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 0 1,293 0 1 6 3,229
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 0 2 2 767
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 0 0 1 2,297
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 0 1 1 256
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 0 0 1 1,440
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 0 0 0 2,743
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 0 3 5 255
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 0 0 1 805
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 0 0 2 395
A time series model with periodic stochastic regime switching 0 0 1 264 0 1 3 1,056
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 0 1 1 190
Alternative Models for Stock Price Dynamic 0 0 0 441 0 2 4 1,398
Alternative Models for Stock Price Dynamics 0 0 1 909 0 2 8 2,713
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 1 3 12 3,926
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 0 2 2 426
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 0 1 1 1,558
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 0 2 2 110
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 0 0 0 43
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 3 396 0 0 4 1,312
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 0 0 1 753
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 0 1 3,172
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 0 2 219
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 1 4 628
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 1 2 187
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 0 0 0 91
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 0 0 0 208
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 0 0 1 90
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 0 63 0 0 1 82
Bayesian Inference for Periodic Regime-Switching Models 0 0 0 472 0 1 1 1,885
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences 0 0 0 142 0 2 6 183
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 0 0 2 200
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 0 1 2 321
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 0 2 3 279
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 0 1 1 153
Christmas, Spring and the Dawning of Economic Recovery 0 0 1 35 0 0 1 337
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 0 0 0 68
Derivatives Do Affect Mutual Funds Returns: How and When? 0 1 2 525 0 1 2 1,565
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 1 2 4 614
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 1 1 1 286 1 1 2 827
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 0 0 0 276
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 0 3 274 0 2 11 805
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 0 0 0 264
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 1 2 292 1 3 4 1,074
Emerging Markets and Trading Costs 0 0 0 367 1 1 2 1,265
Forecasting professional forecasters 0 0 0 202 0 1 5 471
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 0 2 102 0 0 8 157
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 2 1,392 1 1 5 5,795
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 0 1 1 112
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 0 1 1 384
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 0 1 1 1,922
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 0 1 1 512
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 0 1 1 282
Is There Stigma to Discount Window Borrowing? 0 0 0 23 0 0 0 22
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 0 1 1 237
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 0 1 1 113
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 0 1 1 259
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 0 1 1,526
Let's Get "Real" About Using Economic Data 0 0 0 146 0 1 2 523
Let's Get "Real" about Using Economic Data 0 0 0 95 1 2 2 455
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 2 2 896
Liquidity and volatility in the U.S. treasury market 0 0 1 124 1 1 5 350
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 0 2 5 2,244
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 1 3 387
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 0 3 234
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 1 1 67 1 2 6 369
Momentum Trading, Return Chasing and Predictable Crashes 0 0 2 25 0 2 6 149
Momentum Trading, Return Chasing, and Predictable Crashes 0 0 1 24 0 4 20 184
Monetary Policy Rules with Model and Data Uncertainty 0 0 1 263 0 0 1 1,306
Monitoring for Disruptions in Financial Markets 0 0 0 160 0 0 0 482
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 0 0 0 239
Nominal Versus Real Seasonal Adjustment 0 0 0 0 0 0 0 93
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 0 0 455 0 1 1 2,511
Nonparametric Methods and Option Pricing 0 0 0 676 0 0 5 2,437
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 0 2 2 368
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 0 0 1 396
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 0 0 0 137
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 0 0 1 2,904
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 0 0 0 680
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 0 1 1 154
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 0 1 1 79
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 0 0 202
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 0 0 0 783
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 1 1 182
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 1 2 84
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 0 0 1 2,061
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 0 1 1 464
On Stable Factor Structurs in the Pricing of Risk 0 0 0 8 0 1 1 143
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 0 2 2 222
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 1 1 34 0 2 2 142
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 0 0 0 0 135
On the Analysis of Business Cycles Through the Spectrum of Chronologies 1 1 1 7 2 4 4 63
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 1 1 73
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 0 0 0 2,212
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 1 2 170
On the Economic and Econometrics of Seasonality 0 0 0 1 0 0 2 185
On the Periodic Structure of the Business Cycle 0 1 2 176 0 1 2 1,014
Periodic Autoregressive Conditional Heteroskedasticity 0 0 1 193 0 1 2 551
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 1 2 688
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 1 2 339 0 2 4 829
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 187 0 1 8 689
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 0 1 1 335
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 0 1 1 1,117
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 0 1 1 147
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 0 136 0 2 4 642
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 0 1 535 0 0 1 1,862
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 2 267
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 0 0 1 1,466
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 0 1 3 1,223
Seasonal Time Series and Autocorrelation Function Estimation 0 0 0 1,084 0 1 3 7,432
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 0 0 0 95
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 0 0 1 148
Simulation Based Inference in Moving Average Models 0 0 0 284 0 0 2 1,568
Simulation Based Inference in Moving Average Models 0 0 0 19 0 1 2 137
Simulation Based Inference in Moving Average Models 0 0 0 1 0 1 1 413
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 0 0 0 183
Stochastic Volatility 2 3 6 2,086 2 7 17 4,800
Stochastic Volatility 0 0 0 8 5 8 34 3,518
Stochastic Volatility 2 3 7 475 3 5 16 1,636
Stochastic Volatility 0 0 0 3 0 1 9 1,642
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 592 0 1 4 2,978
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 0 1 7 362
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 0 1 1 208
Structural Change Tests for Simulated Method of Moments 0 0 0 205 0 1 4 1,822
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 0 1 1 2,335
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 0 0 1 406
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 0 1 1 253
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 0 1 2 451
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 1 174 0 0 1 363
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 0 0 0 126
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 0 0 0 1,181
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 0 0 0 337
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 0 0 263
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 0 0 70
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 0 0 165 0 1 1 442
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 0 0 0 3,263
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 0 0 2 87
The Econometrics of Option Pricing 0 0 0 1,257 1 1 3 3,130
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 0 1 2 331
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 0 1 1 212
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 0 2 2 105
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 0 0 1 725
The MIDAS Touch: Mixed Data Sampling Regression Models 9 14 57 1,671 25 51 256 5,114
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 0 0 201
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 0 0 1 95
The low-frequency impact of daily monetary policy shocks 0 0 2 55 1 1 6 139
There is a Risk-Return Tradeoff After All 0 0 0 182 0 1 3 692
There is a Risk-Return Tradeoff After All 0 0 0 186 0 2 4 764
There is a Risk-Return Tradeoff After All 0 0 1 130 0 1 3 628
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 0 0 2 3,020
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 1 117
What Data Should Be Used to Price Options? 0 0 0 571 0 0 0 2,143
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 0 1 1 6,382
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 0 0 0 231
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 0 1 83
Total Working Papers 15 28 108 31,985 49 192 651 148,416


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 1 1 2 333
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 0 0 1 872
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 2 3 10 290 3 6 23 650
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 0 3 6 391
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 0 0 0 273
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 0 0 2 319
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 2 2 164
Bayesian inference for periodic regime-switching models 0 0 0 128 0 0 1 400
Changes in seasonal patterns: Are they cyclical? 1 1 1 89 1 1 2 377
Detecting multiple breaks in financial market volatility dynamics 1 1 1 338 1 1 2 931
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 1 214
Editor's introduction: Seasonality and econometric models 0 0 0 33 0 0 1 94
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 0 0 4 127
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 0 0 0 255
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 0 0 0 412
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 0 1 2 467
Interview with Christopher A. Sims 0 0 0 0 0 0 2 279
Interview with Lars Peter Hansen 0 0 0 0 0 2 2 559
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 2 3 592
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 0 1 191
Let's get "real" about using economic data 0 1 1 73 0 2 2 316
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 0 1 1 220
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 0 1 4 285
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 0 0 0 200
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 0 0 0 302
On the Periodic Structure of the Business Cycle 0 0 0 0 0 1 2 281
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 1 2 12 1,093
Predictive tests for structural change with unknown breakpoint 0 0 0 45 0 1 2 169
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 1 2 5 544
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 1 345
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 0 0 150
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 0 0 0 793
Stochastic volatility duration models 0 1 2 262 0 2 6 599
Structural change and asset pricing in emerging markets 0 0 0 88 0 1 1 318
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 0 0 234 0 0 2 578
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 1 1 2 275
The effect of seasonal adjustment filters on tests for a unit root 0 0 1 175 0 1 4 418
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 0 1 719
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 0 0 1 116
Total Journal Articles 4 7 16 2,803 9 34 103 15,722


Statistics updated 2025-05-12