Eric Ghysels

Available identifiers

zbMath Open ghysels.ericMaRDI QIDQ250900

List of research outcomes

Publication	Date of Publication	Type
Machine learning panel data regressions with heavy-tailed dependent data: theory and application	2023-11-17	Paper
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS	2023-03-06	Paper
State Space Models and MIDAS Regressions	2022-05-31	Paper
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality	2021-02-09	Paper
Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors	2021-02-04	Paper
On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests	2020-11-10	Paper
Mixed-Frequency Vector Autoregressive Models	2020-07-10	Paper
Mixed data sampling (MIDAS) regression models	2020-07-10	Paper
ET INTERVIEW: JEAN-PIERRE FLORENS	2020-05-27	Paper
Commercial and residential mortgage defaults: spatial dependence with frailty	2019-09-02	Paper
A component model for dynamic correlations	2016-08-12	Paper
Volatility forecasting and microstructure noise	2016-08-10	Paper
Regression models with mixed sampling frequencies	2016-08-04	Paper
Macroeconomics and the reality of mixed frequency data	2016-07-12	Paper
Quality control for structural credit risk models	2016-06-22	Paper
Monitoring disruptions in financial markets	2016-06-10	Paper
Predicting volatility: getting the most out of return data sampled at different frequencies	2016-06-10	Paper
Testing for Granger causality with mixed frequency data	2016-03-01	Paper
Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series	2015-11-13	Paper
HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data	2015-11-03	Paper
ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS	2015-04-24	Paper
Stochastic volatility duration models	2014-03-07	Paper
HYBRID GARCH Models and Intra-Daily Return Periodicity	2013-06-14	Paper
Efficient estimation of general dynamic models with a continuum of moment conditions	2012-09-23	Paper
THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT	2012-08-30	Paper
A component model for dynamic correlations	2011-09-01	Paper
Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations	2010-06-30	Paper
Structural Breaks in Financial Time Series	2009-11-27	Paper
MIDAS Regressions: Further Results and New Directions	2007-04-18	Paper
MIDAS Regressions: Further Results and New Directions	2007-02-05	Paper
https://portal.mardi4nfdi.de/entity/Q3374321	2006-03-09	Paper
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model	2006-01-27	Paper
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS	2005-09-05	Paper
https://portal.mardi4nfdi.de/entity/Q4450672	2004-02-15	Paper
Alternative models for stock price dynamics.	2003-08-07	Paper
Structural change tests for simulated method of moments.	2003-06-09	Paper
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING	2002-04-02	Paper
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING	2002-02-18	Paper
The Econometric Analysis of Seasonal Time Series	2002-02-03	Paper
Nonparametric estimation of American options' exercise boundaries and call prices	2000-10-26	Paper
Predictive tests for structural change with unknown breakpoint	2000-09-24	Paper
American options with stochastic dividends and volatility: a nonparametric investigation	2000-03-19	Paper
Kernel autocorrelogram for time-deformed processes	1999-08-23	Paper
On Periodic Structures and Testing for Seasonal Unit Roots	1998-02-22	Paper
On seasonality and business cycle durations: A nonparametric investigation	1997-08-12	Paper
Changes in seasonal patterns	1997-02-27	Paper
The effect of linear filters on dynamic time series with structural change	1996-02-12	Paper
Changes in seasonal patterns. Are they cyclical?	1995-01-11	Paper
Generalized Predictive Tests and Structural Change Analysis in Econometrics	1994-03-27	Paper
The effect of seasonal adjustment filters on tests for a unit root (with discussion)	1993-02-04	Paper
Testing nonnested Euler conditions with quadrature-based methods of approximation	1990-01-01	Paper
Are consumption-based intertemporal capital asset pricing models structural?	1990-01-01	Paper
A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator	1990-01-01	Paper

Research outcomes over time

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