Access Statistics for Eric Ghysels

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation 6 27 89 1,169 13 54 215 2,874
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 4 9 42 686
A Semi-Parametric Factor Model for Interest Rates 1 2 14 329 5 10 67 2,173
A Semi-Parametric Factor Model for Interest Rates 0 0 3 4 0 1 13 196
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 3 5 348 0 5 17 1,338
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 1 7 280 2 7 36 1,762
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 1 5 27 89
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 2 19 90 568
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 4 8 23 270
A time series model with periodic stochastic regime switching 6 18 51 101 16 38 116 489
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 0 1 2 157
Alternative Models for Stock Price Dynamic 2 11 31 368 8 25 98 1,012
Alternative Models for Stock Price Dynamics 3 23 73 788 15 74 253 2,220
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 1 9 51 820 7 35 183 3,540
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 6 11 23 334
An Empirical Analysis of the Canadian Budget Process 1 5 15 247 5 16 54 1,474
An Empirical Analysis of the Canadian Budget Process 1 1 4 7 1 2 7 53
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 0 1 4 21
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 2 14 60 315 8 35 207 1,036
Approximating the probability distribution of functions of random variables: A new approach 2 13 26 165 7 27 61 544
Arbitrage Based Pricing When Volatility Is Stochastic 1 3 19 705 3 12 79 3,032
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 1 12 0 0 8 166
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 3 4 0 2 14 132
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 3 48 542
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 1 3 7 49
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 1 1 2 131
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 0 0 2 39
Bayesian Inference for Periodic Regime-Switching Models 2 5 27 424 5 15 65 1,706
Changes in Seasonal Patters: Are They Cyclical 0 5 10 18 2 10 33 110
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 0 7 23 243
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 1 1 11 92
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 2 2 7 224
Christmas, Spring and the Dawning of Economic Recovery 0 0 6 14 2 5 40 187
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 0 0 0 34
Derivatives Do Affect Mutual Funds Returns: How and When? 1 7 48 466 7 26 190 1,354
Detecting Multiple Breaks in Financial Market Volatility Dynamics 1 5 19 132 5 16 48 316
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 2 5 24 242 5 13 56 645
Do Heterogeneous Beliefs Matter for Asset Pricing? 4 8 17 129 5 18 49 300
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 2 9 18 223
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 5 29 259 7 18 84 880
Emerging Markets and Trading Costs 2 6 12 348 5 12 44 1,124
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 6 24 80 1,129 38 110 333 4,945
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 1 1 6 63
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 0 0 2 298
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 2 5 19 376 5 18 65 1,621
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 7 10 1 2 26 142
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 3 11 31 381
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 0 1 1 166
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 2 5 12 61
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 0 6 19 147
Kernel Autocorrelogram for Time Deformed Processes 1 2 7 148 3 8 38 1,434
Let's Get "Real" About Using Economic Data 0 1 4 123 3 7 25 393
Let's Get "Real" about Using Economic Data 1 2 6 58 2 4 18 278
Let's Get "Real" about Using Economic Data 1 1 3 153 3 8 22 828
Market Time and Asset Price Movements Theory and Estimation 3 8 33 548 7 22 82 2,055
Market Time and Asset Price Movements: Theory and Estimation 0 4 13 14 0 4 22 151
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 14 40 271
Monetary Policy Rules with Model and Data Uncertainty 3 7 21 218 4 18 71 1,131
Monitoring for Disruptions in Financial Markets 1 2 5 138 2 5 20 372
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 1 2 4 198
Nominal Versus Real Seasonal Adjustment 0 0 0 0 0 1 2 34
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 1 3 11 430 7 20 77 2,325
Nonparametric Methods and Option Pricing 1 2 16 627 2 6 38 2,278
Nonparametric methods and option pricing 0 0 0 1 1 1 12 583
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 4 9 25 319
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 0 1 13 282
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 0 4 14 91
On Periodic Autogressive Conditional Heteroskedasticity 1 11 34 926 6 20 69 2,685
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 1 2 4 111
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 1 0 0 3 43
On Periodic Structures and Testing for Seasonal Unit Roots 0 2 4 62 0 3 15 622
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 1 2 14 155
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 3 5 25 201 8 20 113 693
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 0 2 139
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 0 10 42
On Stable Factor Structures in the Pricing of Risk 0 3 10 409 0 7 47 1,899
On Stable Factor Structurs in the Pricing of Risk 0 1 3 5 0 3 13 85
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 3 11 36 361
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 0 1 6 171
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 1 6 14 0 2 16 79
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 0 1 2 6 107
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 1 1 1 1 3 28
On the Dynamic Specification of International Asset Pricing Models 1 7 19 523 4 18 63 2,095
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 3 6 131
On the Dynamic Specification of International Asset Pricing Models 0 0 1 1 0 2 7 30
On the Economic and Econometrics of Seasonality 0 0 0 1 1 4 22 87
On the Periodic Structure of the Business Cycle 2 5 29 87 5 15 82 403
Periodic Autoregressive Conditional Heteroskedasticity 6 13 41 56 7 18 63 242
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 10 38 517
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 1 3 17 238 2 10 55 529
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 2 6 75 4 16 32 245
Predictive Tests for Structural Change with Unknown Breakpoint 0 2 14 149 3 15 53 980
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 2 3 30 250
Predictive Tests for Structural Change with Unknown Breakpoint 0 2 5 6 0 3 18 58
Price Momentum In Stocks: Insights From Victorian Age Data 1 16 44 44 14 77 158 158
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 1 3 27 473 5 21 106 1,574
Seasonal Adjustment and Other Data Transformations 0 0 0 0 1 4 12 198
Seasonal Adjustment and Volatility Dynamics 2 7 23 325 10 34 122 1,156
Seasonal Nonstationarity and Near-Nonstationarity 0 2 18 274 3 8 47 1,078
Seasonal Time Series and Autocorrelation Function Estimation 8 36 113 853 42 170 602 5,760
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 0 1 5 46
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 0 1 9 74
Simulation Based Inference in Moving Average Models 0 2 8 8 0 2 15 85
Simulation Based Inference in Moving Average Models 0 1 16 264 1 3 43 1,469
Simulation Based Inference in Moving Average Models 0 0 0 1 2 7 37 299
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 1 2 7 30 4 9 24 112
Stochastic Volatility 3 14 67 108 4 22 104 829
Stochastic Volatility 3 13 75 1,817 6 30 126 4,103
Stochastic Volatility 0 0 0 3 1 10 63 1,058
Stochastic Volatility 0 0 0 8 4 22 145 2,305
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 6 54 441 7 34 158 2,516
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 1 4 18 185
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 1 3 8 10 1 5 15 79
Structural Change Tests for Simulated Method of Moments 0 0 7 187 2 6 35 1,689
Structural Change and Asset Pricing in Emerging Markets 0 8 21 515 4 22 73 2,148
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 3 3 10 354
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 2 3 9 199
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 3 8 27 301
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 1 11 152 1 7 30 273
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 0 4 16 74
Testing for Structural Change in the Presence of Auxiliary Models 0 1 5 172 7 29 81 921
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 56 0 2 13 291
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 1 3 5 44
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 3 6 216
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 1 4 154 3 7 31 338
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 7 31 222 1,028 15 79 677 2,905
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 0 1 6 31
The Econometrics of Option Pricing 8 33 108 971 16 68 261 2,317
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 2 9 12 0 3 23 87
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 2 3 21 216
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 1 2 9 60
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 3 7 17 166 8 17 58 575
The MIDAS Touch: Mixed Data Sampling Regression Models 11 28 98 333 19 62 244 1,087
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 2 6 10 168
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 0 1 2 54
There is a Risk-Return Tradeoff After All 1 5 11 85 3 19 50 308
There is a Risk-Return Tradeoff After All 1 1 12 121 3 12 62 417
There is a Risk-Return Tradeoff After All 0 1 9 102 2 6 37 461
There is a Risk-Return Tradeoff After All 0 6 19 105 0 16 58 312
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 4 10 65 668 8 36 177 2,567
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 0 0 0 0 1 5 9 50
What Data Should Be Used to Price Options? 1 3 13 551 3 8 47 1,991
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 1 6 23 395 35 111 315 4,217
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 2 3 11 172
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 1 7 37
Total Working Papers 129 543 2,198 24,863 550 2,055 8,439 113,963

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure 0 1 6 61 0 3 23 266
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 3 9 21 118 5 27 90 588
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 1 11 25 129 1 14 35 228
American options with stochastic dividends and volatility: A nonparametric investigation 0 1 17 90 1 2 38 208
An Empirical Analysis of the Canadian Budget Process 2 4 8 14 4 9 29 185
Are consumption-based intertemporal capital asset pricing models structural? 2 8 17 52 4 14 38 135
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 9 24 118
Bayesian inference for periodic regime-switching models 1 2 8 94 1 3 23 277
Changes in seasonal patterns: Are they cyclical? 1 4 18 65 1 10 55 253
Detecting multiple breaks in financial market volatility dynamics 4 8 28 216 7 19 52 518
Econometric methods for derivative securities and risk management 2 4 16 44 3 5 35 116
Editor's introduction: Seasonality and econometric models 0 0 3 17 0 2 8 48
Editors' introduction recent developments in the econometrics of structural change 0 0 3 13 0 0 6 64
Emerging markets and trading costs: lessons from Casablanca 2 5 7 43 3 7 20 135
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 1 4 14 51 2 6 42 255
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 2 10 49 266 5 22 117 661
Generalized Predictive Tests and Structural Change Analysis in Econometrics 3 5 9 66 4 7 31 362
Interview with Christopher A. Sims 0 0 0 0 2 7 14 202
Interview with Lars Peter Hansen 0 0 0 0 0 1 10 484
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 8 39 378
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 1 2 4 102
Let's get "real" about using economic data 2 3 7 45 4 6 14 162
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 0 1 4 172
Nonparametric estimation of American options' exercise boundaries and call prices 1 1 7 31 2 2 11 137
On seasonality and business cycle durations: A nonparametric investigation 2 2 7 31 2 4 17 140
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 1 2 11 239
On the Periodic Structure of the Business Cycle 0 0 0 0 0 7 25 176
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 7 21 59 748
Predictive tests for structural change with unknown breakpoint 0 2 6 27 0 3 17 77
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 3 5 39 374
Seasonal Adjustment and Other Data Transformations 0 0 0 0 2 4 21 277
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 2 5 111
Seasonal Time Series and Autocorrelation Function Estimation 2 12 46 278 20 60 228 1,604
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 5 14 68 598
Stochastic volatility duration models 2 5 22 169 5 14 48 344
Structural change and asset pricing in emerging markets 1 4 8 49 2 9 22 131
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 3 12 35 149 4 16 65 345
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 2 11 0 2 8 50
The effect of linear filters on dynamic time series with structural change 2 3 7 31 2 7 23 111
The effect of seasonal adjustment filters on tests for a unit root 6 13 21 82 7 18 38 177
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product 0 0 0 0 0 3 65 211
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 1 2 3 1 5 14 65
Total Journal Articles 45 134 419 2,245 111 382 1,535 11,832

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Statistics updated 2009-07-03