Eric Ghysels : Citation Profile


Are you Eric Ghysels?

University of North Carolina-Chapel-Hill

23

H index

41

i10 index

3102

Citations

RESEARCH PRODUCTION:

41

Articles

147

Papers

RESEARCH ACTIVITY:

   32 years (1986 - 2018). See details.
   Cites by year: 96
   Journals where Eric Ghysels has often published
   Relations with other researchers
   Recent citing documents: 232.    Total self citations: 61 (1.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgh7
   Updated: 2019-02-13    RAS profile: 2005-04-21    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Ghysels.

Is cited by:

Shephard, Neil (76)

Bollerslev, Tim (64)

Diebold, Francis (62)

Andersen, Torben (53)

Barndorff-Nielsen, Ole (46)

Christoffersen, Peter (43)

Marcellino, Massimiliano (42)

Osborn, Denise (40)

McAleer, Michael (38)

Asai, Manabu (37)

Maheu, John (35)

Cites to:

Bollerslev, Tim (60)

Renault, Eric (57)

Tauchen, George (55)

Engle, Robert (54)

Gallant, A. (52)

Hansen, Lars (43)

Harvey, Andrew (36)

Diebold, Francis (35)

Andrews, Donald (34)

Ait-Sahalia, Yacine (33)

Drost, Feike C. (33)

Main data


Where Eric Ghysels has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics13
Journal of Econometrics12
The Review of Economics and Statistics2
Journal of Empirical Finance2
International Economic Review2
Journal of Applied Econometrics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
University of Cyprus Working Papers in Economics / University of Cyprus Department of Economics2
Staff Reports / Federal Reserve Bank of New York2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Eric Ghysels (2018 and 2017)


YearTitle of citing document
2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2018). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2018Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Hounyo, Ulrich ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-16.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2018Profitability and Competition in EU Food Retailing. (2018). Finger, Robert ; Hirsch, Stefan ; Lanter, David. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274202.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

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2017Structural Change in (Economic) Time Series. (2017). Kleiber, Christian. In: Papers. RePEc:arx:papers:1702.06913.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Bianchi, Michele Leonardo ; Tassinari, Gian Luca. In: Papers. RePEc:arx:papers:1805.05584.

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2018A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap. (2018). Jiang, Liyuan ; Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang. In: Papers. RePEc:arx:papers:1808.05289.

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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2018On the Choice of Instruments in Mixed Frequency Specification Tests. (2018). Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:1809.05503.

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2018Big Data Econometrics: Now Casting and Early Estimates. (2018). Marcellino, Massimiliano ; Papailias, Fotis ; Mazzi, Gian Luigi ; Kapetanios, George ; Buono, Dario. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1882.

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2017A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204.

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2017A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth. (2017). Chernis, Tony ; Velasco, Gabriella ; Cheung, Calista . In: Discussion Papers. RePEc:bca:bocadp:17-8.

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2017What Explains Month-End Funding Pressure in Canada?. (2017). Sutherland, Christopher S. In: Discussion Papers. RePEc:bca:bocadp:17-9.

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2018Nowcasting Canadian Economic Activity in an Uncertain Environment. (2018). Chernis, Tony ; Sekkel, Rodrigo. In: Discussion Papers. RePEc:bca:bocadp:18-9.

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2017A Dynamic Factor Model for Nowcasting Canadian GDP Growth. (2017). Chernis, Tony ; Sekkel, Rodrigo. In: Staff Working Papers. RePEc:bca:bocawp:17-2.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2018Reserve requirements and capital flows in Latin America. (2018). Brei, Michael ; Moreno, Ramon. In: BIS Working Papers. RePEc:bis:biswps:741.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2018What drives flight to quality?. (2018). Opitz, Sebastian ; Szimayer, Alexander. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:529-571.

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2018Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618.

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2017The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Uwilingiye, Josine ; van Eyden, Renee. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:2:p:319-336.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2017Should we sample a time series more frequently?: decision support via multirate spectrum estimation. (2017). Nason, Guy P ; Smith, Paul A ; Elliott, Duncan ; Powell, Ben. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). Hong, S-Y., ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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2018A Monthly Indicator of Economic Activity for Ireland. (2018). Conefrey, Thomas ; Walsh, Graeme. In: Economic Letters. RePEc:cbi:ecolet:14/el/18.

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2017Manipulating Fiscal Forecasts: Evidence from the German States. (2017). Schinke, Christoph ; Potrafke, Niklas ; Kauder, Björn. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6310.

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2017Why Does Idiosyncratic Risk Increase with Market Risk?. (2017). Bartram, Söhnke ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2017Fiscal Surprises at the FOMC. (2017). van Norden, Simon ; Croushore, Dean. In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-09.

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2017Economic Crises and the Eligibility for the Lender of Last Resort: Evidence from Nineteenth Century France. (2017). Jobst, Clemens ; Bignon, Vincent. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11737.

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2017Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056.

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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

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2017Costly Interpretation of Asset Prices. (2017). Vives, Xavier ; Yang, Liyan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12360.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2017Forecasting the return volatility of energy prices: A GARCH MIDAS approach. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0029.

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2017Forecasting GDP with energy series: ADL-MIDAS vs. Linear Time Series Models. (2017). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0035.

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2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Shiller, Robert J ; Ebrahim, Shahid M ; Wojakowski, Rafal M. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2116.

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2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Shiller, Robert J ; Shackleton, Mark B ; Ebrahim, Shahid M ; Wojakowski, Rafal M. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3016.

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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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2017The Use of Financial Market Variables in Forecasting. (2017). Gebauer, Stefan. In: DIW Roundup: Politik im Fokus. RePEc:diw:diwrup:115en.

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2017Using debit card payments data for nowcasting Dutch household consumption. (2017). Cruijsen, Carin ; Bolt, Wilko ; van der Cruijsen, Carin ; Verbaan, Roy. In: DNB Working Papers. RePEc:dnb:dnbwpp:571.

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2018Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling. (2018). Souam, Saïd ; Hamdi, Faycal ; Boussaha, Nadia. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-14.

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2018Les interventions de crise de la FED et de la BCE diffèrent-elles ?. (2018). RIEU-FOUCAULT, Anne-Marie. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-31.

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2017Economic crises and the eligiblity for the lender of last resort: evidence from 19th century France. (2017). Jobst, Clemens ; Bignon, Vincent. In: Working Paper Series. RePEc:ecb:ecbwps:20172027.

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2018Mixed frequency models with MA components. (2018). Marcellino, Massimiliano ; Stevanovi, Dalibor ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20182206.

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2017Forecasting in a Mixed Up World: Nowcasting Hawaii Tourism. (2017). Fuleky, Peter ; Bonham, Carl ; Jones, James ; Hirashima, Ashley . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:191-202.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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2017CEO compensation and risk-taking at financial firms: Evidence from U.S. federal loan assistance. (2017). Gande, Amar ; Kalpathy, Swaminathan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:131-150.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2017Forecasting Chinas GDP growth using dynamic factors and mixed-frequency data. (2017). Jiang, YU ; Zhang, Yihao ; Guo, Yongji . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:132-138.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Stock market development and economic growth: Empirical evidence from China. (2018). Pan, Lei ; Mishra, Vinod. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:661-673.

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2018Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

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2018Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth. (2018). Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia ; Zhuo, Xingxuan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:221-236.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

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2017Forecasting broad money velocity. (2017). Jung, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:421-432.

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2018Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach. (2018). Motegi, Kaiji ; Sadahiro, Akira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:118-128.

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2018Clearinghouse loan certificates as a lender of last resort. (2018). Hoag, Christopher. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:215-229.

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2018The mean–variance relation and the role of institutional investor sentiment. (2018). Wang, Wenzhao. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:61-64.

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2018Intertemporal risk-return tradeoff in the short-run. (2018). Marks, Joseph M ; Nam, Kiseok. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:81-84.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018A spectral EM algorithm for dynamic factor models. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:249-279.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2018Simple robust tests for the specification of high-frequency predictors of a low-frequency series. (2018). Miller, J.. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:45-66.

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2018Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89.

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2018Composite quantile regression for GARCH models using high-frequency data. (2018). Wang, Meng ; Chen, Zhao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:115-133.

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2019Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16.

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2017Fiscal forecasting performance in an emerging economy: An empirical assessment of Brazil. (2017). de Mendonça, Helder ; Barroso, Joseph David ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Economic Systems. RePEc:eee:ecosys:v:41:y:2017:i:3:p:408-419.

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2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Daddona, Stefano ; Marinelli, Carlo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:19-35.

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2017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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2018Macroeconomic determinants of stock market betas. (2018). Gonzalez, Mariano ; Rubio, Gonzalo ; Nave, Juan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

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2017How do daily changes in oil prices affect US monthly industrial output?. (2017). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:83-90.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2018Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes. (2018). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:89-100.

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2018Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model. (2018). Pan, Zhiyuan ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:177-187.

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More than 100 citations found, this list is not complete...

Works by Eric Ghysels:


YearTitleTypeCited
1994On the Periodic Structure of the Business Cycle. In: Journal of Business & Economic Statistics.
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1992On the Periodic Structure of the Business Cycle.(1992) In: Cowles Foundation Discussion Papers.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? In: Journal of Business & Economic Statistics.
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1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
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1997Seasonal Adjustment and Other Data Transformations. In: Journal of Business & Economic Statistics.
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1993Seasonal Adjustment and Other Data Transformations..(1993) In: Cahiers de recherche.
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1998New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment. In: Journal of Business & Economic Statistics.
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2000Some Econometric Recipes for High-Frequency Data Cooking. In: Journal of Business & Economic Statistics.
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2002Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results. In: Journal of Business & Economic Statistics.
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2000Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results.(2000) In: CIRANO Working Papers.
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2002Interview with Lars Peter Hansen. In: Journal of Business & Economic Statistics.
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2002Interview with Christopher A. Sims. In: Journal of Business & Economic Statistics.
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1987Seasonal Extraction in the Presence of Feedback. In: Journal of Business & Economic Statistics.
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1990Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product. In: Journal of Business & Economic Statistics.
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2002Seasonal Time Series and Autocorrelation Function Estimation. In: Manchester School.
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1997Seasonal Time Series and Autocorrelation Function Estimation.(1997) In: CIRANO Working Papers.
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1998A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure In: Boston College Working Papers in Economics.
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1998A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure.(1998) In: The Review of Economics and Statistics.
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2000The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors In: CIRANO Working Papers.
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2001Derivatives Do Affect Mutual Funds Returns : How and When? In: CIRANO Working Papers.
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2002Detecting multiple breaks in financial market volatility dynamics.(2002) In: Journal of Applied Econometrics.
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2001Detecting Multiple Breaks in Financial Market Volatility Dynamics.(2001) In: University of Cyprus Working Papers in Economics.
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2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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2002Tests for Breaks in the Conditional Co-movements of Asset Returns In: CIRANO Working Papers.
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2004The Econometrics of Option Pricing In: CIRANO Working Papers.
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2004The MIDAS Touch: Mixed Data Sampling Regression Models In: CIRANO Working Papers.
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2004The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests In: CIRANO Working Papers.
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2004Monitoring for Disruptions in Financial Markets In: CIRANO Working Papers.
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1994On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers.
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1994Simulation Based Inference in Moving Average Models In: CIRANO Working Papers.
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1995Simulation Based Inference in Moving Average Models..(1995) In: Cahiers de recherche.
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1995Simulation Based Inference in Moving Average Models..(1995) In: Cahiers de recherche.
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1994Bayesian Inference for Periodic Regime-Switching Models In: CIRANO Working Papers.
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1998Bayesian inference for periodic regime-switching models.(1998) In: Journal of Applied Econometrics.
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1995An Empirical Analysis of the Canadian Budget Process In: CIRANO Working Papers.
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1997An Empirical Analysis of the Canadian Budget Process..(1997) In: Canadian Journal of Economics.
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1995An Empirical Analysis of the Canadian Budget Process..(1995) In: Cahiers de recherche.
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1995An Empirical Analysis of the Canadian Budget Process..(1995) In: Cahiers de recherche.
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1995On Stable Factor Structures in the Pricing of Risk In: CIRANO Working Papers.
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1995On Stable Factor Structurs in the Pricing of Risk..(1995) In: Cahiers de recherche.
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1995Predictive Tests for Structural Change with Unknown Breakpoint In: CIRANO Working Papers.
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1998Predictive tests for structural change with unknown breakpoint.(1998) In: Journal of Econometrics.
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1995On Periodic Structures and Testing for Seasonal Unit Roots In: CIRANO Working Papers.
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1995Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers.
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1994Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
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1994Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995On the Dynamic Specification of International Asset Pricing Models In: CIRANO Working Papers.
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1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
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2000Nonparametric estimation of American options exercise boundaries and call prices.(2000) In: Journal of Economic Dynamics and Control.
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