Ghysels, Eric

(as bibtex)

Elsewhere: [math people] [google] [google scholar]

Books

• The econometric analysis of seasonal time series (2001)
  Ghysels, Eric, Osborn, Denise R.

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.