The following pages link to Eric Ghysels (Q250900):
Displaying 50 items.
- A component model for dynamic correlations (Q128853) (← links)
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Quality control for structural credit risk models (Q299230) (← links)
- (Q451260) (redirect page) (← links)
- Efficient estimation of general dynamic models with a continuum of moment conditions (Q451261) (← links)
- (Q589786) (redirect page) (← links)
- Changes in seasonal patterns (Q671898) (← links)
- Macroeconomics and the reality of mixed frequency data (Q726586) (← links)
- Regression models with mixed sampling frequencies (Q736674) (← links)
- Volatility forecasting and microstructure noise (Q737282) (← links)
- Testing nonnested Euler conditions with quadrature-based methods of approximation (Q805126) (← links)
- Are consumption-based intertemporal capital asset pricing models structural? (Q808144) (← links)
- The effect of seasonal adjustment filters on tests for a unit root (with discussion) (Q1203074) (← links)
- Kernel autocorrelogram for time-deformed processes (Q1299537) (← links)
- Changes in seasonal patterns. Are they cyclical? (Q1342433) (← links)
- On seasonality and business cycle durations: A nonparametric investigation (Q1362481) (← links)
- Predictive tests for structural change with unknown breakpoint (Q1377327) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- (Q1583159) (redirect page) (← links)
- Nonparametric estimation of American options' exercise boundaries and call prices (Q1583161) (← links)
- Structural change tests for simulated method of moments. (Q1810680) (← links)
- The effect of linear filters on dynamic time series with structural change (Q1906288) (← links)
- American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality (Q2227063) (← links)
- Commercial and residential mortgage defaults: spatial dependence with frailty (Q2323366) (← links)
- Stochastic volatility duration models (Q2439049) (← links)
- TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING (Q2704141) (← links)
- TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING (Q2739288) (← links)
- The Econometric Analysis of Seasonal Time Series (Q2768498) (← links)
- THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT (Q2909252) (← links)
- Mixed-Frequency Vector Autoregressive Models (Q3295729) (← links)
- Mixed data sampling (MIDAS) regression models (Q3295740) (← links)
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator (Q3357410) (← links)
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (Q3368216) (← links)
- (Q3374321) (← links)
- HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data (Q3449029) (← links)
- Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series (Q3452741) (← links)
- Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations (Q3571965) (← links)
- Structural Breaks in Financial Time Series (Q3646984) (← links)
- Generalized Predictive Tests and Structural Change Analysis in Econometrics (Q4286520) (← links)
- On Periodic Structures and Testing for Seasonal Unit Roots (Q4366098) (← links)
- (Q4450672) (← links)
- HYBRID GARCH Models and Intra-Daily Return Periodicity (Q4928539) (← links)
- State Space Models and MIDAS Regressions (Q5080577) (← links)
- ET INTERVIEW: JEAN-PIERRE FLORENS (Q5112011) (← links)
- On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests (Q5133506) (← links)
- ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) (← links)
