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 0 1 1 1,294 3 7 9 3,237
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 3 6 7 2,304
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 2 6 7 262
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 2 6 9 774
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 0 0 3 1,442
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 2 4 8 2,751
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 0 2 9 261
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 2 3 3 808
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 3 3 5 399
A time series model with periodic stochastic regime switching 0 0 1 264 4 9 11 1,065
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 1 3 5 194
Alternative Models for Stock Price Dynamic 0 0 0 441 1 3 6 1,402
Alternative Models for Stock Price Dynamics 0 0 0 909 2 10 14 2,725
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 3 6 12 3,934
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 3 3 5 113
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 0 1 3 427
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 1 2 3 1,560
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 1 1 1 44
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 1 396 4 6 7 1,318
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 1 2 2 755
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 4 5 6 3,177
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 3 4 5 223
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 1 4 7 633
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 2 3 5 190
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 2 2 3 211
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 1 1 2 93
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 0 0 0 90
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 0 63 2 3 7 89
Bayesian Inference for Periodic Regime-Switching Models 0 0 0 472 3 3 4 1,888
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences 0 0 1 143 0 3 8 188
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 1 3 5 324
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 1 1 3 202
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 3 6 9 286
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 1 1 2 154
Christmas, Spring and the Dawning of Economic Recovery 0 1 1 36 3 4 4 341
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 1 1 1 69
Derivatives Do Affect Mutual Funds Returns: How and When? 0 0 2 526 5 6 8 1,572
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 0 0 3 615
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 1 286 1 3 5 830
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 2 3 4 280
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 1 1 275 3 7 12 815
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 3 4 4 268
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 1 292 1 3 9 1,080
Emerging Markets and Trading Costs 0 0 0 367 1 4 6 1,270
Forecasting professional forecasters 0 1 1 203 1 5 6 476
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 0 0 102 0 1 4 160
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 1 2 1,393 1 8 12 5,804
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 4 6 11 394
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 1 4 5 116
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 1 2 3 1,924
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 1 1 2 513
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 1 1 2 283
Is There Stigma to Discount Window Borrowing? 0 0 0 23 2 5 6 28
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 1 3 7 243
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 0 1 3 115
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 1 2 3 261
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 1 3 1,528
Let's Get "Real" About Using Economic Data 0 0 0 146 2 5 7 528
Let's Get "Real" about Using Economic Data 0 0 0 95 0 3 5 458
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 2 5 899
Liquidity and volatility in the U.S. treasury market 0 0 4 128 1 5 13 362
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 2 6 11 2,251
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 3 4 5 238
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 4 5 391
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 1 67 2 9 11 378
Momentum Trading, Return Chasing and Predictable Crashes 0 0 0 25 4 9 13 160
Momentum Trading, Return Chasing, and Predictable Crashes 0 0 0 24 10 18 24 202
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 263 1 3 5 1,311
Monitoring for Disruptions in Financial Markets 0 0 0 160 0 2 3 485
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 0 1 2 241
Nominal Versus Real Seasonal Adjustment 0 0 0 0 0 0 1 94
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 0 0 455 0 5 6 2,516
Nonparametric Methods and Option Pricing 0 0 1 677 0 1 3 2,440
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 1 2 4 370
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 2 2 2 398
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 1 1 1 138
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 2 4 5 2,908
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 1 1 1 681
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 2 2 4 82
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 0 0 2 155
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 1 2 2 204
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 0 2 4 787
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 0 1 84
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 0 1 182
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 3 3 4 2,065
On Stable Factor Structurs in the Pricing of Risk 0 0 0 8 1 2 4 146
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 1 1 2 465
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 2 5 7 227
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 2 35 1 4 7 147
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 1 7 1 1 5 64
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 0 0 0 0 135
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 5 6 7 176
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 1 4 76
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 3 3 3 2,215
On the Economic and Econometrics of Seasonality 0 0 0 1 3 3 5 189
On the Periodic Structure of the Business Cycle 0 0 1 176 1 4 6 1,019
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 3 4 7 694
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 193 1 5 7 557
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 1 339 0 4 7 834
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 187 1 2 7 694
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 5 6 7 153
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 1 1 2 1,118
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 0 1 4 338
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 1 137 3 12 16 655
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 0 1 536 3 8 10 1,872
Seasonal Adjustment and Other Data Transformations 0 0 0 0 1 2 3 270
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 1 2 2 1,468
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 0 1 6 1,227
Seasonal Time Series and Autocorrelation Function Estimation 0 0 0 1,084 1 2 4 7,434
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 2 3 4 99
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 0 1 1 149
Simulation Based Inference in Moving Average Models 0 0 0 284 2 3 3 1,571
Simulation Based Inference in Moving Average Models 0 0 0 19 4 6 7 143
Simulation Based Inference in Moving Average Models 0 0 0 1 2 3 5 417
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 37 39 40 223
Stochastic Volatility 2 3 10 2,092 8 19 34 4,826
Stochastic Volatility 0 0 0 8 8 17 33 3,541
Stochastic Volatility 1 2 6 478 6 8 17 1,647
Stochastic Volatility 0 0 0 3 6 12 14 1,655
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 1 2 5 2,982
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 1 5 12 372
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 1 1 2 209
Structural Change Tests for Simulated Method of Moments 0 0 1 206 2 8 12 1,832
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 2 7 9 2,343
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 1 3 3 409
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 2 4 6 258
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 0 1 3 453
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 0 174 0 1 2 365
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 2 2 2 128
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 1 3 4 341
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 5 6 9 1,190
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 1 1 1 71
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 1 2 265
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 0 0 165 0 1 2 443
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 2 2 3 3,266
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 0 0 0 87
The Econometrics of Option Pricing 0 0 1 1,258 0 4 10 3,139
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 0 2 3 214
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 1 2 4 334
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 0 0 2 105
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 1 5 7 731
The MIDAS Touch: Mixed Data Sampling Regression Models 9 23 70 1,724 50 112 307 5,352
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 1 3 4 205
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 2 2 2 97
The low-frequency impact of daily monetary policy shocks 1 2 2 57 3 8 9 147
There is a Risk-Return Tradeoff After All 0 1 1 187 2 7 9 771
There is a Risk-Return Tradeoff After All 0 0 0 182 3 7 13 703
There is a Risk-Return Tradeoff After All 0 0 0 130 0 1 2 629
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 1 3 5 3,023
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 0 0 0 0 1 1 1 118
What Data Should Be Used to Price Options? 0 0 0 571 1 1 1 2,144
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 4 10 11 6,392
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 2 2 3 234
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 0 0 83
Total Working Papers 13 36 119 32,069 343 702 1,228 149,395

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 1 72 0 3 5 337
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 0 1 1 873
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 0 7 292 4 6 23 664
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 1 1 7 394
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 0 0 2 275
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 1 2 2 321
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 4 166
Bayesian inference for periodic regime-switching models 0 0 0 128 0 3 4 404
Changes in seasonal patterns: Are they cyclical? 0 0 1 89 3 5 8 384
Detecting multiple breaks in financial market volatility dynamics 0 0 1 338 3 7 11 941
Econometric methods for derivative securities and risk management 0 0 0 84 0 1 1 215
Editor's introduction: Seasonality and econometric models 0 0 0 33 0 0 1 95
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 1 1 5 131
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 1 2 2 257
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 1 4 4 416
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 4 6 11 477
Interview with Christopher A. Sims 0 0 0 0 2 2 3 281
Interview with Lars Peter Hansen 0 0 0 0 4 4 6 563
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 1 2 6 596
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 0 2 192
Let's get "real" about using economic data 0 0 1 73 1 3 6 320
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 0 0 1 220
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 1 3 6 289
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 1 2 3 203
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 2 6 7 309
On the Periodic Structure of the Business Cycle 0 0 0 0 0 2 5 285
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 1 5 17 1,104
Predictive tests for structural change with unknown breakpoint 0 0 0 45 4 6 8 176
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 1 5 9 550
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 1 346
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 1 2 152
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 2 3 3 796
Stochastic volatility duration models 0 0 1 262 1 2 7 603
Structural change and asset pricing in emerging markets 0 0 2 90 3 3 6 323
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 1 2 236 2 7 9 587
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 22 0 0 0 101
The effect of linear filters on dynamic time series with structural change 0 0 0 61 2 4 9 282
The effect of seasonal adjustment filters on tests for a unit root 0 0 1 176 1 7 9 426
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 2 3 722
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 1 3 4 119
Total Journal Articles 0 2 17 2,811 49 115 223 15,895

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Statistics updated 2026-01-09