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 0 11 3,244
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 1 1 14 784
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 1 1 17 274
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 1 4 23 2,323
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 3 3 17 2,765
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 3 3 12 1,454
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 3 3 13 272
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 1 1 12 817
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 2 3 14 410
A time series model with periodic stochastic regime switching 1 1 1 265 4 5 23 1,080
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 3 3 9 202
Alternative Models for Stock Price Dynamic 0 0 0 441 2 4 27 1,427
Alternative Models for Stock Price Dynamics 0 0 0 909 4 8 21 2,744
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 0 1 17 3,947
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 1 1 7 1,565
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 1 2 10 120
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 0 0 9 436
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 4 4 11 54
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 1 1 1 397 3 3 13 1,326
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 3 4 12 765
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 2 2 16 3,189
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 3 5 12 232
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 2 2 24 211
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 2 2 14 645
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 1 1 8 217
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 3 5 6 98
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 1 3 5 95
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 0 63 4 7 17 103
Bayesian Inference for Periodic Regime-Switching Models 0 0 0 472 2 3 14 1,899
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 3 5 26 211
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 0 0 5 206
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 1 1 8 329
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 2 2 11 291
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 2 4 12 165
Christmas, Spring and the Dawning of Economic Recovery 0 0 1 36 2 2 13 350
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 5 6 12 80
Derivatives Do Affect Mutual Funds Returns: How and When? 0 0 2 528 4 4 19 1,586
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 2 2 25 640
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 1 287 2 3 11 840
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 1 2 22 300
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 0 1 276 1 1 28 839
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 2 3 13 277
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 292 3 3 10 1,088
Emerging Markets and Trading Costs 0 0 0 367 3 4 15 1,283
Forecasting professional forecasters 0 0 2 204 1 3 21 492
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 0 1 103 4 8 19 178
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 0 1,393 1 3 14 5,815
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 0 0 8 397
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 3 3 9 123
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 33 3 4 11 293
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 4 4 12 524
Is There Stigma to Discount Window Borrowing? 0 0 0 23 2 2 15 38
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 0 0 4 246
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 2 2 10 125
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 4 5 8 267
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 2 2 12 1,540
Let's Get "Real" About Using Economic Data 0 0 0 146 0 0 6 532
Let's Get "Real" about Using Economic Data 0 0 0 95 1 2 24 479
Let's Get "Real"" about Using Economic Data" 0 0 0 168 1 1 14 912
Liquidity and volatility in the U.S. treasury market 0 0 0 128 3 8 24 381
Market Time and Asset Price Movements Theory and Estimation 0 0 1 610 1 1 21 2,266
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 1 1 24 258
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 3 15 403
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 0 67 2 4 24 399
Momentum Trading, Return Chasing and Predictable Crashes 0 0 0 25 4 7 22 176
Momentum Trading, Return Chasing, and Predictable Crashes 0 0 1 25 1 5 46 237
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 263 1 2 13 1,322
Monitoring for Disruptions in Financial Markets 0 1 2 162 5 10 17 501
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 2 4 7 248
Nominal Versus Real Seasonal Adjustment 0 0 0 0 2 2 8 102
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 0 1 456 2 3 13 2,527
Nonparametric Methods and Option Pricing 0 0 0 677 3 5 11 2,451
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 3 3 9 377
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 0 2 13 409
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 3 3 7 144
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 2 2 12 2,917
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 2 2 10 165
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 2 2 10 690
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 1 1 11 91
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 3 3 6 208
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 1 1 4 789
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 3 3 8 92
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 3 3 8 190
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 2 2 11 2,073
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 1 1 5 469
On Stable Factor Structurs in the Pricing of Risk 0 1 1 9 1 2 10 154
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 1 2 13 236
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 0 35 1 1 7 152
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 0 2 2 2 137
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 7 3 3 11 74
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 3 5 18 189
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 2 2 6 82
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 1 2 14 2,226
On the Economic and Econometrics of Seasonality 0 0 0 1 1 2 11 197
On the Periodic Structure of the Business Cycle 0 0 0 176 1 2 15 1,032
Periodic Autoregressive Conditional Heteroskedasticity 0 0 1 194 4 6 12 566
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 5 6 13 703
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 1 1 188 1 8 29 721
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 2 2 341 1 4 14 847
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 3 3 14 1,131
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 1 1 16 163
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 0 0 29 366
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 0 137 4 6 21 671
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 0 1 537 4 8 23 1,889
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 6 275
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 2 2 9 1,476
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 1 1 9 1,235
Seasonal Time Series and Autocorrelation Function Estimation 1 1 1 1,085 3 3 10 7,443
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 1 1 12 108
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 2 3 13 161
Simulation Based Inference in Moving Average Models 0 0 0 284 0 0 15 1,583
Simulation Based Inference in Moving Average Models 0 0 0 1 1 1 12 426
Simulation Based Inference in Moving Average Models 0 0 0 19 1 1 17 154
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 2 2 65 250
Stochastic Volatility 0 0 0 3 3 3 28 1,676
Stochastic Volatility 1 1 4 2,094 5 7 48 4,859
Stochastic Volatility 0 0 0 8 2 2 36 3,564
Stochastic Volatility 0 0 1 478 1 3 39 1,679
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 596 4 6 32 3,013
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 2 3 20 388
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 3 4 11 219
Structural Change Tests for Simulated Method of Moments 0 0 0 206 3 3 21 1,847
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 5 5 14 2,351
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 1 2 8 414
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 1 2 12 266
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 4 6 15 467
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 0 174 2 4 16 380
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 2 2 10 136
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 3 4 14 353
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 0 0 15 1,199
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 2 3 9 274
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 2 3 9 451
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 1 1 10 3,274
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 2 2 7 94
The Econometrics of Option Pricing 0 0 1 1,259 4 5 14 3,150
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 1 1 7 339
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 1 1 12 224
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 2 5 8 113
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 1 1 12 740
The MIDAS Touch: Mixed Data Sampling Regression Models 2 18 79 1,787 19 65 393 5,659
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 2 3 12 214
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 5 5 12 107
The low-frequency impact of daily monetary policy shocks 0 0 3 59 1 1 17 159
There is a Risk-Return Tradeoff After All 0 1 2 132 1 4 16 645
There is a Risk-Return Tradeoff After All 0 0 2 188 3 4 24 788
There is a Risk-Return Tradeoff After All 0 0 0 182 1 2 14 712
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 2 797 2 3 25 3,045
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 9 126
What Data Should Be Used to Price Options? 0 0 0 571 3 3 11 2,154
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 7 8 32 6,415
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 2 2 7 239
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 3 3 4 87
Total Working Papers 6 28 119 32,164 335 509 2,651 151,506

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 6 6 17 351
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 3 3 11 884
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 0 2 294 4 4 15 674
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 1 2 12 405
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 3 4 16 291
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 0 0 5 325
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 1 3 169
Bayesian inference for periodic regime-switching models 0 0 0 128 2 3 17 418
Changes in seasonal patterns: Are they cyclical? 0 0 1 90 2 3 14 393
Detecting multiple breaks in financial market volatility dynamics 0 0 2 340 0 1 21 957
Econometric methods for derivative securities and risk management 0 0 0 84 1 2 10 225
Editor's introduction: Seasonality and econometric models 0 0 0 33 2 2 5 100
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 1 1 8 138
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 2 3 9 265
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 2 2 11 425
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 2 3 18 490
Interview with Christopher A. Sims 0 0 0 0 3 3 9 288
Interview with Lars Peter Hansen 0 0 0 0 3 3 9 568
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 1 1 8 602
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 3 3 8 200
Let's get "real" about using economic data 0 0 0 73 2 2 15 333
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 3 3 6 226
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 4 4 17 304
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 2 2 13 215
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 1 1 10 314
On the Periodic Structure of the Business Cycle 0 0 0 0 1 1 6 289
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 3 4 15 1,115
Predictive tests for structural change with unknown breakpoint 0 0 0 45 2 2 12 183
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 0 2 16 563
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 1 7 353
Seasonal Extraction in the Presence of Feedback 0 0 0 0 4 4 10 161
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 0 1 8 802
Stochastic volatility duration models 0 0 0 262 1 2 9 611
Structural change and asset pricing in emerging markets 0 1 1 91 3 4 12 332
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 0 1 236 3 5 16 596
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 22 1 2 8 109
The effect of linear filters on dynamic time series with structural change 0 0 0 61 3 3 8 288
The effect of seasonal adjustment filters on tests for a unit root 2 4 4 180 4 8 21 441
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product 0 0 0 0 9 9 17 737
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 1 1 8 125
Total Journal Articles 2 5 12 2,821 89 111 460 16,265

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Statistics updated 2026-11-12