Eric Ghysels
Eric Ghysels
Bernstein Distinguished Professor of Economics, UNC and Kenan-Flagler Business School
Adresse e-mail validée de unc.edu
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5 Stochastic volatility
E Ghysels, AC Harvey, E Renault
Handbook of statistics 14, 119-191, 1996
12711996
There is a risk-return trade-off after all
E Ghysels, P Santa-Clara, R Valkanov
Journal of Financial Economics 76 (3), 509-548, 2005
10372005
Alternative models for stock price dynamics
M Chernov, AR Gallant, E Ghysels, G Tauchen
Journal of Econometrics 116 (1-2), 225-257, 2003
10312003
MIDAS regressions: Further results and new directions
E Ghysels, A Sinko, R Valkanov
Econometric reviews 26 (1), 53-90, 2007
7712007
Predicting volatility: getting the most out of return data sampled at different frequencies
E Ghysels, P Santa-Clara, R Valkanov
Journal of Econometrics 131 (1-2), 59-95, 2006
7702006
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
M Chernov, E Ghysels
Journal of financial economics 56 (3), 407-458, 2000
6762000
Ex ante skewness and expected stock returns
J Conrad, RF Dittmar, E Ghysels
The Journal of Finance 68 (1), 85-124, 2013
6672013
Ex ante skewness and expected stock returns
J Conrad, RF Dittmar, E Ghysels
The Journal of Finance 68 (1), 85-124, 2013
6672013
The MIDAS touch: Mixed data sampling regression models
E Ghysels, P Santa-Clara, R Valkanov
5272004
Stock market volatility and macroeconomic fundamentals
RF Engle, E Ghysels, B Sohn
Review of Economics and Statistics 95 (3), 776-797, 2013
5192013
Semiparametric regression for the applied econometrician
A Yatchew
Cambridge University Press, 2003
4992003
On stable factor structures in the pricing of risk: do time‐varying betas help or hurt?
E Ghysels
The Journal of Finance 53 (2), 549-573, 1998
4711998
Periodic autoregressive conditional heteroscedasticity
T Bollerslev, E Ghysels
Journal of Business & Economic Statistics 14 (2), 139-151, 1996
4441996
The econometric analysis of seasonal time series
E Ghysels, DR Osborn, TJ Sargent
Cambridge University Press, 2001
4222001
Detecting multiple breaks in financial market volatility dynamics
E Andreou, E Ghysels
Journal of Applied Econometrics 17 (5), 579-600, 2002
4002002
The impact of risk and uncertainty on expected returns
EW Anderson, E Ghysels, JL Juergens
Journal of Financial Economics 94 (2), 233-263, 2009
3562009
Why do absolute returns predict volatility so well?
L Forsberg, E Ghysels
Journal of Financial Econometrics 5 (1), 31-67, 2007
3412007
Should macroeconomic forecasters use daily financial data and how?
E Andreou, E Ghysels, A Kourtellos
Journal of Business & Economic Statistics 31 (2), 240-251, 2013
3292013
Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation
E Ghysels, HS Lee, J Noh
Journal of econometrics 62 (2), 415-442, 1994
3101994
Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation
E Ghysels, HS Lee, J Noh
Journal of econometrics 62 (2), 415-442, 1994
3081994
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