Eric Ghysels
Personal Details
First Name: | Eric |
Middle Name: | |
Last Name: | Ghysels |
Suffix: | |
RePEc Short-ID: | pgh7 |
| |
http://www.unc.edu/~eghysels | |
Terminal Degree: | 1985 Kellogg Graduate School of Management; Northwestern University (from RePEc Genealogy) |
Affiliation
Department of Economics
University of North Carolina-Chapel-Hill
Chapel Hill, North Carolina (United States)http://www.unc.edu/depts/econ/
RePEc:edi:deuncus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- 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.
- Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014.
"Momentum Trading, Return Chasing, and Predictable Crashes,"
NBER Working Papers
20660, National Bureau of Economic Research, Inc.
- 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.
- Ghysels, Eric & Jagannathan, Ravi & Chabot, Benjamin, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," CEPR Discussion Papers 10234, C.E.P.R. Discussion Papers.
- 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.
- Lucia Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon Potter, 2014. "Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 483-500, October.
- Onorante, Luca & Alessi, Lucia & Ghysels, Eric & Potter, Simon & Peach, Richard, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Working Paper Series 1688, European Central Bank.
- 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.
- Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
- 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.
- 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.
- 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.
- Armantier, Olivier & Ghysels, Eric & Sarkar, Asani & Shrader, Jeffrey, 2015. "Discount window stigma during the 2007–2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 118(2), pages 317-335.
- Olivier Armantier & Eric Ghysels & Asani Sarkar & Jeffrey Shrader, 2011. "Is There Stigma to Discount Window Borrowing?," Liberty Street Economics 20110831, Federal Reserve Bank of New York.
- 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.
- 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.
- 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.
- 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.).
- Ghysels, Eric & Wright, Jonathan H., 2009. "Forecasting Professional Forecasters," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 504-516.
- 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.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
- 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.
- Anders Eriksson & Lars Forsberg & Eric Ghysels, 2004. "Approximating the Probability Distribution of Functions of Random Variables: A New Approach," CIRANO Working Papers 2004s-21, CIRANO.
- Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
- Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004.
"Do Heterogeneous Beliefs Matter for Asset Pricing?,"
Econometric Society 2004 North American Summer Meetings
477, Econometric Society.
- Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models,"
CIRANO Working Papers
2004s-20, CIRANO.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
- Elena Andreou & Eric Ghysels, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,"
CIRANO Working Papers
2004s-25, CIRANO.
- Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
- 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.
- Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All,"
CIRANO Working Papers
2003s-26, CIRANO.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," NBER Working Papers 10913, National Bureau of Economic Research, Inc.
- 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.
- Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
- 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.
- Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
- Eric Ghysels & Alain Guay, 2001.
"Testing for Structural Change in the Presence of Auxiliary Models,"
Cahiers de recherche CREFE / CREFE Working Papers
133, CREFE, Université du Québec à Montréal.
- 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.
- Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.
- Elena Andreou & Eric Ghysels, 2001.
"Detecting Mutiple Breaks in Financial Market Volatility Dynamics,"
CIRANO Working Papers
2001s-65, CIRANO.
- 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.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
- Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO.
- Elena Andreou & Eric Ghysels, 2000.
"Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results,"
CIRANO Working Papers
2000s-19, CIRANO.
- 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.
- 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.
- 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.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, "undated". "Let's Get "Real" about Using Economic Data," EPRU Working Paper Series 01-15, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real"" about Using Economic Data"," CIRANO Working Papers 2001s-44, CIRANO.
- Eric Ghysels & Junghoon Seon, 2000. "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers 2000s-11, CIRANO.
- 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.
- Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
- Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
- Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
- 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.
- 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.
- Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO.
- Eric Ghysels & Alain Guay, 1998.
"Structural Change Tests for Simulated Method of Moments,"
CIRANO Working Papers
98s-19, CIRANO.
- Ghysels, Eric & Guay, Alain, 2003. "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
- Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Working Papers 98-37, Center for Research in Economics and Statistics.
- Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal.
- 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.
- Myles Callan & Eric Ghysels & Norman R. Swanson, 1998.
"Monetary Policy Rules with Model and Data Uncertainty,"
CIRANO Working Papers
98s-40, CIRANO.
- Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 239-265, October.
- William R. Bell & Eric Ghysels & Hahn Shik Lee, 1997.
"Seasonal Time Series and Autocorrelation Function Estimation,"
CIRANO Working Papers
97s-35, CIRANO.
- Hahn Shik Lee & Eric Ghysels & William R. Bell, 2002. "Seasonal Time Series and Autocorrelation Function Estimation," Manchester School, University of Manchester, vol. 70(5), pages 651-665, September.
- Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997.
"Nonparametric Methods and Option Pricing,"
CIRANO Working Papers
97s-19, CIRANO.
- 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).
- Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
- Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
- René Garcia & Eric Ghysels, 1996.
"Structural Change and Asset Pricing in Emerging Markets,"
CIRANO Working Papers
96s-34, CIRANO.
- 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.
- Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996.
"Arbitrage Based Pricing When Volatility Is Stochastic,"
CIRANO Working Papers
96s-20, CIRANO.
- Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Universite de Montreal, Departement de sciences economiques.
- Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996. "Arbitrage-Based Pricing When Volatility is Stochastic," Working Papers 977, California Institute of Technology, Division of the Humanities and Social Sciences.
- Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Serena Ng, 1996.
"A Semi-Parametric Factor Model for Interest Rates,"
CIRANO Working Papers
96s-18, CIRANO.
- Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
- 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.
- 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.
- Eric Ghysels & Alain Guay & Alastair Hall, 1995.
"Predictive Tests for Structural Change with Unknown Breakpoint,"
CIRANO Working Papers
95s-20, CIRANO.
- 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.
- Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995.
"Market Time and Asset Price Movements Theory and Estimation,"
CIRANO Working Papers
95s-32, CIRANO.
- 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.
- Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- René Garcia & Eric Ghysels & Maral Kichian, 1995.
"On the Dynamic Specification of International Asset Pricing Models,"
CIRANO Working Papers
95s-39, CIRANO.
- Kichian, M. & Garcia, R. & Ghysels, E., 1995. "On the Dynamic Specification of International Asset Pricing Models," Cahiers de recherche 9544, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Kichian, M. & Garcia, R. & Ghysels, E., 1995. "On the Dynamic Specification of International Asset Pricing Models," Cahiers de recherche 9544, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels, 1995.
"On Stable Factor Structures in the Pricing of Risk,"
CIRANO Working Papers
95s-16, CIRANO.
- Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995.
"Stochastic Volatility,"
CIRANO Working Papers
95s-49, CIRANO.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bryan Campbell & Eric Ghysels, 1995.
"An Empirical Analysis of the Canadian Budget Process,"
CIRANO Working Papers
95s-08, CIRANO.
- 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.
- Campbell, B. & Ghysels, E., 1995. "An Empirical Analysis of the Canadian Budget Process," Cahiers de recherche 9523, Universite de Montreal, Departement de sciences economiques.
- Campbell, B. & Ghysels, E., 1995. "An Empirical Analysis of the Canadian Budget Process," Cahiers de recherche 9523, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
- Eric Ghysels & Joann Jasiak, 1995.
"Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects,"
CIRANO Working Papers
95s-31, CIRANO.
- Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Universite de Montreal, Departement de sciences economiques.
- 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.
- Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995.
"On Periodic Structures and Testing for Seasonal Unit Roots,"
CIRANO Working Papers
95s-21, CIRANO.
- Ghysels, E. & Hall, A. & Lee, H.S., 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," Cahiers de recherche 9518, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Hall, A. & Lee, H.S., 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," Cahiers de recherche 9518, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Lynda Khalaf & Cosme Vodounou, 1994.
"Simulation Based Inference in Moving Average Models,"
CIRANO Working Papers
94s-11, CIRANO.
- Eric Ghysels & Lynda Khalaf & Cosmé Vodounou, 2003. "Simulation Based Inference In Moving Average Models," Annals of Economics and Statistics, GENES, issue 69, pages 85-99.
- Ghysels, E. & Khalaf, L. & Vodounou, C., 1995. "Simulation Based Inference in Moving Average Models," Cahiers de recherche 9513, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Khalaf, L. & Vodounou, C., 1995. "Simulation Based Inference in Moving Average Models," Cahiers de recherche 9513, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994.
"Bayesian Inference for Periodic Regime-Switching Models,"
CIRANO Working Papers
94s-15, CIRANO.
- 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.
- Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
- 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.
- 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.
- 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.
- 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.
- Ghysels, E. & Sarlan, H., 1994. "On the Analysis of Business Cycles Through the Spectrum of Chronologies," Cahiers de recherche 9416, Universite de Montreal, Departement de sciences economiques.
- Bollerslev, T. & Ghysels, E., 1994.
"Periodic Autoregressive Conditional Heteroskedasticity,"
Cahiers de recherche
9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E., 1993.
"Seasonal Adjustment and Other Data Transformations,"
Cahiers de recherche
9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-418, October.
- Eric Ghysels, 1993.
"A time series model with periodic stochastic regime switching,"
Discussion Paper / Institute for Empirical Macroeconomics
84, Federal Reserve Bank of Minneapolis.
- Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- Ghysels, E. & Hall, A., 1993. "On Periodic Time Series and Testing the Unit Root Hypothesis," Cahiers de recherche 9333, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- 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.
- 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," Working Papers 92008, Wilfrid Laurier University, Department of Economics.
- 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, Universite de Montreal, Departement de sciences economiques.
- Canova, F. & Ghysels, E., 1992.
"Changes in Seasonal Patters: Are They Cyclical,"
Cahiers de recherche
9216, Universite de Montreal, Departement de sciences economiques.
- 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.
- Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- Campbell, B. & Ghysels, E., 1992. "Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment," Cahiers de recherche 9217, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels, 1992.
"On the Periodic Structure of the Business Cycle,"
Cowles Foundation Discussion Papers
1028, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Eric Ghysels, 1992.
"Christmas, Spring and the Dawning of Economic Recovery,"
Cowles Foundation Discussion Papers
1027, Cowles Foundation for Research in Economics, Yale University.
- Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Universite de Montreal, Departement de sciences economiques.
- 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.
- Ghysels, E., 1991. "On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts," Cahiers de recherche 9130, Universite de Montreal, Departement de sciences economiques.
- 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.
- Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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, Universite de Montreal, Departement de sciences economiques.
- 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.
- Ghysels, E., 1990. "The Business Cycle, the Seasonal Cycle Or Just Any Cycle," Cahiers de recherche 9036, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E., 1990.
"On The Economic And Econometrics Of Seasonality,"
Cahiers de recherche
9028, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E., 1990. "On the Economic and Econometrics of Seasonality," Cahiers de recherche 9028, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Hall, A., 1990.
"An Extension Of Quadrature-Based Methods For Solving Euler Conditions,"
Cahiers de recherche
9029, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Hall, A., 1990. "An Extension of Quadrature-Based Methods for Solving Euler Conditions," Cahiers de recherche 9029, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Test For Unit Root," Cahiers de recherche 9037, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Perron, P., 1990. "The Effect of Seasonal Adjustment Filters on Test for Unit Root," Cahiers de recherche 9037, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Hall, A., 1989.
"On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency,"
Cahiers de recherche
8933, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Hall, A., 1989. "On Generalized Method Od Moments, Maximum Likelihood And Asymptotic Efficiency," Cahiers de recherche 8933, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- David, J.F. & Ghysels, E., 1989. "Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes?," Cahiers de recherche 8912, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Karangwa, E., 1988.
"Nominal Versus Real Seasonal Adjustment,"
Cahiers de recherche
8842, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Karangwa, E., 1989. "Nominal Versus Real Seasonal Adjustment," Cahiers de recherche 8842, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- 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.
- Ghysels, E. & Hall, A., 1987. "Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory," Cahiers de recherche 8724, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E., 1987. "The Political Economy of the Budget and Efficient Information Processing," Cahiers de recherche 8733, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- Ghysels, Eric & Nerlove, Marc, 1988. "Seasonality in surveys : A comparison of Belgian, French and German business tests," European Economic Review, Elsevier, vol. 32(1), pages 81-99, January.
- Ghysels, E. & Nerlove, M., 1986. "Seasonality in Surveys Evidence From the Belgian Business Tests," Cahiers de recherche 8613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E., 1986. "Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model," Cahiers de recherche 8623, Universite de Montreal, Departement de sciences economiques.
- 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.
- Ghysels, E., 1986. "Kalman Filter Seasonal Extraction Applied to Monetary Targeting," Cahiers de recherche 8611, Universite de Montreal, Departement de sciences economiques.
Articles
- Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004.
"Stochastic volatility duration models,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997. "Stochastic Volatility Duration Models," Working Papers 97-46, Center for Research in Economics and Statistics.
- 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.
- 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.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, "undated". "Let's Get "Real" about Using Economic Data," EPRU Working Paper Series 01-15, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real"" about Using Economic Data"," CIRANO Working Papers 2001s-44, CIRANO.
- 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.
- 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.
- 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.
- 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.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
- 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.
- Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
- 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.
- 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.
- 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.
- 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.
- Garcia, R. & Ghysels, E. & Renault, E., 2000. "Econometric methods for derivative securities and risk management," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 1-7.
- 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.
- 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.
- 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.
- Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Inference for Periodic Regime-Switching Models," CIRANO Working Papers 94s-15, CIRANO.
- 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.
- Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO.
- 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.
- 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.
- Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO.
- Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Universite de Montreal, Departement de sciences economiques.
- Ghysels, Eric, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 165-167, April.
- 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.
- René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.
- 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.
- Campbell, B. & Ghysels, E., 1995. "An Empirical Analysis of the Canadian Budget Process," Cahiers de recherche 9523, Universite de Montreal, Departement de sciences economiques.
- Campbell, B. & Ghysels, E., 1995. "An Empirical Analysis of the Canadian Budget Process," Cahiers de recherche 9523, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bryan Campbell & Eric Ghysels, 1995. "An Empirical Analysis of the Canadian Budget Process," CIRANO Working Papers 95s-08, CIRANO.
- Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
- Ghysels, Eric, 1997.
"Seasonal Adjustment and Other Data Transformations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-418, October.
- Ghysels, E., 1993. "Seasonal Adjustment and Other Data Transformations," Cahiers de recherche 9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques.
- 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.
- Bollerslev, Tim & Ghysels, Eric, 1996.
"Periodic Autoregressive Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
- Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Universite de Montreal, Departement de sciences economiques.
- 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.
- Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Universite de Montreal, Departement de sciences economiques.
- Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- 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.
- Ghysels, Eric, 1993. "Editor's introduction : Seasonality and econometric models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 1-8.
- 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.
- 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.
- 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," Working Papers 92008, Wilfrid Laurier University, Department of Economics.
- 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, Universite de Montreal, Departement de sciences economiques.
- 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.
- Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Test For Unit Root," Cahiers de recherche 9037, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- Ghysels, E. & Perron, P., 1990. "The Effect of Seasonal Adjustment Filters on Test for Unit Root," Cahiers de recherche 9037, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ghysels, Eric, 1987. "Seasonal Extraction in the Presence of Feedback," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 191-194, April.
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This author is among the top 5% authors according to these criteria:- Average Rank Score
- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Euclidian citation score
- Closeness measure in co-authorship network
- Betweenness measure in co-authorship network
- Wu-Index
- Record of graduates
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 33 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (15) 1999-01-18 1999-05-17 2000-06-05 2001-06-14 2001-10-09 2002-06-24 2003-05-22 2004-02-08 2004-05-16 2004-05-16 2004-05-16 2004-05-16 2004-05-16 2004-10-30 2006-04-29. Author is listed
- NEP-FIN: Finance (12) 2002-06-13 2002-06-24 2002-06-24 2003-06-16 2004-02-08 2004-05-16 2004-05-26 2004-05-26 2004-05-26 2004-05-26 2004-11-22 2004-12-02. Author is listed
- NEP-ETS: Econometric Time Series (10) 1999-05-17 2002-06-13 2002-06-24 2002-06-24 2003-04-27 2003-05-18 2004-02-08 2004-05-16 2004-05-16 2004-05-16. Author is listed
- NEP-FMK: Financial Markets (7) 2000-06-05 2002-06-13 2002-06-24 2002-06-24 2004-02-08 2004-05-16 2004-05-16. Author is listed
- NEP-CBA: Central Banking (5) 2006-04-29 2011-02-12 2011-04-02 2014-08-20 2015-12-12. Author is listed
- NEP-MON: Monetary Economics (5) 1999-01-11 2011-02-12 2011-04-02 2014-08-20 2020-02-17. Author is listed
- NEP-RMG: Risk Management (5) 2003-04-27 2003-06-16 2003-06-16 2004-02-08 2015-12-12. Author is listed
- NEP-IFN: International Finance (4) 2000-05-08 2001-12-19 2002-06-24 2003-05-18
- NEP-BAN: Banking (3) 2011-02-12 2013-01-07 2015-12-12
- NEP-FOR: Forecasting (3) 2006-04-29 2012-12-22 2014-08-20
- NEP-MAC: Macroeconomics (3) 2006-04-29 2011-04-02 2014-08-20
- NEP-MST: Market Microstructure (2) 2013-01-07 2015-12-12
- NEP-BEC: Business Economics (1) 2006-04-29
- NEP-CFN: Corporate Finance (1) 2004-02-08
- NEP-HIS: Business, Economic and Financial History (1) 2015-12-12
- NEP-HPE: History and Philosophy of Economics (1) 2014-08-20
- NEP-IAS: Insurance Economics (1) 2015-12-12
- NEP-PKE: Post Keynesian Economics (1) 1999-05-17
Corrections
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