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 1 1 1,294 3 7 12 3,240
A Semi-Parametric Factor Model for Interest Rates 0 0 0 0 4 8 13 778
A Semi-Parametric Factor Model for Interest Rates 0 0 0 347 5 9 12 2,309
A Semi-Parametric Factor Model for Interest Rates 0 0 0 10 5 10 12 267
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 354 3 3 5 1,445
A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure 0 0 0 298 5 8 13 2,756
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series 0 0 0 0 4 6 13 265
A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS 0 0 0 0 3 6 6 811
A Time Series Model with Periodic Stochastic Regime Switching 0 0 0 0 5 8 9 404
A time series model with periodic stochastic regime switching 0 0 0 264 4 12 14 1,069
AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS 0 0 0 0 1 2 6 195
Alternative Models for Stock Price Dynamic 0 0 0 441 5 7 11 1,407
Alternative Models for Stock Price Dynamics 0 0 0 909 4 6 18 2,729
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation 0 0 0 906 5 9 16 3,939
An Empirical Analysis of the Canadian Budget Process 0 0 0 270 2 4 5 1,562
An Empirical Analysis of the Canadian Budget Process 0 0 0 15 2 5 7 115
An Empirical Analysis of the Canadian Budget Process 0 0 0 1 1 1 4 428
An Extension of Quadrature-Based Methods for Solving Euler Conditions 0 0 0 0 4 5 5 48
Approximating the Probability Distribution of Functions of Random Variables: A New Approach 0 0 0 396 2 7 8 1,320
Approximating the probability distribution of functions of random variables: A new approach 0 0 0 232 2 4 4 757
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 2 6 7 3,179
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 3 6 7 226
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 19 22 23 209
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 3 5 9 636
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 1 0 1 2 93
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? 0 0 0 0 3 5 6 214
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 3 7 89
Bayesian Inference for Periodic Regime-Switching Models 0 0 0 472 3 6 7 1,891
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 8 11 15 196
Changes in Seasonal Patters: Are They Cyclical 0 0 0 0 1 4 5 325
Changes in Seasonal Patters: Are They Cyclical 0 0 0 43 3 4 5 205
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 3 4 5 157
Charistmas, Spring and the Dawning of Economic Recovery 0 0 0 0 0 6 9 286
Christmas, Spring and the Dawning of Economic Recovery 0 1 1 36 2 6 6 343
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality 0 0 0 0 0 1 1 69
Derivatives Do Affect Mutual Funds Returns: How and When? 1 1 3 527 4 9 12 1,576
Detecting Multiple Breaks in Financial Market Volatility Dynamics 0 0 0 200 10 10 13 625
Detecting Mutiple Breaks in Financial Market Volatility Dynamics 0 0 1 286 1 2 5 831
Discount window stigma during the 2007-2008 financial crisis 0 0 0 70 5 7 9 285
Do Heterogeneous Beliefs Matter for Asset Pricing? 1 1 2 276 10 14 22 825
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples 0 0 0 0 4 8 8 272
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions 0 0 1 292 1 3 10 1,081
Emerging Markets and Trading Costs 0 0 0 367 3 5 9 1,273
Forecasting professional forecasters 0 1 1 203 6 11 12 482
Forecasting through the rear-view mirror: data revisions and bond return predictability 1 1 1 103 4 5 7 164
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 2 5 12 5,806
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 0 1 6 12 395
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 1 2 4 7 118
Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? 0 0 0 454 6 8 9 1,930
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 33 2 3 4 285
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process 0 0 0 0 2 3 4 515
Is There Stigma to Discount Window Borrowing? 0 0 0 23 4 9 10 32
Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment 0 0 0 0 0 1 7 243
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment 0 0 0 0 3 3 6 118
Kalman Filter Seasonal Extraction Applied to Monetary Targeting 0 0 0 0 0 2 3 261
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 4 4 6 1,532
Let's Get "Real" About Using Economic Data 0 0 0 146 3 5 9 531
Let's Get "Real" about Using Economic Data 0 0 0 95 10 13 15 468
Let's Get "Real"" about Using Economic Data" 0 0 0 168 2 3 7 901
Liquidity and volatility in the U.S. treasury market 0 0 4 128 3 8 16 365
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 7 13 16 2,258
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 11 15 15 249
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 5 8 10 396
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets 0 0 1 67 1 4 12 379
Momentum Trading, Return Chasing and Predictable Crashes 0 0 0 25 4 10 17 164
Momentum Trading, Return Chasing, and Predictable Crashes 1 1 1 25 10 21 32 212
Monetary Policy Rules with Model and Data Uncertainty 0 0 0 263 2 4 7 1,313
Monitoring for Disruptions in Financial Markets 0 0 0 160 2 3 5 487
NOMINAL VERSUS REAL SEASONAL ADJUSTMENT 0 0 0 0 0 0 2 241
Nominal Versus Real Seasonal Adjustment 0 0 0 0 4 4 5 98
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 0 0 0 455 3 5 9 2,519
Nonparametric Methods and Option Pricing 0 0 1 677 2 2 5 2,442
ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY 0 0 0 0 4 6 8 374
ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY 0 0 0 0 5 7 7 403
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency 0 0 0 0 1 2 2 139
On Periodic Autogressive Conditional Heteroskedasticity 0 0 0 990 2 5 6 2,910
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 0 2 2 4 157
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 6 3 5 7 85
On Periodic Structures and Testing for Seasonal Unit Roots 0 0 0 82 2 3 3 683
On Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 1 3 3 205
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation 0 0 0 223 0 2 4 787
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 3 3 4 185
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts 0 0 0 0 3 3 4 87
On Stable Factor Structures in the Pricing of Risk 0 0 0 437 3 6 7 2,068
On Stable Factor Structurs in the Pricing of Risk 0 0 0 1 2 3 4 467
On Stable Factor Structurs in the Pricing of Risk 0 0 0 8 3 5 7 149
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data 0 0 0 0 4 8 11 231
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data 0 0 2 35 1 3 8 148
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 0 0 1 7 2 3 7 66
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 4 9 11 180
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 4 7 7 2,219
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 1 1 5 77
On the Economic and Econometrics of Seasonality 0 0 0 1 3 6 7 192
On the Periodic Structure of the Business Cycle 0 0 1 176 4 6 10 1,023
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 193 0 3 7 557
Periodic Autoregressive Conditional Heteroskedasticity 0 0 0 3 2 6 9 696
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 1 339 3 4 10 837
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies 0 0 0 187 9 11 15 703
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 173 4 5 6 1,122
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 20 5 11 12 158
Predictive Tests for Structural Change with Unknown Breakpoint 0 0 0 0 18 19 22 356
Price Momentum In Stocks: Insights From Victorian Age Data 0 0 1 137 4 9 19 659
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results 0 0 1 536 1 7 11 1,873
Seasonal Adjustment and Other Data Transformations 0 0 0 0 5 6 8 275
Seasonal Adjustment and Volatility Dynamics 0 0 0 386 2 3 4 1,470
Seasonal Nonstationarity and Near-Nonstationarity 0 0 0 312 3 4 8 1,230
Seasonal Time Series and Autocorrelation Function Estimation 0 0 0 1,084 2 3 5 7,436
Seasonality in Surveys Evidence From the Belgian Business Tests 0 0 0 0 3 6 7 102
Seasonality in Surveys a Comparison of Belgian, French and German Business Tests 0 0 0 0 4 5 5 153
Simulation Based Inference in Moving Average Models 0 0 0 19 7 13 14 150
Simulation Based Inference in Moving Average Models 0 0 0 284 9 12 12 1,580
Simulation Based Inference in Moving Average Models 0 0 0 1 5 8 10 422
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory 0 0 0 42 22 60 62 245
Stochastic Volatility 0 0 0 8 6 19 37 3,547
Stochastic Volatility 0 1 6 478 13 20 29 1,660
Stochastic Volatility 0 0 0 3 7 14 21 1,662
Stochastic Volatility 0 2 9 2,092 4 19 37 4,830
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 4 5 9 2,986
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 5 9 16 377
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 1 2 3 210
Structural Change Tests for Simulated Method of Moments 0 0 1 206 5 11 16 1,837
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 0 6 9 2,343
THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE 0 0 0 0 1 4 4 410
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT 0 0 0 0 3 7 9 261
THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT 0 0 0 1 2 3 5 455
Test for Breaks in the Conditional Co-Movements of Asset Returns 0 0 0 174 3 4 5 368
Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation 0 0 0 0 1 3 3 129
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 191 3 9 12 1,193
Testing for Structural Change in the Presence of Auxiliary Models 0 0 0 57 1 3 5 342
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 2 2 4 267
Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation 0 0 0 0 1 2 2 72
Tests for Breaks in the Conditional Co-movements of Asset Returns 0 0 0 165 2 3 4 445
The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors 0 0 0 1,128 3 5 6 3,269
The Business Cycle, the Seasonal Cycle Or Just Any Cycle 0 0 0 0 3 3 3 90
The Econometrics of Option Pricing 0 0 1 1,258 0 3 10 3,139
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 38 2 4 5 216
The Effect of Linear Filters on Dynamic Time series with Structural Change 0 0 0 0 1 3 5 335
The Effect of Seasonal Adjustment Filters on Test for Unit Root 0 0 0 0 2 2 4 107
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests 0 0 0 201 4 7 10 735
The MIDAS Touch: Mixed Data Sampling Regression Models 4 20 71 1,728 24 110 313 5,376
The Periodic Time Series and Testing the Unit Root Hypothesis 0 0 0 0 3 6 7 208
The Political Economy of the Budget and Efficient Information Processing 0 0 0 0 3 5 5 100
The low-frequency impact of daily monetary policy shocks 0 1 2 57 1 6 10 148
There is a Risk-Return Tradeoff After All 0 0 0 130 4 4 6 633
There is a Risk-Return Tradeoff After All 0 0 0 182 6 11 18 709
There is a Risk-Return Tradeoff After All 0 1 1 187 5 12 14 776
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 7 10 10 3,030
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 0 0 0 0 3 4 4 121
What Data Should Be Used to Price Options? 0 0 0 571 1 2 2 2,145
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening 0 0 0 493 5 14 16 6,397
Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? 0 0 0 0 1 3 4 235
Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? 0 0 0 0 0 0 0 83
Total Working Papers 8 32 120 32,077 569 1,109 1,740 149,964

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 1 1 72 3 6 8 340
A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator 0 0 0 159 4 4 5 877
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 0 0 5 292 1 6 21 665
American options with stochastic dividends and volatility: A nonparametric investigation 0 0 0 122 3 4 9 397
An Empirical Analysis of the Canadian Budget Process 0 0 0 30 5 5 7 280
Are consumption-based intertemporal capital asset pricing models structural? 0 0 0 106 3 4 5 324
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 2 2 6 168
Bayesian inference for periodic regime-switching models 0 0 0 128 4 7 8 408
Changes in seasonal patterns: Are they cyclical? 0 0 1 89 2 7 10 386
Detecting multiple breaks in financial market volatility dynamics 0 0 1 338 2 7 13 943
Econometric methods for derivative securities and risk management 0 0 0 84 3 3 4 218
Editor's introduction: Seasonality and econometric models 0 0 0 33 2 2 3 97
Editors' introduction recent developments in the econometrics of structural change 0 0 0 29 3 4 7 134
Emerging markets and trading costs: lessons from Casablanca 0 0 0 72 2 3 4 259
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency 0 0 0 108 5 7 9 421
Generalized Predictive Tests and Structural Change Analysis in Econometrics 0 0 0 86 4 9 15 481
Interview with Christopher A. Sims 0 0 0 0 2 4 4 283
Interview with Lars Peter Hansen 0 0 0 0 1 5 7 564
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? 0 0 0 0 3 5 9 599
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply 0 0 0 0 1 1 2 193
Let's get "real" about using economic data 0 0 1 73 4 6 10 324
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment 0 0 0 0 2 2 3 222
Nonparametric estimation of American options' exercise boundaries and call prices 0 0 0 53 3 5 8 292
On seasonality and business cycle durations: A nonparametric investigation 0 0 0 39 7 8 10 210
On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data 0 0 0 0 2 7 9 311
On the Periodic Structure of the Business Cycle 0 0 0 0 2 4 7 287
Periodic Autoregressive Conditional Heteroscedasticity 0 0 0 0 5 9 18 1,109
Predictive tests for structural change with unknown breakpoint 0 0 0 45 0 5 8 176
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results 0 0 0 0 3 6 11 553
Seasonal Adjustment and Other Data Transformations 0 0 0 0 2 2 3 348
Seasonal Extraction in the Presence of Feedback 0 0 0 0 3 4 5 155
Some Econometric Recipes for High-Frequency Data Cooking 0 0 0 0 1 3 4 797
Stochastic volatility duration models 0 0 1 262 1 2 7 604
Structural change and asset pricing in emerging markets 0 0 2 90 0 3 6 323
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation 0 1 2 236 1 8 10 588
Testing nonnested Euler conditions with quadrature-based methods of approximation 0 0 0 22 2 2 2 103
The effect of linear filters on dynamic time series with structural change 0 0 0 61 1 3 9 283
The effect of seasonal adjustment filters on tests for a unit root 0 0 1 176 2 8 11 428
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 4 5 724
Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) 0 0 0 6 2 4 5 121
Total Journal Articles 0 2 15 2,811 100 190 307 15,995

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Statistics updated 2026-02-12