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 2 1,288 0 0 8 3,204
A Semi-Parametric Factor Model for Interest Rates 0 0 0 9 2 3 7 250
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 1 3 12 759
A Semi-Parametric Factor Model for Interest Rates 0 0 1 346 3 4 12 2,285
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 1 2 13 1,432
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 0 0 7 2,735
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 2 3 18 232
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 2 2 13 792
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 1 2 16 378
A time series model with periodic stochastic regime switching 0 2 4 258 0 3 12 1,030
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 0 0 3 185
Alternative Models for Stock Price Dynamic 0 0 2 439 0 2 18 1,376
Alternative Models for Stock Price Dynamics 1 1 2 904 2 2 22 2,686
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 1 900 0 1 12 3,895
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 3 4 8 105
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 1 2 7 1,555
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 0 1 6 421
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 0 0 3 41
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 0 391 0 0 10 1,291
Approximating the probability distribution of functions of random variables: A new approach 0 1 2 227 1 2 15 733
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 730 1 1 12 3,157
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 1 1 4 210
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 1 1 4 181
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 0 7 616
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 1 1 5 88
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 1 1 8 202
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 1 2 11 86
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 1 59 0 5 15 63
Bayesian Inference for Periodic Regime-Switching Models 0 1 1 467 0 2 8 1,867
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences 0 0 1 139 6 8 20 159
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 1 1 1 192
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 0 0 2 316
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 0 1 4 151
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 2 2 6 265
Christmas, Spring and the Dawning of Economic Recovery 0 0 0 33 0 0 4 324
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 1 2 6 64
Derivatives Do Affect Mutual Funds Returns: How and When? 0 0 3 521 0 3 10 1,557
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 198 2 3 21 597
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 0 285 1 1 9 810
Discount window stigma during the 2007-2008 financial crisis 0 0 3 68 2 3 13 260
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 0 3 259 4 11 38 680
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 1 1 4 262
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 290 0 1 17 1,061
Emerging Markets and Trading Costs 0 0 0 366 0 0 8 1,258
Forecasting professional forecasters 0 0 0 186 0 0 7 425
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 0 6 97 1 5 20 132
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 5 1,385 1 1 18 5,764
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 3 3 8 374
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 0 0 4 109
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 1 4 444 3 4 14 1,897
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 2 2 13 506
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 1 33 0 0 12 275
Is There Stigma to Discount Window Borrowing? 0 2 21 21 1 3 7 7
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 1 1 8 227
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 1 1 8 109
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 1 1 4 255
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 164 0 0 5 1,521
Let's Get "Real" About Using Economic Data 0 0 0 145 0 1 8 516
Let's Get "Real" about Using Economic Data 0 1 1 95 1 2 6 445
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 2 4 891
Liquidity and volatility in the U.S. treasury market 0 6 18 109 3 12 46 289
Market Time and Asset Price Movements Theory and Estimation 0 0 1 606 0 0 6 2,226
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 0 6 375
Market Time and Asset Price Movements: Theory and Estimation 0 0 1 30 0 1 7 213
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 3 62 0 2 17 339
Momentum Trading, Return Chasing and Predictable Crashes 0 0 2 22 0 1 22 114
Momentum Trading, Return Chasing, and Predictable Crashes 0 0 1 19 3 4 17 112
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 258 0 1 12 1,287
Monitoring for Disruptions in Financial Markets 0 0 0 157 1 1 5 470
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 0 3 9 238
Nominal Versus Real Seasonal Adjustment 0 0 0 0 1 5 10 92
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 0 1 455 0 0 15 2,500
Nonparametric Methods and Option Pricing 0 0 1 669 2 2 7 2,411
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 0 0 3 366
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 1 2 10 386
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 1 3 7 135
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 987 0 0 3 2,893
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 1 1 5 680
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 1 2 5 76
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 0 0 2 150
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 0 4 202
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 222 0 0 3 776
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 2 3 8 181
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 1 8 82
On Stable Factor Structures in the Pricing of Risk 0 0 1 435 1 2 20 2,046
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 1 1 17 457
On Stable Factor Structurs in the Pricing of Risk 0 0 0 8 0 0 5 129
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 2 2 6 217
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 1 33 2 2 5 132
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 6 1 2 5 56
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 0 0 0 6 133
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 0 0 3 2,209
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 0 4 165
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 0 5 70
On the Economic and Econometrics of Seasonality 0 0 0 1 3 5 9 172
On the Periodic Structure of the Business Cycle 0 0 3 170 1 2 19 976
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 4 14 662
Periodic Autoregressive Conditional Heteroskedasticity 0 0 1 187 0 2 18 514
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 181 0 1 8 636
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 4 318 2 3 21 762
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 1 2 13 325
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 172 1 1 10 1,107
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 0 3 12 136
Price Momentum In Stocks: Insights From Victorian Age Data 1 1 1 129 3 11 30 569
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 0 0 531 1 3 9 1,837
Seasonal Adjustment and Other Data Transformations 0 0 0 0 1 2 7 259
Seasonal Adjustment and Volatility Dynamics 0 0 1 386 2 2 11 1,457
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 309 0 1 5 1,208
Seasonal Time Series and Autocorrelation Function Estimation 0 0 2 1,080 0 1 24 7,404
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 1 3 4 86
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 1 2 9 145
Simulation Based Inference in Moving Average Models 0 0 0 1 0 0 5 404
Simulation Based Inference in Moving Average Models 0 0 0 19 0 0 3 134
Simulation Based Inference in Moving Average Models 0 0 0 284 0 0 4 1,563
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 1 42 1 1 3 180
Stochastic Volatility 1 5 17 2,063 4 15 55 4,705
Stochastic Volatility 0 0 0 8 9 37 146 3,299
Stochastic Volatility 2 8 24 436 7 20 72 1,533
Stochastic Volatility 0 0 0 3 3 11 36 1,605
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 1 2 5 578 2 5 21 2,936
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 3 9 17 310
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 1 35 0 1 21 196
Structural Change Tests for Simulated Method of Moments 0 0 0 205 2 2 9 1,807
Structural Change and Asset Pricing in Emerging Markets 0 1 3 564 0 1 11 2,324
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 1 1 8 397
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 2 3 10 247
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 0 3 13 442
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 1 173 0 2 12 359
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 0 0 5 123
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 0 0 7 333
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 0 0 14 1,173
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 2 3 6 68
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 1 1 8 259
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 1 1 164 2 3 12 437
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 2 1,127 0 0 10 3,249
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 0 2 13 69
The Econometrics of Option Pricing 0 0 1 1,252 1 7 23 3,078
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 0 1 6 147
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 1 2 9 299
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 0 2 9 99
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 1 1 199 1 2 9 707
The MIDAS Touch: Mixed Data Sampling Regression Models 10 55 118 1,183 28 122 364 3,401
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 0 4 200
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 1 1 4 91
The low-frequency impact of daily monetary policy shocks 0 1 6 51 0 1 8 122
There is a Risk-Return Tradeoff After All 0 0 1 126 2 7 18 592
There is a Risk-Return Tradeoff After All 0 1 2 183 2 7 20 678
There is a Risk-Return Tradeoff After All 0 0 5 165 3 7 31 620
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 1 3 788 1 3 18 2,996
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 1 107
What Data Should Be Used to Price Options? 0 0 0 570 1 1 9 2,133
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 2 4 483 26 73 170 5,775
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 1 1 6 228
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 1 1 7 81
Total Working Papers 16 94 302 31,124 210 572 2,378 143,232


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 0 71 0 0 3 329
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 1 159 0 0 3 867
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 2 8 246 1 5 25 530
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 119 0 0 10 369
An Empirical Analysis of the Canadian Budget Process 0 0 0 28 1 2 6 267
Are consumption-based intertemporal capital asset pricing models structural? 0 0 1 102 0 2 4 297
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 7 154
Bayesian inference for periodic regime-switching models 0 0 0 128 0 0 1 393
Changes in seasonal patterns: Are they cyclical? 0 0 0 86 1 2 7 364
Detecting multiple breaks in financial market volatility dynamics 0 0 6 329 2 4 23 900
Econometric methods for derivative securities and risk management 0 0 0 82 1 1 5 205
Editor's introduction: Seasonality and econometric models 0 0 0 31 0 1 2 88
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 1 1 4 121
Emerging markets and trading costs: lessons from Casablanca 0 0 0 70 0 0 4 244
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 1 99 0 1 8 388
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 83 2 2 14 449
Interview with Christopher A. Sims 0 0 0 0 0 1 4 272
Interview with Lars Peter Hansen 0 0 0 0 0 0 2 553
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 0 12 579
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 1 9 183
Let's get "real" about using economic data 0 0 0 69 1 3 7 292
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 0 0 3 213
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 0 0 10 274
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 0 0 2 198
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 0 0 3 295
On the Periodic Structure of the Business Cycle 0 0 0 0 0 0 4 260
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 0 4 29 1,023
Predictive tests for structural change with unknown breakpoint 0 0 0 44 0 1 11 159
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 0 2 8 530
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 5 341
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 1 5 149
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 0 1 4 786
Stochastic volatility duration models 0 0 1 255 1 1 9 571
Structural change and asset pricing in emerging markets 0 1 2 85 0 2 11 289
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 0 0 225 0 0 4 552
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 20 0 0 5 96
The effect of linear filters on dynamic time series with structural change 0 0 1 60 0 1 9 254
The effect of seasonal adjustment filters on tests for a unit root 1 1 4 171 2 4 14 396
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product 0 0 0 0 1 1 3 714
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 0 0 1 114
Total Journal Articles 1 4 25 2,689 14 44 300 15,058
1 registered items for which data could not be found


Statistics updated 2020-09-04