonio & Osborn, Denise R., 2004. "Does seasonality change over the business cycle? An investigation using monthly industrial production series," European Economic Review, Elsevier, vol. 48(6), pages 1309-1332, December.
    11. Kavussanos, Manolis G. & Alizadeh-M, Amir H., 2002. "Seasonality patterns in tanker spot freight rate markets," Economic Modelling, Elsevier, vol. 19(5), pages 747-782, November.
    12. Franses, Ph.H.B.F. & de Bruin, P., 1999. "Seasonal adjustment and the business cycle in unemployment," Econometric Institute Research Papers EI 9923-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    13. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
    14. D R Osborn & A Matas-Mir, 2003. "The Extent of Seasonal/Business Cycle Interactions in European Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 38, Economics, The University of Manchester.
    15. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 243-254, April.
    16. Ramsey, James B. & Keenan, Sean, 1996. "Multi-country tests for the oscillator model with slowly varying coefficients," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 383-408, September.
    17. Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, June.
    18. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    19. El Montasser, Ghassen, 2012. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 45110, University Library of Munich, Germany, revised 04 Mar 2014.
    20. Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, vol. 3(2), pages 1-16, May.
    21. John Wells, 1999. "Seasonality, leading indicators, and alternative business cycle theories," Applied Economics, Taylor & Francis Journals, vol. 31(5), pages 531-538.
    22. Matas Mir, Antonio & Osborn, Denise R, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank.
    23. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    24. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
    25. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    26. Mitsuhiro Kaneda & Gil Mehrez, 1998. "Seasonal Fluctuations and International Trade," International Trade 9809001, University Library of Munich, Germany.
    27. Martelotte Marcela Cohen & Souza Reinaldo Castro & Silva Eduardo Antônio Barros da, 2017. "Design of Seasonal Adjustment Filter Robust to Variations in the Seasonal Behaviour of Time Series," Journal of Official Statistics, Sciendo, vol. 33(1), pages 155-186, March.
    28. Craig, Lee A. & Holt, Matthew T., 2008. "Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940," Explorations in Economic History, Elsevier, vol. 45(1), pages 30-50, January.
    29. Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.
    30. Kaushik Bhattacharya & Sunny Kumar Singh, 2016. "Impact of Payment Technology on Seasonality of Currency in Circulation: Evidence from the USA and India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 117-136, June.
    31. Nasir Hamid Rao & Syed Kalim Hyder Bukhari & Abdul Jalil, 2011. "Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited," Working Papers id:4290, eSocialSciences.
    32. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
    33. Wen, Yi, 2002. "The business cycle effects of Christmas," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1289-1314, September.
    34. Paap, Richard & Franses, Philip Hans & Hoek, Henk, 1997. "Mean shifts, unit roots and forecasting seasonal time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 357-368, September.
    35. Dalibor Stevanovic & Stéphane Surprenant & Rachidi Kotchoni, 2019. "Identification des points de retournement du cycle économique au Canada," CIRANO Project Reports 2019rp-05, CIRANO.
    36. Franses, Philip Hans & Draisma, Gerrit, 1997. "Recognizing changing seasonal patterns using artificial neural networks," Journal of Econometrics, Elsevier, vol. 81(1), pages 273-280, November.
    37. Piotr Białowolski & Tomasz Kuszewski & Bartosz Witkowski, 2012. "Macroeconomic Forecasts in Models with Bayesian Averaging of Classical Estimates," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 6(1), March.

  66. Campbell, B. & Ghysels, E., 1992. "Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment," Cahiers de recherche 9217, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.

  67. Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2014. "The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis," Working Papers 201470, University of Pretoria, Department of Economics.
    2. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    3. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
    4. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
    5. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
    6. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
    7. Chen, Shyh-Wei, 2006. "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.
    8. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
    9. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
    10. Klaassen, F.J.G.M., 1999. "Long Swings in Exchange Rates : Are They Really in the Data?," Other publications TiSEM a54d23f3-13a8-458c-9f80-2, Tilburg University, School of Economics and Management.
    11. Shively, Philip A., 2004. "The size and dynamic effect of aggregate-demand and aggregate-supply disturbances in expansionary and contractionary regimes," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 83-99, March.
    12. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
    13. Serhii Lupenko, 2022. "The Mathematical Model of Cyclic Signals in Dynamic Systems as a Cyclically Correlated Random Process," Mathematics, MDPI, vol. 10(18), pages 1-27, September.
    14. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
    15. Laura Birg & Anna Goeddeke, 2016. "Christmas Economics—A Sleigh Ride," Economic Inquiry, Western Economic Association International, vol. 54(4), pages 1980-1984, October.
    16. Matas-Mir, Antonio & Osborn, Denise R., 2004. "Does seasonality change over the business cycle? An investigation using monthly industrial production series," European Economic Review, Elsevier, vol. 48(6), pages 1309-1332, December.
    17. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    18. Klaassen, F.J.G.M., 1999. "Purchasing Power Parity : Evidence from a New Test," Other publications TiSEM 91e73eb9-a023-4fdb-bd70-b, Tilburg University, School of Economics and Management.
    19. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March.
    20. D R Osborn & A Matas-Mir, 2003. "The Extent of Seasonal/Business Cycle Interactions in European Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 38, Economics, The University of Manchester.
    21. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
    22. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    23. John Wells, 1999. "Seasonality, leading indicators, and alternative business cycle theories," Applied Economics, Taylor & Francis Journals, vol. 31(5), pages 531-538.
    24. Giles, David E., 2005. "Testing for a Santa Claus effect in growth cycles," Economics Letters, Elsevier, vol. 87(3), pages 421-426, June.
    25. Ghysels, Eric, 2016. "Macroeconomics and the reality of mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 294-314.
    26. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Post-Print halshs-00658540, HAL.
    27. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
    28. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    29. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Inference for Periodic Regime-Switching Models," CIRANO Working Papers 94s-15, CIRANO.
    30. Peria, Maria Soledad Martinez, 1999. "A regime - switching approach to studying speculative attacks : focus on European Monetary System crises," Policy Research Working Paper Series 2132, The World Bank.
    31. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    32. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    33. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
    34. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    35. Huang, Tai-Hsin & Shen, Chung-Hua, 1999. "Applying the seasonal error correction model to the demand for international reserves in Taiwan," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 107-131, January.
    36. Nurgun Topalli & İbrahim Dogan, 2016. "The structure and sustainability of current account deficit: Turkish evidence from regime switching," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(4), pages 570-589, June.
    37. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    38. Chung-Ming Kuan, 2013. "Markov switching model (in Russian)," Quantile, Quantile, issue 11, pages 13-40, December.
    39. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    40. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February.
    41. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
    42. Wen, Yi, 2002. "The business cycle effects of Christmas," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1289-1314, September.
    43. Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.
    44. Shyh-Wei Chen & Chung-Hua Shen, 2006. "Is there a duration dependence in Taiwan's business cycles?," International Economic Journal, Taylor & Francis Journals, vol. 20(1), pages 109-128.

  68. Eric Ghysels, 1992. "Christmas, Spring and the Dawning of Economic Recovery," Cowles Foundation Discussion Papers 1027, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.

  69. Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    3. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    4. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
    5. Tommaso Mancini Griffoli, 2006. "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," IHEID Working Papers 10-2006, Economics Section, The Graduate Institute of International Studies.
    6. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Konjunktur verliert wieder an Fahrt," Open Access Publications from Kiel Institute for the World Economy 3371, Kiel Institute for the World Economy (IfW Kiel).
    7. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    8. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    9. Rossi, Barbara & Giacomini, Raffaella, 2005. "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers 05-08, Duke University, Department of Economics.
    10. Pauwels Laurent L. & Chan Felix & Mancini Griffoli Tommaso, 2012. "Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
    11. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
    12. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," Economics Discussion Paper Series 0305, Economics, The University of Manchester.
    13. Patrick Richard, 2010. "Kernel smoothing end of sample instability tests P values," Cahiers de recherche 10-19, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    14. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Recovery will slow down," Kiel Discussion Papers 415, Kiel Institute for the World Economy (IfW Kiel).
    15. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
    16. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    17. KUROZUMI, Eiji & 黒住, 英司, 2017. "Confidence Sets for the Date of a Mean Shift at the End of a Sample," Discussion Papers 2017-06, Graduate School of Economics, Hitotsubashi University.
    18. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," IHEID Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
    19. Eiji Kurozumi, 2018. "Confidence Sets for the Date of a Structural Change at the End of a Sample," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 850-862, November.
    20. Boot, Tom & Pick, Andreas, 2020. "Does modeling a structural break improve forecast accuracy?," Journal of Econometrics, Elsevier, vol. 215(1), pages 35-59.
    21. Colavecchio, Roberta & Carstensen, Kai, 2004. "Did the Revision of the ECB Monetary Policy Strategy Affect the Reaction Function?," Kiel Working Papers 1221, Kiel Institute for the World Economy (IfW Kiel).

  70. Ghysels, E., 1991. "On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts," Cahiers de recherche 9130, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.

  71. Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
    2. Franses, Philip Hans, 1995. "The effects of seasonally adjusting a periodic autoregressive process," Computational Statistics & Data Analysis, Elsevier, vol. 19(6), pages 683-704, June.
    3. Russell Cooper & John Haltiwanger, 1990. "The Aggregate Implications of Machine Replacement: Theory and Evidence," NBER Working Papers 3552, National Bureau of Economic Research, Inc.
    4. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    5. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March.
    7. Broersma, L. & Franses, P.H., 1992. "A model for quarterly unemployment in Canada," Serie Research Memoranda 0011, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.

  72. Ghysels, E. & Lee, H.S. & Noh, J., 1991. "Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation," Cahiers de recherche 9131, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
    2. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    3. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    4. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.

  73. Ghysels, E., 1990. "The Business Cycle, The Seasonal Cycle Or Just Any Cycle," Cahiers de recherche 9036, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. R. Anton Braun & Charles L. Evans, 1994. "Seasonality and equilibrium business cycle theories," Staff Report 168, Federal Reserve Bank of Minneapolis.
    2. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.

  74. Ghysels, E., 1990. "On The Economic And Econometrics Of Seasonality," Cahiers de recherche 9028, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. R. Anton Braun & Charles L. Evans, 1994. "Seasonality and equilibrium business cycle theories," Staff Report 168, Federal Reserve Bank of Minneapolis.
    2. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
    3. Braun, R Anton & Evans, Charles L, 1998. "Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 306-330, August.
    4. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    5. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    7. Antonio Aguirre & Andreu Sansó, 2002. "Using different null hypotheses to test for seasonal unit roots in economic time series," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 3-26, January-D.
    8. Artur C. B. da Silva Lopes & Antonio Montanes, 2005. "The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 83-108.
    9. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    10. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    11. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
    12. Campos, Julia, 1991. "A Brief Look on the Literature on Deseasonalization," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 11(2), November.
    13. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

  75. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root," Papers 355, Princeton, Department of Economics - Econometric Research Program.

    Cited by:

    1. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
    2. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
    3. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    4. Partha Ray & Jorge Somnath Chatterjee, 2001. "The role of asset prices in Indian inflation in recent years: some conjectures," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 131-150, Bank for International Settlements.
    5. McErlean, Seamus & Wu, Ziping & Moss, Joan E. & IJpelaar, Jos & Doherty, Andrew, 2003. "Do EU direct payments to beef producers belong in the ‘blue box’?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(1), pages 1-19.
    6. Delatte, Anne-Laure & Fouguau, Julien & Holz, Carsten A., 2011. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," BOFIT Discussion Papers 27/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    7. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    8. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Universite de Montreal, Departement de sciences economiques.
    9. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
    10. Idrisov, Georgy (Идрисов, Георгий) & Ponomarev, Yury (Пономарев, Юрий) & Pleskachev, Yury Andreevich (Плескачев, Юрий Андреевич), 2016. "Analysis of Joint Exchange Rate Pass-Through and Import Duty Rates in the Russian Economy [Анализ Совместного Эффекта Переноса Обменного Курса И Ввозных Пошлин В Цены В Российской Экономике]," Working Papers 1666, Russian Presidential Academy of National Economy and Public Administration.
    11. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 2116, Cowles Foundation for Research in Economics, Yale University.
    12. Jeong, Deokjae, 2022. "How the reduction of Temporary Foreign Workers led to a rise in vacancy rates in the South Korea," MPRA Paper 118731, University Library of Munich, Germany.
    13. Attfield, C. L. F., 1997. "Estimating a cointegrating demand system," European Economic Review, Elsevier, vol. 41(1), pages 61-73, January.
    14. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    15. Norrbin, Stefan C. & Reffett, Kevin L., 1995. "Trade credit in a monetary economy," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 413-430, June.
    16. Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho, 2004. "Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach," Econometrics 0408003, University Library of Munich, Germany, revised 13 Aug 2004.
    17. Schlitzer, Giuseppe, 1995. "Testing the stationarity of economic time series: further Monte Carlo evidence," Ricerche Economiche, Elsevier, vol. 49(2), pages 125-144, June.
    18. Paqué, Karl-Heinz, 1991. "Structural wage rigidity in West Germany 1950-1989: Some new econometric evidence," Kiel Working Papers 489, Kiel Institute for the World Economy (IfW Kiel).
    19. Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    20. Mª Ángeles Caraballo Pou & Carlos Dabús, 2005. "Nominal rigidities, relative prices and skewness," Economic Working Papers at Centro de Estudios Andaluces E2005/17, Centro de Estudios Andaluces.
    21. Attfield, Clifford L. F. & Silverstone, Brian, 1998. "Okun's Law, Cointegration and Gap Variables," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 625-637, July.
    22. Afsin Sahin & Aysit Tansel & M. Hakan Berument, 2013. "Output-Employment Relationship across Sectors: A Long- versus Short-Run Perspective," Koç University-TUSIAD Economic Research Forum Working Papers 1311, Koc University-TUSIAD Economic Research Forum.
    23. José Roberto López, 1993. "Market efficiency, purchasing power parity and cointegration in Central American black foreing exchange markets," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 111-153.
    24. Daniel, Betty C., 1997. "International interdependence of national growth rates: A structural trends anakysis," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 73-96, September.
    25. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
    26. Norrbin, Stefan C. & Reffett, Kevin L., 1996. "A substitution test of long-run money demand," Journal of Macroeconomics, Elsevier, vol. 18(2), pages 253-270.
    27. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    28. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    29. Hotta, Luiz K. & Morettin, Pedro A. & Pereira, Pedro L. Valls, 1992. "The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
    30. Choudhry, Taufiq, 1996. "Real stock prices and the long-run money demand function: evidence from Canada and the USA," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 1-17, February.
    31. David Griffiths, 2004. "The big problem of forecasting small change," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2195-2207.
    32. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    33. Maravall, Agustín, 1999. "Short-term and long-term trends, seasonal and the business cycle," DES - Working Papers. Statistics and Econometrics. WS 6291, Universidad Carlos III de Madrid. Departamento de Estadística.
    34. Montañés, Antonio & Olmos, Lorena, 2013. "Convergence in US house prices," MPRA Paper 48454, University Library of Munich, Germany.
    35. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
    36. Caraballo Pou, M. Angeles & Dabus, Carlos, 2008. "Nominal rigidities, skewness and inflation regimes," Research in Economics, Elsevier, vol. 62(1), pages 16-33, March.
    37. Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
    38. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    39. El Montasser, Ghassen, 2012. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 45110, University Library of Munich, Germany, revised 04 Mar 2014.
    40. Matas Mir, Antonio & Osborn, Denise R, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank.
    41. Anton I. Votinov & Ivan P. Stankevich, 2017. "VAR Approach to Efficiency Evaluation of Fiscal Economy Encouragement Measures," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 64-74, December.
    42. Josef Arlt, 2023. "The problem of annual inflation rate indicator," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2772-2788, July.
    43. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The University of Manchester.
    44. Diego Romero‐Ávila, 2007. "The Unit Root Hypothesis for Aggregate Output May Not Hold after All: New Evidence from a Panel Stationarity Test with Multiple Breaks," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 642-658, January.
    45. Shigeyuki Hamori & Akira Tokihisa, 2001. "Seasonal cointegration and the money demand function: some evidence from Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 305-310.
    46. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
    47. Ucar, Nuri & Guler, Huseyin, 2010. "Testing stochastic income convergence in seasonal heterogeneous panels," Economic Modelling, Elsevier, vol. 27(1), pages 422-431, January.
    48. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
    49. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
    50. Alexander Vosseler & Enzo Weber, 2017. "Bayesian analysis of periodic unit roots in the presence of a break," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3841-3862, August.
    51. Bohl, Martin T., 2000. "Nonstationary stochastic seasonality and the German M2 money demand function," European Economic Review, Elsevier, vol. 44(1), pages 61-70, January.
    52. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
    53. Lee, Hahn Shik & Siklos, Pierre L., 1997. "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 381-391, September.
    54. del Barrio Castro, Tomas & Pons Fanals, Ernest & Surinach Caralt, Jordi, 2002. "The effects of working with seasonally adjusted data when testing for unit root," Economics Letters, Elsevier, vol. 75(2), pages 249-256, April.
    55. Crowder, William J., 1996. "The international convergence of inflation rates during fixed and floating exchange rate regimes," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 551-575, August.
    56. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Working Papers 1320, Department of Applied Economics II, Universidad de Valencia.
    57. Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society.
    58. Hassler Uwe & Demetrescu Matei, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(4), pages 413-426, August.
    59. Thornton, Michael A., 2013. "Removing seasonality under a changing regime: Filtering new car sales," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 4-14.
    60. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    61. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, January.
    62. Denise Osborn & Marianne Sensier, 2007. "UK inflation: persistance, seasonality and monetary policy," Economics Discussion Paper Series 0716, Economics, The University of Manchester.
    63. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
    64. Darne, Olivier, 2004. "Seasonal cointegration for monthly data," Economics Letters, Elsevier, vol. 82(3), pages 349-356, March.
    65. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    66. Eugenio Martínez & Raúl Mejía & Eliseo Pérez Stable, 2008. "Elasticity of cigarette demand in Argentina: An empirical analysis using vector error-correction model," Working Papers 1, Instituto de Estudios Laborales y del Desarrollo Económico (IELDE) - Universidad Nacional de Salta - Facultad de Ciencias Económicas, Jurídicas y Sociales.
    67. Chinn, Menzie David, 1997. "Paper pushers or paper money? Empirical assessment of fiscal and monetary models of exchange rate determination," Journal of Policy Modeling, Elsevier, vol. 19(1), pages 51-78, February.
    68. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.
    69. Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
    70. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
    71. Petr Kadeřábek, 2007. "Jednoduchý model interakce CPI a PPI: aplikace na měsíční data zemí EU [A Simple Model of Interaction Between CPI and PPI: Application to Monthly Data of EU Countries]," Politická ekonomie, Prague University of Economics and Business, vol. 2007(2), pages 226-244.
    72. Campos, Julia, 1991. "A Brief Look on the Literature on Deseasonalization," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 11(2), November.
    73. Donald S. Allen, 1997. "Filtering permanent cycles with complex unit roots," Working Papers 1997-001, Federal Reserve Bank of St. Louis.
    74. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    75. Delatte, Anne-Laure & Holz, Carsten, 2013. "Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy," CEPR Discussion Papers 9721, C.E.P.R. Discussion Papers.
    76. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.
    77. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(4), pages 555-578, November.
    78. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," Economics Discussion Paper Series 0612, Economics, The University of Manchester.
    79. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
    80. 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.
    81. Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.
    82. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    83. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
    84. Lenz, Carlos, 2003. "A different look at the Census X-11 filter," Economics Letters, Elsevier, vol. 79(1), pages 1-6, April.

  76. David, J-F. & Ghysels, E., 1989. "Y A-T-Il Des Biais Systematiques Dans Les Annonces Budgetaires Canadiennes?," Cahiers de recherche 8912, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Jean Francois David & Eric Ghysels, 1989. "Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.)," Canadian Public Policy, University of Toronto Press, vol. 15(3), pages 313-321, September.

  77. Ghysels, E. & Karangwa, E., 1988. "Nominal Versus Real Seasonal Adjustment," Cahiers de recherche 8842, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    2. Jenny Wilkinson, 1992. "Explaining Australia's Imports: 1974–1989," The Economic Record, The Economic Society of Australia, vol. 68(2), pages 151-164, June.

  78. Ghysels, E & Hall, A., 1988. "A Test For Structural Stability Of Euler Conditions Parameters Estimated Via The Generalized Methods Of Moments Estimators," Cahiers de recherche 8837, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    3. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," Economics Discussion Paper Series 1326, Economics, The University of Manchester.
    4. D.M. Nachane & Nishita Raje, 2007. "Financial Liberalisation and Monetary Policy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(1), pages 47-83, March.
    5. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    6. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
    7. Luis F. Céspedes & Claudio Soto, 2007. "Credibility and Inflation Targeting in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 14, pages 547-578, Central Bank of Chile.
    8. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
    9. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    10. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
    11. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    12. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    13. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
    14. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    15. Patrick Fève & François Langot, 1995. "La méthode des moments généralisés et ses extensions : théorie et applications en macro-économie," Économie et Prévision, Programme National Persée, vol. 119(3), pages 139-170.
    16. Joseph E. Gagnon, 1989. "A forward-looking multicountry model: MX3," International Finance Discussion Papers 359, Board of Governors of the Federal Reserve System (U.S.).
    17. Groenewold, Nicolaas & Fraser, Patricia, 2001. "Tests of asset-pricing models: how important is the iid-normal assumption?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 427-449, September.
    18. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
    19. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
    20. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
    21. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    22. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
    23. Dungey, Mardi & Gajurel, Dinesh, 2013. "Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies," Working Papers 17213, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    24. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 249-298, November.
    25. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile.
    26. Don H. Kim & Marcel A. Priebsch, 2020. "Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?," Finance and Economics Discussion Series 2020-061, Board of Governors of the Federal Reserve System (U.S.).
    27. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
    28. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
    29. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
    30. Michael W. McCracken, 2012. "Consistent testing for structural change at the ends of the sample," Working Papers 2012-029, Federal Reserve Bank of St. Louis.
    31. Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
    32. Luis F. Céspedes C. & Claudio Soto G., 2006. "Inflation Targeting And Monetary Policy Credibility In Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 53-70, December.
    33. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
    34. Sen, Amit & Hall, Alastair, 1999. "Two further aspects of some new tests for structural stability," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 431-443, December.
    35. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
    36. Dinesh Gajurel & Mardi Dungey, 2023. "Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets," JRFM, MDPI, vol. 16(3), pages 1-20, March.
    37. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    38. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    39. Raffella Giacomini & Barbara Rossi, 2005. "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers 845, UCLA Department of Economics.
    40. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
    41. Kim Nummelin, 1994. "Risk aversion, multivariate proxies and the behavior of asset returns," Finnish Economic Papers, Finnish Economic Association, vol. 7(2), pages 94-107, Autumn.
    42. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
    43. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    44. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper 9251, University Library of Munich, Germany, revised 20 Jun 2008.
    45. N. Groenewold & P. Fraser, 1998. "Tests of Asset-pricing Models: How important is the IID-normal assumptions?," Economics Discussion / Working Papers 98-20, The University of Western Australia, Department of Economics.
    46. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
    47. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
    48. SOOREEA, Rajeev, 2007. "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 87-94.
    49. Arturo Estrella & Jeffrey C. Fuhrer, 2003. "Monetary Policy Shifts and the Stability of Monetary Policy Models," The Review of Economics and Statistics, MIT Press, vol. 85(1), pages 94-104, February.
    50. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    51. Clare, A. D. & Smith, P. N. & Thomas, S. H., 1997. "UK stock returns and robust tests of mean variance efficiency," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 641-660, May.
    52. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
    53. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    54. Hideaki Tamura & Yoichi Matsubayashi, 2014. "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers 1422, Graduate School of Economics, Kobe University.
    55. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.

  79. Ghysels, E., 1987. "Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality," Cahiers de recherche 8718, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Jeffrey A. Miron & Stephen P. Zeldes, "undated". "Seasonality, Cost Shocks and the Production Smoothing Model of Inventories," Rodney L. White Center for Financial Research Working Papers 01-87, Wharton School Rodney L. White Center for Financial Research.
    2. Ambler, Steve, 1989. "La stationnarité en économétrie et en macroéconomique : un guide pour les non initiés," L'Actualité Economique, Société Canadienne de Science Economique, vol. 65(4), pages 590-609, décembre.
    3. Hall, Alastair & Rossana, Robert J., 1987. "On Estimates of the Speed of Adjustment in Inventory Investment Equations," Department of Economics and Business - Archive 259426, North Carolina State University, Department of Economics.

  80. Ghysels, E., 1987. "The Political Economy of the Budget and Efficient Information Processing," Cahiers de recherche 8733, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Jean Francois David & Eric Ghysels, 1989. "Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.)," Canadian Public Policy, University of Toronto Press, vol. 15(3), pages 313-321, September.

  81. Ghysels, E. & Hall, A., 1987. "Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation," Cahiers de recherche 8703, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    2. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation for Research in Economics, Yale University.
    3. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation for Research in Economics, Yale University.
    4. Ramalho, Joaquim J. S. & Smith, Richard J., 2002. "Generalized empirical likelihood non-nested tests," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 99-125, March.

  82. Ghysels, E., 1987. "Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp," Cahiers de recherche 8723, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.

  83. Ghysels, E. & Nerlove, M., 1986. "Seasonality in Surveys a Comparison of Belgian, French and German Business Tests," Cahiers de recherche 8614, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.

  84. Ghysels, E., 1986. "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series," Cahiers de recherche 8612, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    2. Braun, R Anton & Evans, Charles L, 1998. "Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 306-330, August.
    3. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    4. Jeffrey A. Miron & J. Joseph Beaulieu, 1995. "What Have Macroeconomists Learned about Business Cycles from the Study of Seasonal Cycles?," NBER Working Papers 5258, National Bureau of Economic Research, Inc.
    5. J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
    6. Abdur Chowdhury, 1995. "The demand for money in a small open economy: The case of Switzerland," Open Economies Review, Springer, vol. 6(2), pages 131-144, April.
    7. Travis D. Nesmith, 2007. "Rational Seasonality," International Symposia in Economic Theory and Econometrics, in: Functional Structure Inference, pages 227-255, Emerald Group Publishing Limited.
    8. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    9. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
    10. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    11. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis.

Articles

  1. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.

    Cited by:

    1. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
    2. Hiroyuki Kawakatsu, 2019. "Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series," Econometrics, MDPI, vol. 7(4), pages 1-19, December.
    3. Veredas, David & Rodríguez Poo, Juan M., 2001. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS ws013321, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    5. BAUWENS, Luc & HAUTSCH, Nikolaus, 2009. "Modelling financial high frequency data using point processes," LIDAM Reprints CORE 2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée.
    7. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
    8. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
    9. Yiing Fei Tan & Kok Haur Ng & You Beng Koh & Shelton Peiris, 2022. "Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution," Mathematics, MDPI, vol. 10(10), pages 1-20, May.
    10. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    11. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    12. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 22483, East Asian Bureau of Economic Research.
    13. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    14. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
    15. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    16. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    17. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
    18. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    19. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, vol. 58(C), pages 588-598.
    20. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Other publications TiSEM 845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
    21. Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
    22. COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," LIDAM Discussion Papers CORE 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    23. Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    24. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    25. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
    26. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
    27. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    28. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    29. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
    30. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    31. Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).
    32. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    33. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
    34. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
    35. Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010. "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers 10451, University of Tasmania, Tasmanian School of Business and Economics, revised 30 May 2012.
    36. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    37. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    38. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
    39. Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
    40. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    41. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    42. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    43. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
    44. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
    45. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
    46. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    47. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," LIDAM Discussion Papers CORE 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    48. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    49. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
    50. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
    51. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    52. Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de Estadística.
    53. BAUWENS, Luc & GALLi, Fausto & GIOT, Pierre, 2009. "The moments of Log-ACD models," LIDAM Reprints CORE 2023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    54. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
    55. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," CAEPR Working Papers 2007-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    56. Roman Huptas, 2014. "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 237-273, December.
    57. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
    58. Grammig, Joachim & Wellner, Marc, 1999. "Modeling the interdependence of volatility and inter-transaction duration processes," SFB 373 Discussion Papers 1999,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    59. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.
    60. Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M., 2014. "The dynamic mixed hitting-time model for multiple transaction prices and times," Journal of Econometrics, Elsevier, vol. 180(2), pages 233-250.

  2. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.

    Cited by:

    1. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    2. Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
    3. Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.
    4. Assaf, A., 2009. "Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 109-116, June.
    5. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
    6. Diego Alonso Agudelo Rueda & Milena Castano, 2010. "Friend or Foe? Foreign investors and the liquidity of six Asian markets," Documentos de Trabajo de Valor Público 10653, Universidad EAFIT.
    7. Hearn, Bruce, 2014. "The impact of institutions, ownership structure, business angels, venture capital and lead managers on IPO firm underpricing across North Africa," Journal of Multinational Financial Management, Elsevier, vol. 24(C), pages 19-42.
    8. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    9. A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.
    10. Harvey, Campbell & Bekaert, Geert & Lundblad, Christian T, 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers.
    11. Jahan-Parvar, Mohammad R. & Waters, George A., 2010. "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, vol. 11(1), pages 39-48, March.
    12. Hearn, Bruce, 2013. "The determinants of director remuneration, executive tenure and individual executive disclosure in North African IPO firms," Research in International Business and Finance, Elsevier, vol. 27(1), pages 162-182.
    13. Monia Antar Limem & Faouzi Jilani, 2013. "Large trades on the Tunisian Stock Exchange: Downstairs versus upstairs stock markets," Journal of Asset Management, Palgrave Macmillan, vol. 14(6), pages 410-422, December.
    14. Hearn, Bruce, 2014. "The political institutional and firm governance determinants of liquidity: Evidence from North Africa and the Arab Spring," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 127-158.
    15. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010. "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 413-427, June.
    16. Hearn, Bruce & Piesse, Jenifer, 2013. "Firm level governance and institutional determinants of liquidity: Evidence from Sub Saharan Africa," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 93-111.

  3. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August.
    See citations under working paper version above.
  4. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Christopher A. Sims," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 448-449, October.

    Cited by:

    1. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
    2. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.

  5. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Lars Peter Hansen," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 442-447, October.

    Cited by:

    1. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    2. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
    3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
    4. Wang, Xuexin, 2016. "A New Class of Tests for Overidentifying Restrictions in Moment Condition Models," MPRA Paper 69004, University Library of Munich, Germany.
    5. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    6. Carrillo, Julio A. & Fève, Patrick, 2004. "Some Perils of Policy Rule Regression," IDEI Working Papers 301, Institut d'Économie Industrielle (IDEI), Toulouse.
    7. Alastair R. Hall, 2013. "Generalized Method of Moments," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 14, pages 313-333, Edward Elgar Publishing.

  6. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    See citations under working paper version above.
  7. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-376, July.
    See citations under working paper version above.
  8. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
    See citations under working paper version above.
  9. Ghysels, Eric, 2000. "Some Econometric Recipes for High-Frequency Data Cooking," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 154-163, April.

    Cited by:

    1. Veredas, David & Rodríguez Poo, Juan M., 2001. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS ws013321, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    4. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
    5. Monira Essa Aloud, 2016. "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 55-64.
    6. Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
    7. Laura Graf & Wiebke S. Wendler & Jutta Stumpf-Wollersheim & Isabell M. Welpe, 2019. "Wanting More, Getting Less: Gaming Performance Measurement as a Form of Deviant Workplace Behavior," Journal of Business Ethics, Springer, vol. 157(3), pages 753-773, July.
    8. Meinl Thomas & Sun Edward W., 2012. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-24, September.
    9. McCulloch Robert E. & Tsay Ruey S., 2001. "Nonlinearity in High-Frequency Financial Data and Hierarchical Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-18, April.
    10. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    11. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
    12. Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.

  10. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.

    Cited by:

    1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    3. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    4. Valentina Corradi & Antonio Mele & Walter Distaso, 2008. "Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia," FMG Discussion Papers dp616, Financial Markets Group.
    5. Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
    6. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    7. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    8. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
    9. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    10. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    11. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
    12. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
    13. Francisco Peñaranda & Jón Daníelsson, 2007. "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2010.
    14. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    15. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    16. Ambrocio, Gene & Colak, Gonul & Hasan, Iftekhar, 2022. "Commitment or constraint? The effect of loan covenants on merger and acquisition activity," Finance Research Letters, Elsevier, vol. 47(PB).
    17. Zhylyevskyy, Oleksandr, 2009. "A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility," Staff General Research Papers Archive 13112, Iowa State University, Department of Economics.
    18. Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/00, Monash University, Department of Econometrics and Business Statistics.
    19. Kocagil, Ahmet E. & Swanson, Norman R. & Zeng, Tian, 2001. "A new definition for time-dependent price mean reversion in commodity markets," Economics Letters, Elsevier, vol. 71(1), pages 9-16, April.
    20. Qian Han, 2013. "A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    21. Altissimo, Filippo & Mele, Antonio, 2005. "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics 24658, London School of Economics and Political Science, LSE Library.
    22. Indranil Sengupta, 2016. "Generalized Bn–S Stochastic Volatility Model For Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-23, March.
    23. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
    24. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.
    25. Yingying Li & Per A. Mykland, 2007. "Are volatility estimators robust with respect to modeling assumptions?," Papers 0709.0440, arXiv.org.
    26. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
    27. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range‐Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
    28. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    29. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
    30. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
    31. Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
    33. A. S. Hurn & K. A. Lindsay & A. J. McClelland, 2015. "Estimating the Parameters of Stochastic Volatility Models Using Option Price Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 579-594, October.
    34. Qian Han & Calum G. Turvey, 2013. "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    35. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
    36. Brennan, Michael J & LIU, XIAOQUAN & Xia, Yihong, 2005. "Option Pricing Kernels and the ICAPM," University of California at Los Angeles, Anderson Graduate School of Management qt4d90p8ss, Anderson Graduate School of Management, UCLA.
    37. Amine Ouazad, 2022. "Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires," Papers 2208.06930, arXiv.org.
    38. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
    39. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    40. Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
    41. Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian, 2021. "What model for the target rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-23, February.
    42. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    43. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    44. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    45. Song, Zhaogang & Xiu, Dacheng, 2016. "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
    46. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
    47. Zhylyevskyy, Oleksandr, 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Staff General Research Papers Archive 35559, Iowa State University, Department of Economics.
    48. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    49. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    50. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
    51. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
    52. Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department.
    53. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
    54. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
    55. Santa-Clara, Pedro & Yan, Shu, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," University of California at Los Angeles, Anderson Graduate School of Management qt5dv8v999, Anderson Graduate School of Management, UCLA.
    56. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
    57. Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O., 2007. "Likelihood-based inference for correlated diffusions," MPRA Paper 5696, University Library of Munich, Germany.
    58. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
    59. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    60. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    61. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
    62. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
    63. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
    64. Ballestra, Luca Vincenzo & D’Innocenzo, Enzo & Guizzardi, Andrea, 2024. "A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1185-1194.
    65. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
    66. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
    67. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    68. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
    69. Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi, 2024. "Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 375-406.
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    210. Tauchen, George, 2001. "Notes on financial econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 57-64, January.
    211. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.
    212. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
    213. Kaeck, Andreas & Alexander, Carol, 2012. "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3110-3121.
    214. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    215. Gurdip Bakshi & Charles Cao & Zhaodong (Ken) Zhong, 2021. "Assessing models of individual equity option prices," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 1-28, July.
    216. Yun, Jaeho, 2011. "The role of time-varying jump risk premia in pricing stock index options," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 833-846.
    217. Franke, Günter & Huang, James & Stapleton, Richard C., 2007. "Two-dimensional risk neutral valuation relationships for the pricing of options," CoFE Discussion Papers 07/08, University of Konstanz, Center of Finance and Econometrics (CoFE).

  11. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
    See citations under working paper version above.
  12. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1998. "Bayesian inference for periodic regime-switching models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 129-143.
    See citations under working paper version above.
  13. Eric Ghysels & Serena Ng, 1998. "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
    See citations under working paper version above.
  14. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    See citations under working paper version above.
  15. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    See citations under working paper version above.
  16. Bryan Campbell & Eric Ghysels, 1997. "An Empirical Analysis of the Canadian Budget Process," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 553-576, August.
    See citations under working paper version above.
  17. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.

    Cited by:

    1. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile.
    2. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.

  18. Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-418, October.
    See citations under working paper version above.
  19. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-386, July.
    See citations under working paper version above.
  20. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 396-397, July.

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Department of Economics.
    2. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    3. Ching-Chih Chang & Chin-Yuan Hsieh & Yung-Chih Lin, 2012. "A predictive model of the freight rate of the international market in Capesize dry bulk carriers," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 313-317, March.
    4. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    5. Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
    6. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    7. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    8. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
    9. Supachoke Thawornkaiwong, 2016. "Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series," PIER Discussion Papers 25, Puey Ungphakorn Institute for Economic Research.
    10. Saman, Corina, 2011. "Scenarios of the Romanian GDP Evolution With Neural Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 129-140, December.
    11. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
    12. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
    13. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    14. Rabindra Nepal and John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    15. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
    16. Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
    17. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    18. Franses, Philip Hans & de Bruin, Paul, 2002. "On data transformations and evidence of nonlinearity," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
    19. Myladis R. Cogollo & Gilberto González-Parra & Abraham J. Arenas, 2021. "Modeling and Forecasting Cases of RSV Using Artificial Neural Networks," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    20. Zhang, G. Peter & Qi, Min, 2005. "Neural network forecasting for seasonal and trend time series," European Journal of Operational Research, Elsevier, vol. 160(2), pages 501-514, January.
    21. Ching-Chih Chang & Tin-Chia Lai, 2011. "The nonlinear dynamic process of macroeconomic development by modelling dry bulk shipping market," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1655-1663.
    22. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    23. Chu, Ching-Wu & Zhang, Guoqiang Peter, 2003. "A comparative study of linear and nonlinear models for aggregate retail sales forecasting," International Journal of Production Economics, Elsevier, vol. 86(3), pages 217-231, December.
    24. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, January.
    25. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
    26. Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R., 2004. "Linear versus neural network forecasts for European industrial production series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 435-446.
    27. Tarlok Singh, 2012. "Testing nonlinearities in economic growth in the OECD countries: an evidence from SETAR and STAR models," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3887-3908, October.
    28. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    29. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
    30. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
    31. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers 210, Banque de France.
    32. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
    33. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    34. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.

  21. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    See citations under working paper version above.
  22. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
    See citations under working paper version above.
  23. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.

    Cited by:

    1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    2. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
    3. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
    4. Chen, Zhongfei & Barros, Carlos Pestana & Borges, Maria Rosa, 2015. "A Bayesian stochastic frontier analysis of Chinese fossil-fuel electricity generation companies," Energy Economics, Elsevier, vol. 48(C), pages 136-144.
    5. Shailesh Rastogi & Chaitaly Athaley, 2019. "Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective," JRFM, MDPI, vol. 12(2), pages 1-15, June.
    6. Ravindra H Dholakia & Amey A Sapre, 2011. "Estimating Structural Breaks Endogenously in India's Post-Independence Growth Path: An Empirical Critique," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 73-87, July.
    7. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

  24. Campbell, Bryan & Ghysels, Eric, 1995. "Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 17-31, February.

    Cited by:

    1. Leal, Teresa & Pérez, Javier J. & Tujula, Mika & Vidal, Jean-Pierre, 2007. "Fiscal forecasting: lessons from the literature and challenges," Working Paper Series 843, European Central Bank.
    2. Cronin, David & McQuinn, Kieran, 2020. "Are official forecasts of output growth in the EU still biased? Evidence from stability and convergence programmes and the European Commission’s Spring forecasts," Papers WP681, Economic and Social Research Institute (ESRI).
    3. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    4. Auerbach, Alan J., 1999. "On the Performance and Use of Government Revenue Forecasts," National Tax Journal, National Tax Association;National Tax Journal, vol. 52(4), pages 765-782, December.
    5. George A. Krause, 2006. "Beyond the Norm," Rationality and Society, , vol. 18(2), pages 157-191, May.
    6. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
    7. Björn Kauder & Niklas Potrafke & Christoph Schinke, 2017. "Manipulating Fiscal Forecasts: Evidence from the German States," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 73(2), pages 213-236, June.
    8. Natsuki Arai, 2016. "Evaluating the Efficiency of the FOMC's New Economic Projections," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 1019-1049, August.
    9. Ulrich Fritsche & Artur Tarassow, 2017. "Vergleichende Evaluation der Konjunkturprognosen des Instituts für Makroökonomie und Konjunkturforschung an der Hans-Böckler-Stiftung für den Zeitraum 2005-2014," IMK Studies 54-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    10. Timmermann, Allan & Elliott, Graham & Komunjer, Ivana, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers.
    11. Timmermann, Allan & Elliott, Graham, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
    12. Robert Krol, 2014. "Forecast Bias of Government Agencies," Cato Journal, Cato Journal, Cato Institute, vol. 34(1), pages 99-112, Winter.
    13. Cronin, David & McQuinn, Kieran, 2021. "Are official forecasts of output growth in the EU still biased?," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 337-349.
    14. Fritsche, Ulrich & Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2015. "Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding," International Journal of Forecasting, Elsevier, vol. 31(1), pages 130-139.
    15. Vasconcelos de Deus, Joseph David Barroso & de Mendonça, Helder Ferreira, 2017. "Fiscal forecasting performance in an emerging economy: An empirical assessment of Brazil," Economic Systems, Elsevier, vol. 41(3), pages 408-419.
    16. Dean Croushore & Simon van Norden, 2016. "Fiscal Forecasts at the FOMC: Evidence from the Greenbooks," CIRANO Working Papers 2016s-17, CIRANO.
    17. Zidong An & Joao Tovar Jalles, 2020. "On the performance of US fiscal forecasts: government vs. private information," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 48(2), pages 367-391, June.
    18. Dean Croushore & Simon van Norden, 2017. "Fiscal Surprises At The Fomc," Working Papers 17-13, Federal Reserve Bank of Philadelphia.
    19. Kitchen, John, 2003. "Observed Relationships Between Economic And Technical Receipts Revisions In Federal Budget Projections," MPRA Paper 22004, University Library of Munich, Germany.
    20. Cronin, David & McQuinn, Kieran, 2023. "Government debt forecast errors and the net expenditure rule in EU countries: Undue optimism at a cost," Journal of Policy Modeling, Elsevier, vol. 45(6), pages 1113-1131.
    21. Heinisch Katja & Scheufele Rolf, 2019. "Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence," German Economic Review, De Gruyter, vol. 20(4), pages 170-200, December.
    22. Sergey V. Chernenko, 2004. "The information content of forward and futures prices: market expectations and the price of risk," International Finance Discussion Papers 808, Board of Governors of the Federal Reserve System (U.S.).
    23. Cronin, David & McGowan, Kieran, 2023. "Government debt forecast errors and the net expenditure rule in EU countries," Papers WP756, Economic and Social Research Institute (ESRI).
    24. Bryan Campbell & Eric Ghysels, 1995. "An Empirical Analysis of the Canadian Budget Process," CIRANO Working Papers 95s-08, CIRANO.
    25. Lena Dräger & Jan-Oliver Menz & Ulrich Fritsche, 2011. "Perceived Inflation under Loss Aversion," Macroeconomics and Finance Series 201105, University of Hamburg, Department of Socioeconomics.
    26. de Mendonça, Helder Ferreira & Baca, Adriana Cabrera, 2022. "Fiscal opacity and reduction of income inequality through taxation: Effects on economic growth," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 69-82.
    27. Capistrán Carlos, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
    28. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
    29. Arai, Natsuki & Iizuka, Nobuo & Yamamoto, Yohei, 2022. "The Efficiency of the Government’s Revenue Projections," Discussion paper series HIAS-E-122, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    30. Dean Croushore & Simon van Norden, 2014. "Fiscal policy: ex ante and ex post," Working Papers 14-22, Federal Reserve Bank of Philadelphia.
    31. Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
    32. Heinisch, Katja, 2016. "A real-time analysis on the importance of hard and soft data for nowcasting German GDP," VfS Annual Conference 2016 (Augsburg): Demographic Change 145864, Verein für Socialpolitik / German Economic Association.
    33. Peter, Eckley, 2015. "(Non)rationality of consumer inflation perceptions," MPRA Paper 77082, University Library of Munich, Germany.
    34. Elkin Castaño Vélez & Luis Fernando Melo Velandia, 2000. "Metodos de combinacion de pronosticos: una aplicacion a la inflacion," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 52, pages 113-165, Enero Jun.
    35. Alexander, Marcus & Christakis, Nicholas A., 2008. "Bias and asymmetric loss in expert forecasts: A study of physician prognostic behavior with respect to patient survival," Journal of Health Economics, Elsevier, vol. 27(4), pages 1095-1108, July.

  25. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    See citations under working paper version above.
  26. Dufour, Jean-Marie & Ghysels, Eric & Hall, Alastair, 1994. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 199-229, February.
    See citations under working paper version above.
  27. Canova, Fabio & Ghysels, Eric, 1994. "Changes in seasonal patterns : Are they cyclical?," Journal of Economic Dynamics and Control, Elsevier, vol. 18(6), pages 1143-1171, November.
    See citations under working paper version above.
  28. Ghysels, Eric & Jasiak, Joanna, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 399-401, October.

    Cited by:

    1. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Abanto-Valle, Carlos A. & Rodríguez, Gabriel & Garrafa-Aragón, Hernán B., 2021. "Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 272-286.
    3. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  29. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.

    Cited by:

    1. Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
    2. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
    3. Harvey, David I. & van Dijk, Dick, 2006. "Sample size, lag order and critical values of seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2734-2751, June.
    4. Olivier Darné & Claude Diebolt, 2002. "A Note on Seasonal Unit Root Tests," Quality & Quantity: International Journal of Methodology, Springer, vol. 36(3), pages 305-310, August.
    5. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," Economics Letters, Elsevier, vol. 97(2), pages 179-184, November.
    6. Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Research Papers EI 9927-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
    8. Julio C. Alonso & Andrés M. Arcila & Sebastián Montenegro, 2015. "¿Estabiliza el FEPA los precios locales del azúcar?," Estudios Gerenciales, Universidad Icesi, issue 04, June.
    9. Norman Swanson & Richard Urbach, 2013. "Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality," Departmental Working Papers 201323, Rutgers University, Department of Economics.
    10. Mårten Löf & Johan Lyhagen, 2003. "On seasonal error correction when the processes include different numbers of unit roots," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 377-389.
    11. R. Anton Braun & Charles L. Evans, 1994. "Seasonality and equilibrium business cycle theories," Staff Report 168, Federal Reserve Bank of Minneapolis.
    12. S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
    13. McErlean, Seamus & Wu, Ziping & Moss, Joan E. & IJpelaar, Jos & Doherty, Andrew, 2003. "Do EU direct payments to beef producers belong in the ‘blue box’?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(1), pages 1-19.
    14. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
    15. Alonso Cifuentes, Julio César & Arcila Vásquez, Andrés Mauricio & Montenegro Arana, Sebastián, 2016. "Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 86, pages 105-126, December.
    16. Alkhathlan, Khalid & Gately, Dermot & Javid, Muhammad, 2014. "Analysis of Saudi Arabia's behavior within OPEC and the world oil market," Energy Policy, Elsevier, vol. 64(C), pages 209-225.
    17. Cang, Shuang & Yu, Hongnian, 2014. "A combination selection algorithm on forecasting," European Journal of Operational Research, Elsevier, vol. 234(1), pages 127-139.
    18. Paulo M.M. Rodrigues & A.M. Robert Taylor, 2006. "Efficient Tests of the Seasonal Unit Root Hypothesis," Discussion Papers 06/12, University of Nottingham, School of Economics.
    19. Josep LluIs Carrion-I-Silvestre & Tomas Del Barrio & Enrique Lopez-Bazo, 2004. "Evidence on the purchasing power parity in a panel of cities," Applied Economics, Taylor & Francis Journals, vol. 36(9), pages 961-966.
    20. Herwartz, Helmut, 1997. "Performance of periodic error correction models in forecasting consumption data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 421-431, September.
    21. Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, vol. 122(2), pages 247-280, October.
    22. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, vol. 104(1), pages 91-117, August.
    23. Kalyvitis, Sarantis C., 1997. "Evaluating the real effects of devaluation expectations in Greece under alternative policies," Economic Modelling, Elsevier, vol. 14(2), pages 215-236, April.
    24. Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37696, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    25. Frank Reinhardt & David Giles, 2001. "Are cigarette bans really good economic policy?," Applied Economics, Taylor & Francis Journals, vol. 33(11), pages 1365-1368.
    26. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Universite de Montreal, Departement de sciences economiques.
    27. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
    28. Julio César Alonso Cifuentes & Andrés Mauricio Arcila Vásquez & Sebastián Montenegro Arana, 2017. "Internal price stabilization tools in the Colombian sugar market: Do they work?," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 86, pages 105-126, Enero - J.
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    38. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
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    43. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
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    61. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
    62. C. Wernerheim & M. Waples, 2013. "Demand patterns and Canada’s trade in services," International Economics and Economic Policy, Springer, vol. 10(2), pages 159-181, June.
    63. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
    64. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
    65. Duffy, Martyn, 2003. "Advertising and food, drink and tobacco consumption in the United Kingdom: a dynamic demand system," Agricultural Economics, Blackwell, vol. 28(1), pages 51-70, January.
    66. Bohl, Martin T., 2000. "Nonstationary stochastic seasonality and the German M2 money demand function," European Economic Review, Elsevier, vol. 44(1), pages 61-70, January.
    67. Tomas del Barrio Castro, 2007. "Using the HEGY Procedure When Not All Roots Are Present," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 910-922, November.
    68. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
    69. Lee, Hahn Shik & Siklos, Pierre L., 1997. "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 381-391, September.
    70. William R. Bell & Eric Ghysels & Hahn Shik Lee, 1997. "Seasonal Time Series and Autocorrelation Function Estimation," CIRANO Working Papers 97s-35, CIRANO.
    71. Sandra G. Feltham & David E.A. Giles, 1999. "Testing for Unit Roots in Semi-Annual Data," Econometrics Working Papers 9912, Department of Economics, University of Victoria.
    72. Rotger, Gabriel Pons, "undated". "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, Department of Economics and Business Economics, Aarhus University.
    73. Kaili Shen & David E. Giles, 2005. "Rational Exuberance at the Mall: Addiction to Carrying a Credit Card Balance," Econometrics Working Papers 0508, Department of Economics, University of Victoria.
    74. Crowder, William J., 1996. "The international convergence of inflation rates during fixed and floating exchange rate regimes," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 551-575, August.
    75. Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society.
    76. Hernán Rincón, 1999. "Testing the Short-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia," Borradores de Economia 120, Banco de la Republica de Colombia.
    77. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    78. Stephen Leybourne & A. M. Robert Taylor, 2003. "Seasonal Unit Root Tests Based on Forward and Reverse Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 441-460, July.
    79. Robert Taylor, 2005. "On the limiting behaviour of augmented seasonal unit root tests," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-10.
    80. González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2023. "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS 37968, Universidad Carlos III de Madrid. Departamento de Estadística.
    81. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
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    87. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
    88. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
    89. Shipra Banik & Param Silvapulle, 1999. "Testing for Seasonal Stability in Unemployment Series: International Evidence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(2), pages 123-139, June.
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  30. Ghysels, Eric, 1993. "Editor's introduction : Seasonality and econometric models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 1-8.

    Cited by:

    1. Stefania D'Amico & Don H. Kim & Min Wei, 2014. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2014-24, Board of Governors of the Federal Reserve System (U.S.).
    2. Catalin Angelo IOAN & Gina IOAN, 2013. "The Open Society, Institutions and Economic Performance," EuroEconomica, Danubius University of Galati, issue 2(32), pages 175-180, September.
    3. Javed I. Ahmed, 2014. "Competition in Lending and Credit Ratings," Working Papers 14-01, Office of Financial Research, US Department of the Treasury.

  31. Ghysels, Eric & Lee, Hahn S & Siklos, Pierre L, 1993. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data," Empirical Economics, Springer, vol. 18(4), pages 747-760.
    See citations under working paper version above.
  32. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
    See citations under working paper version above.
  33. Ghysels, Eric & Hall, Alastair, 1990. "Testing nonnested Euler conditions with quadrature-based methods of approximation," Journal of Econometrics, Elsevier, vol. 46(3), pages 273-308, December.
    See citations under working paper version above.
  34. Ghysels, Eric, 1990. "Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 145-152, April.

    Cited by:

    1. David Rae, 1997. "A forward-looking model of aggregate consumption in New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 31(2), pages 199-220.
    2. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
    3. Holmes, Mark J. & Otero, Jesús, 2023. "Psychological price barriers, El Niño, La Niña: New insights for the case of coffee," Journal of Commodity Markets, Elsevier, vol. 31(C).
    4. Lastrapes, William D. & Selgin, George, 1995. "The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 387-404.
    5. Schlitzer, Giuseppe, 1995. "Testing the stationarity of economic time series: further Monte Carlo evidence," Ricerche Economiche, Elsevier, vol. 49(2), pages 125-144, June.
    6. Raimundo Soto M. & Matías Tapia G., 2000. "Seasonal Cointegration in Money Demand," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(3), pages 57-71, December.
    7. Francisco Nadal de Simone & Jose Tongzon, 1997. "Is there a business cycle in Singapore? Is there a Singaporean business cycle?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(1), pages 60-79, March.
    8. Ghysels, Eric & Miller, J. Isaac, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers 9654, C.E.P.R. Discussion Papers.
    9. Mª Ángeles Caraballo Pou & Carlos Dabús, 2005. "Nominal rigidities, relative prices and skewness," Economic Working Papers at Centro de Estudios Andaluces E2005/17, Centro de Estudios Andaluces.
    10. Muhd-Zulkhibri & A. Majid, 2005. "Modelling the Stability of Money Demand in Small Open Economy: The Case of Malaysia," The IUP Journal of Applied Economics, IUP Publications, vol. 0(2), pages 7-23, March.
    11. Apostolos Serletis, 1994. "Maximum likelihood cointegration tests of purchasing power parity: Evidence from seventeen OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 476-493, September.
    12. Ignacio Mauleón & Mª Mar Sánchez, 2000. "Fundamentals Of The Us And The Uk Interest Rates Under The Rational Expectation Scheme," Working Papers. Serie AD 2000-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    13. Choudhry, Taufiq, 1996. "Real stock prices and the long-run money demand function: evidence from Canada and the USA," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 1-17, February.
    14. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
    15. Caraballo Pou, M. Angeles & Dabus, Carlos, 2008. "Nominal rigidities, skewness and inflation regimes," Research in Economics, Elsevier, vol. 62(1), pages 16-33, March.
    16. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
    17. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
    18. Younes Zouhar & Abderrahman Kacemi, 2008. "Financial Liberalization and Money Demand in Morocco," Working Papers 389, Economic Research Forum, revised 01 Jan 2008.
    19. Josef Arlt, 2023. "The problem of annual inflation rate indicator," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2772-2788, July.
    20. Jan J.J. Groen, 1998. "The Monetary Exchange Rate Model as a Long-Run Phenomenon," Tinbergen Institute Discussion Papers 98-082/2, Tinbergen Institute.
    21. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
    22. Alexander Vosseler & Enzo Weber, 2017. "Bayesian analysis of periodic unit roots in the presence of a break," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3841-3862, August.
    23. Sriram, Subramanian S., 2002. "Determinants and stability of demand for M2 in Malaysia," Journal of Asian Economics, Elsevier, vol. 13(3), pages 337-356.
    24. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Working Papers 1320, Department of Applied Economics II, Universidad de Valencia.
    25. Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society.
    26. Hassler Uwe & Demetrescu Matei, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(4), pages 413-426, August.
    27. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
    28. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.
    29. Oleg Obrezkov, 2007. "Long range dependence and the purchasing power parity (in Russian)," Quantile, Quantile, issue 2, pages 131-140, March.
    30. Jesus Otero & Jeremy Smith, 2002. "Seasonal adjustment and cointegration," Borradores de Investigación 3483, Universidad del Rosario.
    31. Brendan O'Donovan & David Rae, 1997. "The determinants of house prices in New Zealand: An aggregate and regional analysis," New Zealand Economic Papers, Taylor & Francis Journals, vol. 31(2), pages 175-198.
    32. 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.
    33. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
    34. Choudhry, Taufiq, 1995. "High inflation rates and the long-run money demand function: Evidence from cointegration tests," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 77-91.
    35. Mendez Parra, Maximiliano, 2015. "Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina," MPRA Paper 63831, University Library of Munich, Germany, revised 06 Apr 2015.
    36. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile.

  35. Ghysels, Eric & Hall, Alastair, 1990. "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 355-364, May.
    See citations under working paper version above.
  36. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    3. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    4. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    5. Dimitris Hatzinikolaou, 1997. "Does government growth reduce precautionary saving?," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 419-423.
    6. Dimitris Hatzinikolaou & Pantelis Kammas, 2010. "Firing Restrictions, Government Growth, Immigration, and the NAIRU: Evidence from Fifteen OECD Countries," LABOUR, CEIS, vol. 24(4), pages 441-455, December.
    7. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
    8. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    9. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    10. Sungbae An & Yongsung Chang & Sun-Bin Kim, 2007. "Can a Representative Agent Model Represent a Heterogeneous Agent Economy?," Discussion Paper Series 0714, Institute of Economic Research, Korea University.
    11. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    12. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    13. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
    14. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    15. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    16. Elena Andreou, Eric Ghysels & Eric Ghysels & Andros Kourtellos, 2007. "Regression Models with Mixed Sampling Frequencies," University of Cyprus Working Papers in Economics 8-2007, University of Cyprus Department of Economics.
    17. Jason Cummins & R. Glenn Hubbard, 1995. "The Tax Sensitivity of Foreign Direct Investment: Evidence from Firm-Level Panel Data," NBER Chapters, in: The Effects of Taxation on Multinational Corporations, pages 123-152, National Bureau of Economic Research, Inc.
    18. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
    19. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany.
    20. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
    21. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
    22. Becker, Ralf, 1998. "Die verallgemeinerte Momentenmethode: Darstellung und Anwendung," Arbeitspapiere des Instituts für Statistik und Ökonometrie 16, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
    23. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
    24. Hatzinikolaou, Dimitris, 1999. "Modelling consumption: permanent-income or rule-of-thumb behaviour?," Economic Modelling, Elsevier, vol. 16(2), pages 293-306, April.
    25. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    26. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
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    Cited by:

    1. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis.
    2. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.

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