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 1 1,294 0 2 13 3,242
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 3 6 17 273
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 3 4 15 782
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 4 7 19 2,316
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 2 5 18 2,761
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 3 4 9 1,449
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 4 4 14 269
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 3 4 10 815
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 1 2 11 406
A time series model with periodic stochastic regime switching 0 0 0 264 0 5 18 1,074
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 1 3 8 198
Alternative Models for Stock Price Dynamic 0 0 0 441 13 13 22 1,420
Alternative Models for Stock Price Dynamics 0 0 0 909 6 7 23 2,736
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 4 6 19 3,945
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 0 0 4 1,562
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 2 2 7 117
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 6 6 8 434
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 1 1 6 49
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 0 396 2 2 10 1,322
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 1 4 8 761
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 6 7 14 3,186
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 1 1 8 227
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 22 209
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 4 5 13 641
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 2 8 216
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 0 0 0 0 1 1 1 91
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 2 3 9 1,894
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 1 8 21 204
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 3 3 7 328
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 1 1 6 206
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 3 4 8 161
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 2 3 10 289
Christmas, Spring and the Dawning of Economic Recovery 0 0 1 36 3 5 11 348
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 3 3 4 72
Derivatives Do Affect Mutual Funds Returns: How and When? 1 1 3 528 4 6 17 1,582
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 6 10 21 635
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 0 286 4 5 9 836
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 4 9 18 294
Do Heterogeneous Beliefs Matter for Asset Pricing? 0 0 2 276 1 10 30 835
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 0 2 10 274
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 0 292 1 3 10 1,084
Emerging Markets and Trading Costs 0 0 0 367 4 5 13 1,278
Forecasting professional forecasters 0 0 1 203 1 4 15 486
Forecasting through the rear-view mirror: data revisions and bond return predictability 0 0 1 103 1 3 10 167
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 4 4 15 5,810
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 1 2 8 120
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 1 1 12 396
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 2 6 14 1,936
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 2 3 6 288
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 1 4 7 519
Is There Stigma to Discount Window Borrowing? 0 0 0 23 1 3 13 35
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 1 3 9 246
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 4 5 10 123
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 3 6 12 1,538
Let's Get "Real" About Using Economic Data 0 0 0 146 0 1 9 532
Let's Get "Real" about Using Economic Data 0 0 0 95 1 9 22 477
Let's Get "Real"" about Using Economic Data" 0 0 0 168 5 6 11 907
Liquidity and volatility in the U.S. treasury market 0 0 4 128 4 5 20 370
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 2 3 17 2,261
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 5 6 21 255
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 3 12 399
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 0 67 8 11 21 390
Momentum Trading, Return Chasing and Predictable Crashes 0 0 0 25 3 4 19 168
Momentum Trading, Return Chasing, and Predictable Crashes 0 0 1 25 7 16 44 228
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 263 3 4 11 1,317
Monitoring for Disruptions in Financial Markets 0 0 0 160 2 2 7 489
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 3 3 5 244
Nominal Versus Real Seasonal Adjustment 0 0 0 0 1 2 7 100
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 1 1 456 2 4 12 2,523
Nonparametric Methods and Option Pricing 0 0 1 677 2 3 8 2,445
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 0 0 6 374
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 1 4 11 407
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 1 1 3 140
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 5 5 11 2,915
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 3 5 8 162
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 4 5 8 688
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 3 4 10 89
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 0 0 3 205
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 1 1 5 788
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 0 1 4 186
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 1 1 4 88
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 3 3 10 2,071
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 1 1 4 468
On Stable Factor Structurs in the Pricing of Risk 0 0 0 8 2 3 9 152
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 1 2 11 233
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 1 35 3 3 9 151
On the Analysis of Business Cycles Through the Spectrum of Chronologies 0 0 0 7 1 5 8 71
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 1 2 9 2,221
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 1 4 14 184
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 2 3 7 80
On the Economic and Econometrics of Seasonality 0 0 0 1 1 3 10 195
On the Periodic Structure of the Business Cycle 0 0 0 176 2 5 14 1,028
Periodic Autoregressive Conditional Heteroskedasticity 0 1 1 194 0 1 7 558
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 1 1 9 697
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 339 2 5 13 842
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 187 3 9 23 712
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 2 4 15 162
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 4 5 10 1,127
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 6 7 28 363
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 1 137 4 5 22 664
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 1 2 537 2 6 17 1,879
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 0 8 275
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 2 2 6 1,472
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 3 3 10 1,233
Seasonal Time Series and Autocorrelation Function Estimation 0 0 0 1,084 1 2 6 7,438
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 4 4 11 106
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 4 4 9 157
Simulation Based Inference in Moving Average Models 0 0 0 1 1 3 12 425
Simulation Based Inference in Moving Average Models 0 0 0 284 2 2 14 1,582
Simulation Based Inference in Moving Average Models 0 0 0 19 1 1 14 151
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 2 3 65 248
Stochastic Volatility 0 0 0 8 9 11 40 3,558
Stochastic Volatility 0 0 3 478 11 13 37 1,673
Stochastic Volatility 0 0 0 3 8 9 29 1,671
Stochastic Volatility 1 1 7 2,093 12 19 49 4,849
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 6 11 19 2,997
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 5 8 23 385
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 4 4 6 214
Structural Change Tests for Simulated Method of Moments 0 0 1 206 1 6 21 1,843
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 2 3 11 2,346
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 0 1 5 411
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 1 2 10 263
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 4 5 9 460
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 0 174 2 7 12 375
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 3 4 7 133
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 3 5 17 1,198
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 4 5 10 347
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 2 3 7 270
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 2 2 4 74
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 0 0 165 1 1 4 446
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 1 3 9 3,272
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 1 2 5 92
The Econometrics of Option Pricing 0 0 1 1,258 3 5 14 3,144
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 4 6 10 222
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 2 3 7 338
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 1 1 3 108
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 1 2 12 737
The MIDAS Touch: Mixed Data Sampling Regression Models 6 24 81 1,752 32 121 383 5,497
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 2 3 10 211
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 1 2 7 102
The low-frequency impact of daily monetary policy shocks 0 2 4 59 5 8 17 156
There is a Risk-Return Tradeoff After All 0 0 1 187 3 5 17 781
There is a Risk-Return Tradeoff After All 0 0 0 182 0 0 17 709
There is a Risk-Return Tradeoff After All 0 0 0 130 5 6 11 639
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 5 9 19 3,039
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 0 0 0 0 4 4 8 125
What Data Should Be Used to Price Options? 0 0 0 571 4 4 6 2,149
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 3 9 24 6,406
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 2 2 6 237
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 1 1 84
Total Working Papers 8 31 123 32,108 425 756 2,304 150,720

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 3 5 12 345
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 1 2 7 879
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 0 2 292 0 1 16 666
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 5 6 12 403
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 3 6 13 286
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 0 1 6 325
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 4 168
Bayesian inference for periodic regime-switching models 0 0 0 128 1 7 15 415
Changes in seasonal patterns: Are they cyclical? 1 1 1 90 2 2 11 388
Detecting multiple breaks in financial market volatility dynamics 0 1 1 339 7 10 22 953
Econometric methods for derivative securities and risk management 0 0 0 84 4 5 9 223
Editor's introduction: Seasonality and econometric models 0 0 0 33 0 1 4 98
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 1 3 10 137
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 1 2 6 261
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 0 2 11 423
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 2 4 18 485
Interview with Christopher A. Sims 0 0 0 0 1 2 6 285
Interview with Lars Peter Hansen 0 0 0 0 0 1 6 565
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 1 1 8 600
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 3 3 5 196
Let's get "real" about using economic data 0 0 0 73 1 3 11 327
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 1 1 3 223
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 8 8 15 300
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 3 3 13 213
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 2 2 11 313
On the Periodic Structure of the Business Cycle 0 0 0 0 0 0 6 287
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 1 1 17 1,110
Predictive tests for structural change with unknown breakpoint 0 0 0 45 3 4 11 180
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 5 7 16 560
Seasonal Adjustment and Other Data Transformations 0 0 0 0 0 2 5 350
Seasonal Extraction in the Presence of Feedback 0 0 0 0 0 1 6 156
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 2 4 8 801
Stochastic volatility duration models 0 0 0 262 4 4 9 608
Structural change and asset pricing in emerging markets 0 0 2 90 1 5 10 328
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 0 2 236 0 0 10 588
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 22 2 3 5 106
The effect of linear filters on dynamic time series with structural change 0 0 0 61 1 2 10 285
The effect of seasonal adjustment filters on tests for a unit root 0 0 1 176 2 3 13 431
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product 0 0 0 0 2 3 8 727
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 1 1 6 122
Total Journal Articles 1 2 10 2,813 74 121 394 16,116

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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06