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 0 1 1,294 0 1 14 3,244
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 0 0 17 273
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 0 0 15 783
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 2 4 23 2,321
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 0 2 9 1,451
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 0 1 15 2,762
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 0 0 10 269
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 0 1 11 816
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 1 1 12 408
A time series model with periodic stochastic regime switching 0 0 0 264 0 1 19 1,075
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 0 1 9 199
Alternative Models for Stock Price Dynamic 0 0 0 441 1 3 25 1,424
Alternative Models for Stock Price Dynamics 0 0 0 909 2 2 23 2,738
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 0 1 19 3,946
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 1 2 9 119
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 0 1 10 436
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 0 0 6 1,564
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 0 0 7 50
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 0 396 0 0 11 1,323
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 1 1 9 762
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 1 15 3,187
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 2 2 10 229
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 22 209
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 0 14 643
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 0 0 7 216
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 1 1 2 94
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 2 2 4 94
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 0 63 3 6 14 99
Bayesian Inference for Periodic Regime-Switching Models 0 0 0 472 0 0 11 1,896
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences 0 0 0 143 1 1 23 207
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 0 0 6 206
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 0 0 7 328
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 2 2 10 163
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 0 0 9 289
Christmas, Spring and the Dawning of Economic Recovery 0 0 1 36 0 0 11 348
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 0 2 6 74
Derivatives Do Affect Mutual Funds Returns: How and When? 0 0 2 528 0 0 16 1,582
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 0 1 23 638
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 1 287 1 1 11 838
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 1 4 23 299
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 0 2 276 0 3 30 838
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 0 0 10 274
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 292 0 0 8 1,085
Emerging Markets and Trading Costs 0 0 0 367 0 1 13 1,279
Forecasting professional forecasters 0 1 2 204 1 3 19 490
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 0 1 103 2 4 13 172
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 2 4 18 5,814
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 0 0 8 120
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 0 1 9 397
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 0 0 14 1,936
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 0 0 8 520
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 1 2 8 290
Is There Stigma to Discount Window Borrowing? 0 0 0 23 0 0 13 36
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 0 0 6 246
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 0 0 9 123
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 1 1 4 263
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 0 11 1,538
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 1 1 23 478
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 3 14 911
Liquidity and volatility in the U.S. treasury market 0 0 0 128 4 5 21 377
Market Time and Asset Price Movements Theory and Estimation 0 1 1 610 0 2 20 2,265
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 0 13 400
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 1 23 257
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 0 67 0 1 26 395
Momentum Trading, Return Chasing and Predictable Crashes 0 0 0 25 3 4 22 172
Momentum Trading, Return Chasing, and Predictable Crashes 0 0 1 25 3 5 51 235
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 263 0 2 12 1,320
Monitoring for Disruptions in Financial Markets 0 1 1 161 2 4 11 493
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 0 0 4 244
Nominal Versus Real Seasonal Adjustment 0 0 0 0 0 0 6 100
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 0 1 456 1 1 14 2,525
Nonparametric Methods and Option Pricing 0 0 1 677 2 2 10 2,448
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 0 0 6 374
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 1 1 12 408
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 0 0 4 141
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 0 0 11 2,915
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 0 0 10 90
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 0 0 8 688
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 0 1 8 163
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 0 3 205
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 0 0 3 788
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 1 5 187
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 1 5 89
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 0 0 9 2,071
On Stable Factor Structurs in the Pricing of Risk 1 1 1 9 1 1 9 153
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 0 0 4 468
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 1 1 13 235
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 0 35 0 0 8 151
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 7 0 0 8 71
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 1 1 15 185
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 0 7 80
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 0 2 12 2,224
On the Economic and Econometrics of Seasonality 0 0 0 1 1 1 10 196
On the Periodic Structure of the Business Cycle 0 0 0 176 1 1 16 1,031
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 0 0 7 697
Periodic Autoregressive Conditional Heteroskedasticity 0 0 1 194 2 2 10 562
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 2 2 2 341 2 3 15 845
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 187 5 5 26 718
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 0 3 29 366
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 0 0 15 162
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 0 0 11 1,128
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 1 137 0 0 23 665
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 0 1 537 1 2 18 1,882
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 7 275
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 0 1 8 1,474
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 0 1 8 1,234
Seasonal Time Series and Autocorrelation Function Estimation 0 0 0 1,084 0 2 8 7,440
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 0 1 12 107
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 1 2 11 159
Simulation Based Inference in Moving Average Models 0 0 0 19 0 1 16 153
Simulation Based Inference in Moving Average Models 0 0 0 1 0 0 11 425
Simulation Based Inference in Moving Average Models 0 0 0 284 0 0 15 1,583
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 0 0 64 248
Stochastic Volatility 0 0 2 478 1 2 39 1,677
Stochastic Volatility 0 0 4 2,093 2 4 47 4,854
Stochastic Volatility 0 0 0 8 0 2 38 3,562
Stochastic Volatility 0 0 0 3 0 1 30 1,673
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 596 1 4 28 3,008
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 1 1 19 386
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 1 1 8 216
Structural Change Tests for Simulated Method of Moments 0 0 0 206 0 0 20 1,844
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 0 0 10 2,346
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 0 0 6 412
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 1 1 11 265
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 2 3 12 463
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 0 174 2 2 14 378
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 0 1 8 134
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 0 1 11 349
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 0 1 15 1,199
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 1 1 9 272
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 0 4 74
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 0 0 165 0 1 6 448
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 0 0 9 3,273
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 0 0 5 92
The Econometrics of Option Pricing 0 0 1 1,259 0 0 11 3,145
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 0 1 11 223
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 0 0 6 338
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 2 2 5 110
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 0 1 13 739
The MIDAS Touch: Mixed Data Sampling Regression Models 12 21 85 1,781 30 93 411 5,624
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 1 1 10 212
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 0 0 7 102
The low-frequency impact of daily monetary policy shocks 0 0 4 59 0 2 19 158
There is a Risk-Return Tradeoff After All 0 0 0 182 0 0 15 710
There is a Risk-Return Tradeoff After All 1 1 2 132 3 4 16 644
There is a Risk-Return Tradeoff After All 0 1 2 188 0 2 20 784
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 2 2 797 1 3 23 3,043
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 0 0 0 0 0 0 8 125
What Data Should Be Used to Price Options? 0 0 0 571 0 0 8 2,151
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 1 2 26 6,408
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 0 0 5 237
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 0 1 84
Total Working Papers 16 31 126 32,152 111 266 2,461 151,108

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 0 1 72 0 0 11 345
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 0 2 9 881
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 2 3 294 0 4 13 670
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 0 0 11 403
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 1 2 13 288
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 0 0 6 325
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 3 168
Bayesian inference for periodic regime-switching models 0 0 0 128 1 1 15 416
Changes in seasonal patterns: Are they cyclical? 0 0 1 90 0 1 11 390
Detecting multiple breaks in financial market volatility dynamics 0 0 2 340 1 3 23 957
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 9 223
Editor's introduction: Seasonality and econometric models 0 0 0 33 0 0 3 98
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 0 0 7 137
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 0 0 7 262
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 0 0 11 423
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 1 2 17 488
Interview with Christopher A. Sims 0 0 0 0 0 0 6 285
Interview with Lars Peter Hansen 0 0 0 0 0 0 6 565
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 0 7 601
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 1 5 197
Let's get "real" about using economic data 0 0 0 73 0 4 14 331
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 0 0 3 223
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 0 0 14 300
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 0 0 12 213
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 0 0 10 313
On the Periodic Structure of the Business Cycle 0 0 0 0 0 0 5 288
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 1 1 15 1,112
Predictive tests for structural change with unknown breakpoint 0 0 0 45 0 1 11 181
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 1 1 17 562
Seasonal Adjustment and Other Data Transformations 0 0 0 0 1 1 7 353
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 1 6 157
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 1 1 9 802
Stochastic volatility duration models 0 0 0 262 0 1 8 609
Structural change and asset pricing in emerging markets 0 0 0 90 0 0 8 328
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 0 1 236 1 4 12 592
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 22 1 1 7 108
The effect of linear filters on dynamic time series with structural change 0 0 0 61 0 0 7 285
The effect of seasonal adjustment filters on tests for a unit root 1 1 1 177 3 5 17 436
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 1 8 728
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 0 2 8 124
Total Journal Articles 1 3 9 2,817 13 40 391 16,167

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Statistics updated 2026-09-10