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Eric Ghysels : Citation Profile


Are you Eric Ghysels?

University of North Carolina-Chapel-Hill

23

H index

40

i10 index

2825

Citations

RESEARCH PRODUCTION:

41

Articles

146

Papers

RESEARCH ACTIVITY:

   29 years (1986 - 2015). See details.
   Cites by year: 97
   Journals where Eric Ghysels has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 61 (2.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgh7
   Updated: 2018-02-17    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 (33)

Cites to:

Bollerslev, Tim (59)

Renault, Eric (57)

Tauchen, George (55)

Gallant, A. (52)

Engle, Robert (51)

Hansen, Lars (43)

Harvey, Andrew (36)

Diebold, Francis (35)

Andrews, Donald (34)

Drost, Feike C. (33)

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 Economic Dynamics and Control2
International Economic Review2
Journal of Applied Econometrics2
The Review of Economics and Statistics2
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 (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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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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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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2017What Explains Month-End Funding Pressure in Canada?. (2017). Sutherland, Christopher S. In: Discussion Papers. RePEc:bca:bocadp:17-9.

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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 ; Aprigliano, Valentina ; Ardizzi, Guerino . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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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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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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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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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, Sohnke M ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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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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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 ; Shackleton, Mark B ; Ebrahim, Shahid M ; Wojakowski, Rafal M. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3016.

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

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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). Pan, Zhiyuan ; Yin, Libo ; Wu, Chongfeng ; Wang, Yudong. 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). Marinelli, Carlo ; dAddona, Stefano . 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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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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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017Performance persistence of government bond factor premia. (2017). Zaremba, Adam. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:182-189.

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2017The evolution of the Federal Reserve’s Term Auction Facility and FDIC-insured bank utilization. (2017). Allen, Kyle D ; Whitledge, Matthew D ; Hein, Scott E. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:154-166.

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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.

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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.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Index portfolio and welfare analysis under heterogeneous beliefs. (2017). Shi, Lei ; He, Xuezhong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:64-79.

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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.

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2017The effect of the term auction facility on the London interbank offered rate. (2017). McAndrews, James ; Wang, Zhenyu ; Sarkar, Asani. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:135-152.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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

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2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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2017Bank loan supply responses to Federal Reserve emergency liquidity facilities. (2017). Berger, Allen N ; Dlugosz, Jennifer ; Black, Lamont K. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:32:y:2017:i:c:p:1-15.

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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.

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2017Liquidity regulation and the implementation of monetary policy. (2017). Keister, Todd ; Bech, Morten. In: Journal of Monetary Economics. RePEc:eee:moneco:v:92:y:2017:i:c:p:64-77.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2017Forecasting stock index futures returns with mixed-frequency sentiment. (2017). Gao, Bin ; Yang, Chunpeng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:69-83.

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2017Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

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2017Trend in aggregate idiosyncratic volatility. (2017). Nam, Kiseok ; Kang, Moonsoo ; Khaksari, Shahriar . In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:11-28.

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2017Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data. (2017). Uctum, Remzi ; Lecarpentier-Moyal, Sylvie ; Prat, Georges ; Renou-Maissant, Patricia. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:43-56.

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2017Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). Ndako, Umar ; Onipede, Samuel F ; Tule, Moses K. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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2017FISCAL SURPRISES AT THE FOMC. (2017). van Norden, Simon ; Croushore, Dean. In: Working Papers. RePEc:fip:fedpwp:17-13.

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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Lieb, Lenard ; Hecq, Alain ; Telg, Sean . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017Dynamic Momentum and Contrarian Trading. (2017). Dobrynskaya, Victoria. In: HSE Working papers. RePEc:hig:wpaper:61/fe/2017.

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2017Confidence Sets for the Date of a Mean Shift at the End of a Sample. (2017). Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2017-06.

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2017Vergleichende Evaluation der Konjunkturprognosen des Instituts für Makroökonomie und Konjunkturforschung an der Hans-Böckler-Stiftung für den Zeitraum 2005-2014. (2017). Tarassow, Artur ; Fritsche, Ulrich. In: IMK Studies. RePEc:imk:studie:54-2017.

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2017Risks and rewards for momentum and reversal portfolios. (2017). Li, Yuming. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0293-0.

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2017Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility. (2017). Habimana, Olivier. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:14:y:2017:i:4:d:10.1007_s10368-016-0341-7.

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2017New evidence on the effect of belief heterogeneity on stock returns. (2017). Singh, Vivek ; Hobbs, Jeffrey ; Lee, Hei Wai . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0551-7.

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2017Implications of a TAF program stigma for lenders: the case of publicly traded banks versus privately held banks. (2017). Cyree, Ken B ; Winters, Drew B ; Griffiths, Mark D. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:2:d:10.1007_s11156-016-0600-2.

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2017Time-varying mixed frequency forecasting: A real-time experiment. (2017). Neuwirth, Stefan . In: KOF Working papers. RePEc:kof:wpskof:17-430.

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2017Internal price stabilization tools in the Colombian sugar market: Do they work?. (2017). Arcila Vasquez, Andrés ; Alonso, Julio ; Arana, Sebastian Montenegro . In: Lecturas de Economía. RePEc:lde:journl:y:2017:i:86:p:105-126.

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2017Replicating Anomalies. (2017). Zhang, Lu ; Xue, Chen ; Hou, Kewei . In: NBER Working Papers. RePEc:nbr:nberwo:23394.

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2017Nowcasting Slovak GDP by a Small Dynamic Factor Model. (2017). Tóth, Peter ; Toth, Peter . In: MPRA Paper. RePEc:pra:mprapa:77245.

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2017Forecasting oil prices. (2017). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:77531.

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2017Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika . In: MPRA Paper. RePEc:pra:mprapa:80266.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2017Forecasting Tourist Arrivals in Prague: Google Econometrics. (2017). Zeynalov, Ayaz. In: MPRA Paper. RePEc:pra:mprapa:83268.

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2017Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment. (2017). Lenart, Łukasz. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:1:p:29-67.

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2017Global Variance Term Premia and Intermediary Risk Appetite. (2017). van Tassel, Peter . In: 2017 Meeting Papers. RePEc:red:sed017:149.

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2017On the influence of US monetary policy on crude oil price volatility. (2017). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1069-5.

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2017A dynamic factor model for nowcasting Canadian GDP growth. (2017). Chernis, Tony ; Sekkel, Rodrigo . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-017-1254-1.

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2017Stickiness of employee expenses and implications for stock returns. (2017). Taussig, Roi D. In: Eurasian Economic Review. RePEc:spr:eurase:v:7:y:2017:i:2:d:10.1007_s40822-017-0070-4.

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2017Periodic autoregressive stochastic volatility. (2017). Aknouche, Abdelhakim . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9139-z.

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2017Dating multiple change points in the correlation matrix. (2017). Galeano, Pedro ; Wied, Dominik. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2017Google data in bridge equation models for German GDP. (2017). Götz, Thomas ; Knetsch, Thomas A ; Gotz, Thomas B. In: Discussion Papers. RePEc:zbw:bubdps:182017.

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2017Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation. (2017). Riedler, Jesper ; Brueckbauer, Frank . In: ZEW Discussion Papers. RePEc:zbw:zewdip:17022.

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Works by Eric Ghysels:


YearTitleTypeCited
1994On the Periodic Structure of the Business Cycle. In: Journal of Business & Economic Statistics.
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article44
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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1996Periodic Autoregressive Conditional Heteroscedasticity. In: Journal of Business & Economic Statistics.
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1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
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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 Filtering Process?.(1995) In: CIRANO Working Papers.
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1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
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1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply. In: Journal of Business & Economic Statistics.
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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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1997A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure.(1997) In: CIRANO Working Papers.
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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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2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
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2000Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2002Lets get real about using economic data.(2002) In: Journal of Empirical Finance.
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2001Testing for Structural Change in the Presence of Auxiliary Models 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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2001Detecting Mutiple Breaks in Financial Market Volatility Dynamics 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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2003Test for Breaks in the Conditional Co-Movements of Asset Returns.(2003) In: University of Cyprus Working Papers in Economics.
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2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
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2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
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2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
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2003On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation In: CIRANO Working Papers.
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2004The Econometrics of Option Pricing In: CIRANO Working Papers.
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2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
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2004The MIDAS Touch: Mixed Data Sampling Regression Models In: CIRANO Working Papers.
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2004Approximating the Probability Distribution of Functions of Random Variables: A New Approach In: CIRANO Working Papers.
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2004Approximating the probability distribution of functions of random variables: A new approach.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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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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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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1995Predictive Tests for Structural Change with Unknown Breakpoint..(1995) In: Cahiers de recherche.
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1995On Periodic Structures and Testing for Seasonal Unit Roots In: CIRANO Working Papers.
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1995On Periodic Structures and Testing for Seasonal Unit Roots..(1995) In: Cahiers de recherche.
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1995On Periodic Structures and Testing for Seasonal Unit Roots..(1995) In: Cahiers de recherche.
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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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1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
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1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
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1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
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1996Stochastic Volatility..(1996) In: Cahiers de recherche.
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1996A Semi-Parametric Factor Model for Interest Rates In: CIRANO Working Papers.
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1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
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1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
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1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
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1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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1996Nonparametric Estimation of American Options Exercise Boundaries and Call Prices 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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1996American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation In: CIRANO Working Papers.
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2000American options with stochastic dividends and volatility: A nonparametric investigation.(2000) In: Journal of Econometrics.
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1998Structural change and asset pricing in emerging markets.(1998) In: Journal of International Money and Finance.
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1998Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening In: CIRANO Working Papers.
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1998Monetary Policy Rules with Model and Data Uncertainty In: CIRANO Working Papers.
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1986Kalman Filter Seasonal Extraction Applied to Monetary Targeting In: Cahiers de recherche.
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1986Seasonality in Surveys a Comparison of Belgian, French and German Business Tests In: Cahiers de recherche.
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1987Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality In: Cahiers de recherche.
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1987Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory In: Cahiers de recherche.
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1991On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts. In: Cahiers de recherche.
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1991Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? In: Cahiers de recherche.
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