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 1 5 13 3,242
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 2 8 15 2,312
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 0 5 12 779
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 1 8 14 270
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 3 8 16 2,759
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 0 4 6 1,446
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 0 4 10 265
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 0 4 7 812
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 0 6 10 405
A time series model with periodic stochastic regime switching 0 0 0 264 3 9 18 1,074
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 0 3 7 197
Alternative Models for Stock Price Dynamic 0 0 0 441 0 5 9 1,407
Alternative Models for Stock Price Dynamics 0 0 0 909 1 5 17 2,730
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 1 7 16 3,941
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 0 1 2 428
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 0 2 5 115
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 0 2 4 1,562
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 0 4 5 48
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 0 396 0 2 8 1,320
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 0 5 7 760
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 3 8 3,180
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 3 7 226
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 4 9 637
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 19 22 209
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 0 0 2 93
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 0 5 8 216
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 0 0 0 90
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 0 63 0 4 11 93
Bayesian Inference for Periodic Regime-Switching Models 0 0 0 472 1 4 7 1,892
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences 0 0 1 143 3 15 20 203
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 0 3 5 205
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 0 1 4 325
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 1 4 5 158
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 1 1 8 287
Christmas, Spring and the Dawning of Economic Recovery 0 0 1 36 1 4 8 345
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 0 0 1 69
Derivatives Do Affect Mutual Funds Returns: How and When? 0 1 2 527 1 6 13 1,578
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 0 14 16 629
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 1 286 0 2 6 832
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 3 10 14 290
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 1 2 276 8 19 29 834
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 1 6 10 274
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 292 1 3 10 1,083
Emerging Markets and Trading Costs 0 0 0 367 1 4 10 1,274
Forecasting professional forecasters 0 0 1 203 2 9 14 485
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 1 1 103 0 6 9 166
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 0 2 12 5,806
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 0 3 7 119
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 0 1 11 395
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 1 10 12 1,934
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 1 5 6 518
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 0 3 4 286
Is There Stigma to Discount Window Borrowing? 0 0 0 23 1 6 12 34
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 2 2 8 245
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 1 4 6 119
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 0 0 2 261
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 1 7 9 1,535
Let's Get "Real" About Using Economic Data 0 0 0 146 0 4 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 3 18 22 476
Let's Get "Real"" about Using Economic Data" 0 0 0 168 0 3 6 902
Liquidity and volatility in the U.S. treasury market 0 0 4 128 1 4 17 366
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 0 8 15 2,259
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 6 10 397
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 12 16 250
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 0 67 3 4 14 382
Momentum Trading, Return Chasing and Predictable Crashes 0 0 0 25 0 5 16 165
Momentum Trading, Return Chasing, and Predictable Crashes 0 1 1 25 7 19 37 221
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 263 1 3 8 1,314
Monitoring for Disruptions in Financial Markets 0 0 0 160 0 2 5 487
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 0 0 2 241
Nominal Versus Real Seasonal Adjustment 0 0 0 0 1 5 6 99
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 1 1 1 456 2 5 10 2,521
Nonparametric Methods and Option Pricing 0 0 1 677 0 3 6 2,443
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 0 4 6 374
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 0 8 10 406
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 0 1 2 139
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 0 2 6 2,910
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 0 3 4 684
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 0 4 5 159
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 1 4 7 86
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 1 3 205
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 0 0 4 787
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 4 4 186
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 3 3 87
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 0 3 7 2,068
On Stable Factor Structurs in the Pricing of Risk 0 0 0 8 0 4 7 150
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 0 2 3 467
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 1 5 10 232
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 1 35 0 1 6 148
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 1 7 0 6 9 70
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 0 547 0 5 8 2,220
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 1 2 5 78
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 7 13 183
On the Economic and Econometrics of Seasonality 0 0 0 1 0 5 9 194
On the Periodic Structure of the Business Cycle 0 0 0 176 1 7 12 1,026
Periodic Autoregressive Conditional Heteroskedasticity 1 1 1 194 1 1 7 558
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 0 2 9 696
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 339 1 6 11 840
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 187 2 15 20 709
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 0 19 22 357
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 1 7 13 160
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 0 5 6 1,123
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 1 137 1 5 18 660
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 1 2 537 1 5 15 1,877
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 5 8 275
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 0 2 4 1,470
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 0 3 7 1,230
Seasonal Time Series and Autocorrelation Function Estimation 0 0 0 1,084 0 3 5 7,437
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 0 3 7 102
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 0 4 5 153
Simulation Based Inference in Moving Average Models 0 0 0 19 0 7 13 150
Simulation Based Inference in Moving Average Models 0 0 0 284 0 9 12 1,580
Simulation Based Inference in Moving Average Models 0 0 0 1 0 7 11 424
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 1 23 63 246
Stochastic Volatility 0 0 5 478 2 15 29 1,662
Stochastic Volatility 0 0 0 3 1 8 21 1,663
Stochastic Volatility 0 0 0 8 1 8 36 3,549
Stochastic Volatility 0 0 8 2,092 1 11 39 4,837
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 3 9 13 2,991
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 1 8 18 380
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 0 1 2 210
Structural Change Tests for Simulated Method of Moments 0 0 1 206 3 10 20 1,842
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 0 1 9 2,344
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 0 2 5 411
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 1 4 9 262
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 0 3 5 456
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 0 174 0 8 10 373
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 1 2 4 130
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 0 2 6 343
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 1 5 14 1,195
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 3 5 268
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 0 1 2 72
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 0 0 165 0 2 3 445
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 0 5 8 3,271
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 0 4 4 91
The Econometrics of Option Pricing 0 0 1 1,258 2 2 12 3,141
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 0 2 5 336
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 1 4 6 218
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 0 2 2 107
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 0 5 11 736
The MIDAS Touch: Mixed Data Sampling Regression Models 8 22 84 1,746 51 113 376 5,465
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 1 4 8 209
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 0 4 6 101
The low-frequency impact of daily monetary policy shocks 1 2 4 59 2 4 13 151
There is a Risk-Return Tradeoff After All 0 0 1 187 0 7 14 778
There is a Risk-Return Tradeoff After All 0 0 0 182 0 6 17 709
There is a Risk-Return Tradeoff After All 0 0 0 130 1 5 6 634
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 4 11 14 3,034
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 0 0 0 0 0 3 4 121
What Data Should Be Used to Price Options? 0 0 0 571 0 1 2 2,145
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 2 11 21 6,403
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 0 1 4 235
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 1 1 84
Total Working Papers 11 31 130 32,100 152 900 1,928 150,295

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 2 5 10 342
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 0 5 6 878
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 0 4 292 0 2 19 666
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 0 4 7 398
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 0 8 10 283
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 1 4 6 325
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 2 4 168
Bayesian inference for periodic regime-switching models 0 0 0 128 2 10 14 414
Changes in seasonal patterns: Are they cyclical? 0 0 1 89 0 2 10 386
Detecting multiple breaks in financial market volatility dynamics 0 1 2 339 1 5 16 946
Econometric methods for derivative securities and risk management 0 0 0 84 1 4 5 219
Editor's introduction: Seasonality and econometric models 0 0 0 33 1 3 4 98
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 0 5 9 136
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 0 3 5 260
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 0 7 11 423
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 1 6 16 483
Interview with Christopher A. Sims 0 0 0 0 1 3 5 284
Interview with Lars Peter Hansen 0 0 0 0 0 2 6 565
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 0 3 7 599
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 0 1 2 193
Let's get "real" about using economic data 0 0 0 73 2 6 10 326
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 0 2 2 222
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 0 3 7 292
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 0 7 10 210
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 0 2 9 311
On the Periodic Structure of the Business Cycle 0 0 0 0 0 2 6 287
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 0 5 17 1,109
Predictive tests for structural change with unknown breakpoint 0 0 0 45 0 1 8 177
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 2 5 12 555
Seasonal Adjustment and Other Data Transformations 0 0 0 0 1 4 5 350
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 4 6 156
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 1 3 6 799
Stochastic volatility duration models 0 0 0 262 0 1 5 604
Structural change and asset pricing in emerging markets 0 0 2 90 2 4 9 327
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 0 2 236 0 1 10 588
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 22 0 3 3 104
The effect of linear filters on dynamic time series with structural change 0 0 0 61 1 2 10 284
The effect of seasonal adjustment filters on tests for a unit root 0 0 1 176 0 3 11 429
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 3 6 725
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 0 2 5 121
Total Journal Articles 0 1 13 2,812 20 147 329 16,042

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Statistics updated 2026-04-09