Access Statistics for Eric Ghysels

Author contact details at EconPapers.

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

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-05-12