Ghysels, Eric
(as bibtex)
Elsewhere:
[math people]
[google]
[google scholar]
Books
Articles (63)
-
Zemlys, Vaidotas, Kvedaras, Virmantas, Ghysels, Eric.
Mixed Frequency Data Sampling Regression Models: The R Package midasr.
Journal of Statistical Software
2016.
72:1-35
-
Miller, J. Isaac, Ghysels, Eric.
Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series.
Journal of Time Series Analysis
2015.
36:797-816
-
Wang, Fangfang, Chen, Xilong, Ghysels, Eric.
HYBRID-GARCH: A generic class of models for volatility predictions using high frequency data.
Statistica Sinica
2015.
25:759-786
-
Ghysels, Eric, Renault, Eric.
The ET interview: Christian Gouriéroux and Alain Monfort.
Econometric Theory
2012.
28:889-914
-
Owyang, Michael T., Ghysels, Eric.
Discussion of “An approach for identifying and predicting economic recessions in real-time using time-frequency functional models”by Holan, Yang, Matteson, and Wikle‡.
Applied Stochastic Models in Business and Industry
2012.
28:500-501
-
Chen, Xilong, Ghysels, Eric, Wang, Fangfang.
HYBRID GARCH models and intra-daily return periodicity.
Journal of Time Series Econometrics
2011.
3:NA-NA
-
Ghysels, Eric, Wright, Jonathan H..
Forecasting Professional Forecasters.
Journal of Business & Economic Statistics
2009.
27:504-516
-
Andreou, Elena, Ghysels, Eric.
Quality control for structural credit risk models.
Journal of Econometrics
2008.
146:364-375
-
Andreou, Elena, Ghysels, Eric.
Sampling frequency and window length trade-offs in data-driven volatility estimation: Appraising the accuracy of asymptotic approximations.
-
Carrasco, Marine, Chernov, Mikhail, Florens, Jean-Pierre, Ghysels, Eric.
Efficient estimation of general dynamic models with a continuum of moment conditions.
Journal of Econometrics
2007.
140:529-573
-
Ghysels, Eric, Sinko, Arthur, Valkanov, Rossen.
MIDAS regressions: Further results and new directions.
Econometric Reviews
2007.
26:53-90
-
Swanson, Norman R., Elliott, Graham, Ghysels, Eric, Gonzalo, Jesus.
Editor's introduction -- Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W. J. Granger.
Journal of Econometrics
2006.
135:1-9
-
Ghysels, Eric, Sinko, Arthur.
Comment.
Journal of Business & Economic Statistics
2006.
24:192-194
-
Ghysels, Eric, Santa-Clara , Pedro, Valkanov, Rossen.
Predicting volatility: Getting the most out of return data sampled at different frequencies.
Journal of Econometrics
2006.
131:59-95
-
Andreou, Elena, Ghysels, Eric.
Monitoring disruptions in financial markets.
Journal of Econometrics
2006.
135:77-124
-
Ghysels, Eric, Hall, Alastair R..
Editors' report 2003.
Journal of Business & Economic Statistics
2004.
22:488-488
-
Ghysels, Eric, Guay, Alain.
Testing for structural change in the presence of auxiliary models.
Econometric Theory
2004.
20:1168-1202
-
Ghysels, Eric, Gouriéroux, Christian, Jasiak, Joann.
Stochastic volatility duration models.
Journal of Econometrics
2004.
119:413-433
-
Andreou, Elena, Ghysels, Eric.
The impact of sampling frequency and volatility estimators on change-point tests.
Journal of Financial Econometrics
2004.
2:290-318
-
Chernov, Mikhail, Gallant, A. Ronald, Ghysels, Eric, Tauchen, George.
Alternative models for stock price dynamics.
Journal of Econometrics
2003.
116:225-257
-
Andreou, Elena, Ghysels, Eric.
Tests for breaks in the conditional co-movements of asset returns.
Statistica Sinica
2003.
13:1045-1073
-
Ghysels, Eric, Guay, Alain.
Structural change tests for simulated method of moments.
Journal of Econometrics
2003.
115:91-123
-
Ghysels, Eric, Tauchen, George.
Frontiers of financial econometrics and financial engineering.
Journal of Econometrics
2003.
116:1-7
-
Ghysels, Eric, Hall, Alastair.
Editors introduction to twentieth anniversary commemorative issue of the Journal of Business and Economic Statistics.
Journal of Business & Economic Statistics
2002.
20:1-4
-
Ghysels, Eric, Hall, Alastair R.
Editors' introduction to JBES twentieth anniversary issue on the generalized method of moments.
Journal of Business & Economic Statistics
2002.
20:441-441
-
Andreou, Elena, Ghysels, Eric.
Detecting multiple breaks in financial market volatility dynamics.
Journal of Applied Econometrics
2002.
17:579-600
-
Andreou, Elena, Ghysels, Eric.
Rolling-sample volatility estimators: Some new theoretical, simulation and empirical results.
Journal of Business & Economic Statistics
2002.
20:363-376
-
Detemple, Jerome, Torres, Olivier, Broadie, Mark, Detemple, Jérôme, Ghysels, Eric, Torrés, Olivier.
American options with stochastic dividends and volatility: A nonparametric investigation.
Journal of Econometrics
2000.
94:53-92
-
Ghysels, Eric.
Time-series model with periodic stochastic regime switching -- Part I: Theory.
Macroeconomic Dynamics
2000.
4:467-486
-
Ghysels, Eric.
Some econometric recipes for high-frequency data cooking.
Journal of Business & Economic Statistics
2000.
18:154-163
-
Ghysels, Eric, McCulloch, Robert E., Tsay, Ruey S..
Bayesian inference for periodic regime-switching models.
Journal of Applied Econometrics
1998.
13:129-143
-
Ghysels, Eric.
Comment on ``New capabilities and methods of the X-12-ARIMA seasonal-adjustment program''.
Journal of Business & Economic Statistics
1998.
16:165-167
-
Ghysels, Eric, Jasiak, Joanna.
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model.
Studies in Nonlinear Dynamics and Econometrics
1998.
2:NA-NA
-
Gourieroux, Christian, Ghysels, Eric, Gouriéroux, Christian, Jasiak, Joanna.
Kernel autocorrelogram for time-deformed processes.
Journal of Statistical Planning and Inference
1998.
68:167-191
-
Ghysels, Eric, Guay, Alain, Hall, Alastair.
Predictive tests for structural change with unknown breakpoint (Corr: 1999V90 p337-343).
Journal of Econometrics
1998.
82:209-233
-
Ghysels, Eric.
On seasonality and business cycle durations: A nonparametric investigation.
Journal of Econometrics
1997.
79:269-290
-
Ghysels, Eric.
Seasonal adjustment and other data transformations.
Journal of Business & Economic Statistics
1997.
15:410-418
-
Torres, Olivier, Ghysels, Eric, Torrés, Olivier.
Nonparametric estimation of option pricing models.
-
Ghysels, Eric, Granger, Clive W. J., Siklos, Pierre L..
Is seasonal adjustment a linear or nonlinear data-filtering process? (Disc: p387-397).
Journal of Business & Economic Statistics
1996.
14:374-386
-
Ghysels, Eric, Hall, Alastair, Lee, Hahn Shik.
On periodic structures and testing for seasonal unit roots.
Journal of the American Statistical Association
1996.
91:1551-1559
-
Ghysels, Eric, Lieberman, Offer.
Dynamic regression and filtered data series -- A Laplace approximation to the effects of filtering in small samples.
Econometric Theory
1996.
12:432-457
-
Ghysels, Eric, Harvey, Andrew C., Renault, Eric.
Stochastic volatility.
-
Ghysels, Eric, Perron, Pierre.
The effect of linear filters on dynamic time series with structural change.
Journal of Econometrics
1996.
70:69-97
-
Bollerslev, Tim, Ghysels, Eric.
Periodic autoregressive conditional heteroscedasticity.
Journal of Business & Economic Statistics
1996.
14:139-152
-
Ghysels, Eric, Granger, Clive W. J., Siklos, Pierre L..
Reply to comments on ``Is seasonal adjustment a linear or nonlinear data-filtering process?''.
Journal of Business & Economic Statistics
1996.
14:396-397
-
Dufour, Jean-Marie, Ghysels, Eric.
Recent developments in the econometrics of structural change.
Journal of Econometrics
1996.
70:1-8
-
Campbell, Bryan, Ghysels, Eric.
Federal budget projections: A nonparametric assessment of bias and efficiency.
The Review of Economics and Statistics
1995.
77:17-31
-
Ghysels, Eric, Lee, Hahn S., Noh, Jaesum.
Testing for unit roots in seasonal time series. Some theoretical extensions and a Monte Carlo investigation.
Journal of Econometrics
1994.
62:415-442
-
Ghysels, Eric, Jasiak, Joanna.
Comment on ``Bayesian analysis of stochastic volatility models''.
Journal of Business & Economic Statistics
1994.
12:399-401
-
Ghysels, Eric.
On the periodic structure of the business cycle.
Journal of Business & Economic Statistics
1994.
12:289-298
-
Ghysels, Eric.
On seasonality and switching-regime models.
-
Ghysels, Eric.
On scoring asymmetric periodic probability models of turning-point forecasts.
Journal of Forecasting
1993.
12:227-238
-
Ghysels, Eric.
The ET interview: Professor Marc Nerlove.
Econometric Theory
1993.
9:117-143
-
Ghysels, Eric, Perron, Pierre.
The effect of seasonal adjustment filters on tests for a unit root (Disc: p99-103).
Journal of Econometrics
1993.
55:57-98
-
Ghysels, Eric.
A study toward a dynamic theory of seasonality for economic time series (Ref: JASA V83 p168-172).
-
Ghysels, Eric, Hall, Alastair.
A test for structural stability of Euler conditions parameters estimated via the generalized method of moments estimator.
International Economic Review
1990.
31:355-364
-
Ghysels, Eric, Hall, Alastair.
Testing nonnested Euler conditions with quadrature-based methods of approximation.
Journal of Econometrics
1990.
46:273-308
-
Ghysels, Eric, Hall, Alastair.
Are consumption-based intertemporal capital asset pricing models structural?.
Journal of Econometrics
1990.
45:121-139
-
Ghysels, Eric.
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
1990.
8:145-152
-
Ghysels, Eric.
A study toward a dynamic theory of seasonality for economic time series.
Journal of the American Statistical Association
1988.
83:168-172
-
Ghysels, Eric.
Non-stationarity and induced seasonality in inventories.
-
Ghysels, Eric.
Seasonal extraction in the presence of feedback.
Journal of Business & Economic Statistics
1987.
5:191-194
-
Ghysels, Eric.
Seasonal adjustment without too much a priori economic theory.