Eric Ghysels : Citation Profile


Are you Eric Ghysels?

University of North Carolina-Chapel-Hill

22

H index

38

i10 index

2694

Citations

RESEARCH PRODUCTION:

41

Articles

146

Papers

RESEARCH ACTIVITY:

   29 years (1986 - 2015). See details.
   Cites by year: 92
   Journals where Eric Ghysels has often published
   Relations with other researchers
   Recent citing documents: 164.    Total self citations: 61 (2.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgh7
   Updated: 2017-07-22    RAS profile: 2005-04-21    
   Missing citations? Add them    Incorrect content? Let us know

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 (75)

Bollerslev, Tim (64)

Diebold, Francis (62)

Andersen, Torben (52)

Barndorff-Nielsen, Ole (46)

Christoffersen, Peter (42)

McAleer, Michael (39)

Asai, Manabu (38)

Marcellino, Massimiliano (37)

Maheu, John (35)

Osborn, Denise (32)

Cites to:

Bollerslev, Tim (59)

Renault, Eric (57)

Tauchen, George (55)

Gallant, A. (52)

Engle, Robert (51)

Hansen, Lars (43)

Harvey, Andrew (36)

gourieroux, christian (36)

Diebold, Francis (35)

Andrews, Donald (34)

Ait-Sahalia, Yacine (33)

Main data


Where Eric Ghysels has published?


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

Working Papers Series with more than one paper published# docs
University of Cyprus Working Papers in Economics / University of Cyprus Department of Economics2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Eric Ghysels (2017 and 2016)


YearTitle of citing document
2016Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-27.

Full description at Econpapers || Download paper

2016Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144.

Full description at Econpapers || Download paper

2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016GDP Nowcasting: Assessing the Cyclical Conditions of the Argentine Economy. (2016). D'Amato, Laura ; Blanco, Emilio ; Garegnani, Lorena . In: Ensayos Económicos. RePEc:bcr:ensayo:v:1:y:2016:i:74:p:7-26.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Distributional Policy Effects with Many Treatment Outcomes. (2016). Carlos, Caon Salazar . In: Working Papers. RePEc:bdm:wpaper:2016-01.

Full description at Econpapers || Download paper

2016Crises and rescues: liquidity transmission through international banks. (2016). Koch, Catherine ; Koetter, Michael ; Buch, Claudia. In: BIS Working Papers. RePEc:bis:biswps:576.

Full description at Econpapers || Download paper

2016Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy). In: Bank of England working papers. RePEc:boe:boeewp:0608.

Full description at Econpapers || Download paper

2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016.

Full description at Econpapers || Download paper

2016HEGY test under seasonal heterogeneity. (2016). Politis, Dimitris . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2q4054kf.

Full description at Econpapers || Download paper

2016Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2016). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6048.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Fiscal Forecasts at the FOMC: Evidence from the Greenbooks. (2016). van Norden, Simon ; Croushore, Dean. In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-17.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Pronóstico del Consumo Privado: Usando datos de alta frecuencia para el pronóstico de variables de baja frecuencia. (2016). . In: ARCHIVOS DE ECONOMÍA. RePEc:col:000118:014828.

Full description at Econpapers || Download paper

2016Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?. (2016). Alonso, Julio ; Arana, Sebastian Montenegro ; Arcila, Andres Mauricio . In: REVISTA LECTURAS DE ECONOMÍA. RePEc:col:000174:015396.

Full description at Econpapers || Download paper

2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

Full description at Econpapers || Download paper

2016In-sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11388.

Full description at Econpapers || Download paper

2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11401.

Full description at Econpapers || Download paper

2016Multiple Contracting in Insurance Markets. (2016). attar, andrea ; Salanie, Franois ; Mariotti, Thomas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11631.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM. (2016). Wu, Xin Yu ; Zhou, Hailin . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:1:p:327-342.

Full description at Econpapers || Download paper

2016Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem. (2016). Vullings, Daniel . In: DNB Working Papers. RePEc:dnb:dnbwpp:517.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market. (2016). Aloud, Monira Essa . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-08.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Forecasting volatility of wind power production. (2016). Ritter, Matthias ; Shen, Zhiwei . In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

Full description at Econpapers || Download paper

2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

Full description at Econpapers || Download paper

2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

Full description at Econpapers || Download paper

2016A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:588-598.

Full description at Econpapers || Download paper

2016A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns. (2016). Kuzubas, Tolga ; Karahan, Mehmet ; Goncu, Ahmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:69-83.

Full description at Econpapers || Download paper

2016A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:176-196.

Full description at Econpapers || Download paper

2016A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

Full description at Econpapers || Download paper

2016Testing for Granger causality with mixed frequency data. (2016). Ghysels, Eric ; Motegi, Kaiji ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:207-230.

Full description at Econpapers || Download paper

2016A multi-country approach to forecasting output growth using PMIs. (2016). Pesaran, M ; Grossman, Valerie ; Chudik, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:349-365.

Full description at Econpapers || Download paper

2016Macroeconomics and the reality of mixed frequency data. (2016). Ghysels, Eric . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:294-314.

Full description at Econpapers || Download paper

2016A MIDAS approach to modeling first and second moment dynamics. (2016). Pettenuzzo, Davide ; Valkanov, Rossen ; Timmermann, Allan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:315-334.

Full description at Econpapers || Download paper

2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

Full description at Econpapers || Download paper

2016The estimation of continuous time models with mixed frequency data. (2016). Chambers, Marcus. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:390-404.

Full description at Econpapers || Download paper

2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

Full description at Econpapers || Download paper

2016A computationally efficient method for vector autoregression with mixed frequency data. (2016). . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:433-437.

Full description at Econpapers || Download paper

2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

Full description at Econpapers || Download paper

2016Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach. (2016). JAWADI, Fredj ; Selmi, Nadhem ; Hachicha, Nejib ; Fakhfekh, Mohamed ; Cheffou, Abdoulkarim Idi . In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:84-99.

Full description at Econpapers || Download paper

2016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Dufour, Jean-Marie ; Galbraith, John W ; Zhang, Hui Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

Full description at Econpapers || Download paper

2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

Full description at Econpapers || Download paper

2016On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments. (2016). Chatrath, Arjun ; Wang, Tianyang ; Ramchander, Sanjay ; Miao, Hong . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:213-223.

Full description at Econpapers || Download paper

2016Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models. (2016). Qu, Hui ; Li, Xindan ; Niu, Mengyi ; Chen, Wei . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:68-76.

Full description at Econpapers || Download paper

2016Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. (2016). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Marco, Chi Keung ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:96-114.

Full description at Econpapers || Download paper

2016Intraday risk management in International stock markets: A conditional EVT approach. (2016). Karmakar, Madhusudan ; Paul, Samit . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:34-55.

Full description at Econpapers || Download paper

2016Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis. (2016). Karanasos, Menelaos ; Karoglou, Michail ; Yfanti, Stavroula . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:332-349.

Full description at Econpapers || Download paper

2016Risk-return trade-off for European stock markets. (2016). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:84-103.

Full description at Econpapers || Download paper

2016Implied volatility index for the Norwegian equity market. (2016). Molnár, Peter ; Bugge, Sebastian A ; Ringdal, Martin ; Molnar, Peter ; Guttormsen, Haakon J. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:133-141.

Full description at Econpapers || Download paper

2016Cross-sectional return dispersion and the equity premium. (2016). Maio, Paulo . In: Journal of Financial Markets. RePEc:eee:finmar:v:29:y:2016:i:c:p:87-109.

Full description at Econpapers || Download paper

2016Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mobarek, Asma ; Jun, AI ; Mollah, Sabur . In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.

Full description at Econpapers || Download paper

2016Volatility spillovers between oil prices and the stock market under structural breaks. (2016). Ewing, Bradley ; Malik, Farooq . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:12-23.

Full description at Econpapers || Download paper

2016Stock returns and economic forces—An empirical investigation of Chinese markets. (2016). Chiang, Thomas C ; Chen, Xiaoyu . In: Global Finance Journal. RePEc:eee:glofin:v:30:y:2016:i:c:p:45-65.

Full description at Econpapers || Download paper

2016Impact of volatility clustering on equity indexed annuities. (2016). Hainaut, Donatien . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:367-381.

Full description at Econpapers || Download paper

2016A GARCH model for testing market efficiency. (2016). Narayan, Paresh ; Liu, Ruipeng ; Westerlund, Joakim . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:121-138.

Full description at Econpapers || Download paper

2016Combining forecasts from successive data vintages: An application to U.S. growth. (2016). Hecq, Alain ; Götz, Thomas ; Urbain, Jean-Pierre ; Gotz, Thomas B. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:61-74.

Full description at Econpapers || Download paper

2016A comparison of MIDAS and bridge equations. (2016). Schumacher, Christian. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:257-270.

Full description at Econpapers || Download paper

2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Fernandez-Rodriguez, Fernando . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

Full description at Econpapers || Download paper

2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

Full description at Econpapers || Download paper

2017A mixed frequency approach to the forecasting of private consumption with ATM/POS data. (2017). Rodrigues, Paulo ; Duarte, Cláudia ; Rua, Antonio . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:61-75.

Full description at Econpapers || Download paper

2016How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:62-75.

Full description at Econpapers || Download paper

2016Estimating the risk-return trade-off with overlapping data inference. (2016). Hodrick, Robert ; Hedegaard, Esben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:135-145.

Full description at Econpapers || Download paper

2016Jump and variance risk premia in the S&P 500. (2016). Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:69:y:2016:i:c:p:72-83.

Full description at Econpapers || Download paper

2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

Full description at Econpapers || Download paper

2016Institutional herding and risk–return relationship. (2016). Huang, Teng-Ching ; Lin, Bing-Huei ; Wu, Ching-Chih . In: Journal of Business Research. RePEc:eee:jbrese:v:69:y:2016:i:6:p:2073-2080.

Full description at Econpapers || Download paper

2016Price and volatility co-jumps. (2016). Renò, Roberto ; Bandi, F M ; Reno, R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:107-146.

Full description at Econpapers || Download paper

2016Quadratic variance swap models. (2016). Filipovi, Damir ; Mancini, Loriano ; Gourier, Elise . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:44-68.

Full description at Econpapers || Download paper

2016The volatility of a firms assets and the leverage effect. (2016). Choi, Jaewon ; Richardson, Matthew . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

Full description at Econpapers || Download paper

2016Momentum crashes. (2016). Daniel, Kent ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:2:p:221-247.

Full description at Econpapers || Download paper

2017Dealer financial conditions and lender-of-last-resort facilities. (2017). Fleming, Michael ; Acharya, Viral V ; Sarkar, Asani ; Hrung, Warren B. In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:81-107.

Full description at Econpapers || Download paper

2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

Full description at Econpapers || Download paper

2016Googling gold and mining bad news. (2016). Dimpfl, Thomas ; Baur, Dirk G. In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:306-311.

Full description at Econpapers || Download paper

2016The equity mispricing: Evidence from Chinas stock market. (2016). Lung, Peter ; Gu, Hongmei ; Liu, Dehong . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:211-223.

Full description at Econpapers || Download paper

2016Buy-sell imbalance and the mean-variance relation. (2016). Jia, Yun ; Yang, Chunpeng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pa:p:49-58.

Full description at Econpapers || Download paper

2016On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis. (2016). Slim, Skander . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:463:y:2016:i:c:p:63-76.

Full description at Econpapers || Download paper

2016Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?. (2016). Chang, Kuang-Liang . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:72-87.

Full description at Econpapers || Download paper

2016Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces. (2016). Chiang, Thomas C ; Chen, Xiaoyu . In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:107-120.

Full description at Econpapers || Download paper

2016Using VIX futures to hedge forward implied volatility risk. (2016). Lin, Yueh-Neng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:88-106.

Full description at Econpapers || Download paper

2016In search of the determinants of European asset market comovements. (2016). Taamouti, Abderrahim ; Gomes, Pedro. In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:103-117.

Full description at Econpapers || Download paper

2016Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching. (2016). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:559-571.

Full description at Econpapers || Download paper

2016Is there momentum in equity anomalies? Evidence from the Polish emerging market. (2016). Zaremba, Adam ; Szyszka, Adam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:546-564.

Full description at Econpapers || Download paper

2016Rumors and Runs in Opaque Markets: Evidence from the Panic in 1907. (2016). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene . In: Emory Economics. RePEc:emo:wp2003:1605.

Full description at Econpapers || Download paper

2016Yet another look at MIDAS regression. (2016). Franses, Philip Hans. In: Econometric Institute Research Papers. RePEc:ems:eureir:93331.

Full description at Econpapers || Download paper

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.
[Citation analysis]
article41
1992On the Periodic Structure of the Business Cycle.(1992) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
1996Periodic Autoregressive Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
[Citation analysis]
article112
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 112
paper
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 112
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? In: Journal of Business & Economic Statistics.
[Citation analysis]
article28
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?.(1995) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 28
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article11
1997Seasonal Adjustment and Other Data Transformations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article6
1993Seasonal Adjustment and Other Data Transformations..(1993) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1998New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2000Some Econometric Recipes for High-Frequency Data Cooking. In: Journal of Business & Economic Statistics.
[Citation analysis]
article8
2002Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results. In: Journal of Business & Economic Statistics.
[Citation analysis]
article74
2000Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results.(2000) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74
paper
2002Interview with Lars Peter Hansen. In: Journal of Business & Economic Statistics.
[Citation analysis]
article6
2002Interview with Christopher A. Sims. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
1987Seasonal Extraction in the Presence of Feedback. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
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.
[Citation analysis]
article15
2002Seasonal Time Series and Autocorrelation Function Estimation. In: Manchester School.
[Full Text][Citation analysis]
article0
1997Seasonal Time Series and Autocorrelation Function Estimation.(1997) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1998A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]
paper10
1997A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure.(1997) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
1998A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure.(1998) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2000The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper3
2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper22
2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2001Testing for Structural Change in the Presence of Auxiliary Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
2001Testing for Structural Change in the Presence of Auxiliary Models.(2001) In: Cahiers de recherche CREFE / CREFE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2001Derivatives Do Affect Mutual Funds Returns : How and When? In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
2001Detecting Mutiple Breaks in Financial Market Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper127
2002Detecting multiple breaks in financial market volatility dynamics.(2002) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
article
2001Detecting Multiple Breaks in Financial Market Volatility Dynamics.(2001) In: University of Cyprus Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper342
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 342
paper
2002Tests for Breaks in the Conditional Co-movements of Asset Returns In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper2
2003Test for Breaks in the Conditional Co-Movements of Asset Returns.(2003) In: University of Cyprus Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper243
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 243
paper
2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 243
paper
2003On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
2004The Econometrics of Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper22
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper199
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 199
paper
2004The MIDAS Touch: Mixed Data Sampling Regression Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper117
2004Approximating the Probability Distribution of Functions of Random Variables: A New Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
2004Approximating the probability distribution of functions of random variables: A new approach.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2004The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper11
2004Monitoring for Disruptions in Financial Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper2
1994On Periodic Autogressive Conditional Heteroskedasticity In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
1994Simulation Based Inference in Moving Average Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
1995Simulation Based Inference in Moving Average Models..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1995Simulation Based Inference in Moving Average Models..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1994Bayesian Inference for Periodic Regime-Switching Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper6
1998Bayesian inference for periodic regime-switching models.(1998) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
1995An Empirical Analysis of the Canadian Budget Process In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
1997An Empirical Analysis of the Canadian Budget Process..(1997) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
1995An Empirical Analysis of the Canadian Budget Process..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
1995An Empirical Analysis of the Canadian Budget Process..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
1995On Stable Factor Structures in the Pricing of Risk In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper11
1995On Stable Factor Structurs in the Pricing of Risk..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
1995On Stable Factor Structurs in the Pricing of Risk..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
1995Predictive Tests for Structural Change with Unknown Breakpoint In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper45
1998Predictive tests for structural change with unknown breakpoint.(1998) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
article
1995Predictive Tests for Structural Change with Unknown Breakpoint..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
1995Predictive Tests for Structural Change with Unknown Breakpoint..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 45
paper
1995On Periodic Structures and Testing for Seasonal Unit Roots In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
1995On Periodic Structures and Testing for Seasonal Unit Roots..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1995On Periodic Structures and Testing for Seasonal Unit Roots..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
1995Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper12
1994Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
1994Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 12
paper
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper9
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
1995On the Dynamic Specification of International Asset Pricing Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
1995Stochastic Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper307
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has another version. Agregated cites: 307
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 307
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 307
paper
1996A Semi-Parametric Factor Model for Interest Rates In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1996Nonparametric Estimation of American Options Exercise Boundaries and Call Prices In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper11
2000Nonparametric estimation of American options exercise boundaries and call prices.(2000) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
1996American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper27
2000American options with stochastic dividends and volatility: A nonparametric investigation.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
article
1996Structural Change and Asset Pricing in Emerging Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper32
1998Structural change and asset pricing in emerging markets.(1998) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
1997GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
1997Nonparametric Methods and Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper5
1997Seasonal Adjustment and Volatility Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1998Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1998Structural Change Tests for Simulated Method of Moments In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper5
1998What Data Should Be Used to Price Options? In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
1998Monetary Policy Rules with Model and Data Uncertainty In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper25
1999Emerging Markets and Trading Costs In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
1999Seasonal Nonstationarity and Near-Nonstationarity In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper20
1989Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) In: Canadian Public Policy.
[Full Text][Citation analysis]
article0
1989Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES?.(1989) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1992Christmas, Spring and the Dawning of Economic Recovery In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper0
1992Charistmas, Spring and the Dawning of Economic Recovery..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1992Charistmas, Spring and the Dawning of Economic Recovery..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2004Do Heterogeneous Beliefs Matter for Asset Pricing? In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]
paper2
1994Changes in seasonal patterns : Are they cyclical? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article40
1992Changes in Seasonal Patters: Are They Cyclical..(1992) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
1992Changes in Seasonal Patters: Are They Cyclical..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 40
paper
2004Stochastic volatility duration models In: Journal of Econometrics.
[Full Text][Citation analysis]
article54
1990Are consumption-based intertemporal capital asset pricing models structural? In: Journal of Econometrics.
[Full Text][Citation analysis]
article35
1990Testing nonnested Euler conditions with quadrature-based methods of approximation In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
1987Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation.(1987) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1993Editors introduction : Seasonality and econometric models In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
1993The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics.
[Full Text][Citation analysis]
article69
1990THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT..(1990) In: Princeton, Department of Economics - Econometric Research Program.
[Citation analysis]
This paper has another version. Agregated cites: 69
paper
1994Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation In: Journal of Econometrics.
[Full Text][Citation analysis]
article93
1996Editors introduction recent developments in the econometrics of structural change In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
1996The effect of linear filters on dynamic time series with structural change In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
1994The Effect of Linear Filters on Dynamic Time series with Structural Change..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1994The Effect of Linear Filters on Dynamic Time series with Structural Change..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
1997On seasonality and business cycle durations: A nonparametric investigation In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2000Econometric methods for derivative securities and risk management In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2003Emerging markets and trading costs: lessons from Casablanca In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article15
2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation In: Journal of Financial Economics.
[Full Text][Citation analysis]
article162
1993A time series model with periodic stochastic regime switching In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper4
1993A Time Series Model with Periodic Stochastic Regime Switching..(1993) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2015Discount window stigma during the 2007-2008 financial crisis In: Staff Reports.
[Full Text][Citation analysis]
paper54
1990A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator. In: International Economic Review.
[Full Text][Citation analysis]
article51
1988A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS..(1988) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 51
paper
1994Generalized Predictive Tests and Structural Change Analysis in Econometrics. In: International Economic Review.
[Full Text][Citation analysis]
article17
1992Generalized Predictive Tests and Structural Change Analysis in Econometrics..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
1992Generalized Predictive Tests and Structural Change Analysis in Econometrics..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
1986Kalman Filter Seasonal Extraction Applied to Monetary Targeting In: Cahiers de recherche.
[Citation analysis]
paper0
1986A Study Towards a Dynamic Theory of Seasonality for Economic Time Series In: Cahiers de recherche.
[Citation analysis]
paper10
1986Seasonality in Surveys Evidence From the Belgian Business Tests In: Cahiers de recherche.
[Citation analysis]
paper0
1986Seasonality in Surveys a Comparison of Belgian, French and German Business Tests In: Cahiers de recherche.
[Citation analysis]
paper1
1986Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model In: Cahiers de recherche.
[Citation analysis]
paper0
1987Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality In: Cahiers de recherche.
[Citation analysis]
paper2
1987Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp In: Cahiers de recherche.
[Citation analysis]
paper1
1987Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory In: Cahiers de recherche.
[Full Text][Citation analysis]
paper0
1987The Political Economy of the Budget and Efficient Information Processing In: Cahiers de recherche.
[Citation analysis]
paper0
1988Nominal Versus Real Seasonal Adjustment In: Cahiers de recherche.
[Citation analysis]
paper0
1989NOMINAL VERSUS REAL SEASONAL ADJUSTMENT.(1989) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1989Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? In: Cahiers de recherche.
[Citation analysis]
paper0
1989Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES?.(1989) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1989On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency. In: Cahiers de recherche.
[Citation analysis]
paper0
1989ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY..(1989) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990On the Economic and Econometrics of Seasonality. In: Cahiers de recherche.
[Citation analysis]
paper6
1990ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY..(1990) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1990An Extension of Quadrature-Based Methods for Solving Euler Conditions. In: Cahiers de recherche.
[Citation analysis]
paper0
1990AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS..(1990) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990The Business Cycle, the Seasonal Cycle Or Just Any Cycle. In: Cahiers de recherche.
[Citation analysis]
paper2
1990THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE..(1990) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1990The Effect of Seasonal Adjustment Filters on Test for Unit Root. In: Cahiers de recherche.
[Citation analysis]
paper2
1990THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT..(1990) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1991On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts. In: Cahiers de recherche.
[Citation analysis]
paper0
1991On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts..(1991) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1991Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation. In: Cahiers de recherche.
[Citation analysis]
paper0
1991Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation..(1991) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1991Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? In: Cahiers de recherche.
[Citation analysis]
paper5
1991Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?.(1991) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1992Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment. In: Cahiers de recherche.
[Citation analysis]
paper1
1992Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1992On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data. In: Cahiers de recherche.
[Full Text][Citation analysis]
paper10
1992On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
1993On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data..(1993) In: Empirical Economics.
[Citation analysis]
This paper has another version. Agregated cites: 10
article
1994On the Analysis of Business Cycles Through the Spectrum of Chronologies. In: Cahiers de recherche.
[Full Text][Citation analysis]
paper1
1994On the Analysis of Business Cycles Through the Spectrum of Chronologies..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1993The Periodic Time Series and Testing the Unit Root Hypothesis. In: Cahiers de recherche.
[Citation analysis]
paper0
1993On Periodic Time Series and Testing the Unit Root Hypothesis. In: Cahiers de recherche.
[Citation analysis]
paper0
1993Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples. In: Cahiers de recherche.
[Citation analysis]
paper1
2008Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper9
2014Momentum Trading, Return Chasing, and Predictable Crashes In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
1995Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article20

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team