Eric Ghysels : Citation Profile


Are you Eric Ghysels?

University of North Carolina-Chapel-Hill

28

H index

55

i10 index

4327

Citations

RESEARCH PRODUCTION:

40

Articles

153

Papers

RESEARCH ACTIVITY:

   29 years (1986 - 2015). See details.
   Cites by year: 149
   Journals where Eric Ghysels has often published
   Relations with other researchers
   Recent citing documents: 277.    Total self citations: 66 (1.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgh7
   Updated: 2022-11-19    RAS profile: 2005-04-21    
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Relations with other researchers


Works with:

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

Is cited by:

Shephard, Neil (75)

Bollerslev, Tim (70)

Diebold, Francis (65)

Marcellino, Massimiliano (61)

Andersen, Torben (57)

GUPTA, RANGAN (50)

Christoffersen, Peter (47)

Osborn, Denise (47)

Barndorff-Nielsen, Ole (45)

Foroni, Claudia (38)

Asai, Manabu (36)

Cites to:

Bollerslev, Tim (69)

Tauchen, George (65)

Engle, Robert (63)

Gallant, A. (60)

Renault, Eric (59)

Hansen, Lars (54)

Jasiak, Joann (42)

Harvey, Andrew (38)

Diebold, Francis (37)

Drost, Feike C. (36)

gourieroux, christian (36)

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
NBER Working Papers / National Bureau of Economic Research, Inc5
Staff Reports / Federal Reserve Bank of New York4
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Working Paper Series / Federal Reserve Bank of Chicago2
University of Cyprus Working Papers in Economics / University of Cyprus Department of Economics2

Recent works citing Eric Ghysels (2022 and 2021)


YearTitle of citing document
2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2021Expecting the unexpected: economic growth under stress. (2021). Ortega, Esther Ruiz ; Rodriguez-Caballero, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: CREATES Research Papers. RePEc:aah:create:2021-06.

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2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2021Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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2021Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600.

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2021Bayesian analysis of seasonally cointegrated VAR model. (2020). Wr, Justyna. In: Papers. RePEc:arx:papers:2012.14820.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2021Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales. (2021). Martini, Claude ; Raffaelli, Iacopo. In: Papers. RePEc:arx:papers:2105.06390.

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2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2022Sparse Temporal Disaggregation. (2021). Gibberd, Alex ; Eckley, Idris ; Mosley, Luke . In: Papers. RePEc:arx:papers:2108.05783.

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2021Macroeconomic forecasting with LSTM and mixed frequency time series data. (2021). Kamolthip, Sarun. In: Papers. RePEc:arx:papers:2109.13777.

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2021Bank transactions embeddings help to uncover current macroeconomics. (2021). Zaytsev, Alexey ; Begicheva, Maria. In: Papers. RePEc:arx:papers:2110.12000.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2021Forecasting pandemic tax revenues in a small, open economy. (2021). Telarico, Fabio Ashtar. In: Papers. RePEc:arx:papers:2112.15431.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022Benchmarking Econometric and Machine Learning Methodologies in Nowcasting. (2022). Hopp, Daniel. In: Papers. RePEc:arx:papers:2205.03318.

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2022Forecasting euro area inflation using a huge panel of survey expectations. (2022). Pfarrhofer, Michael ; onorante, luca ; Huber, Florian. In: Papers. RePEc:arx:papers:2207.12225.

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2022Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires. (2022). Ouazad, Amine. In: Papers. RePEc:arx:papers:2208.06930.

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2022Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP. (2022). Zhu, Dan ; Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2209.01910.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2021Can the COVID-19 Pandemic and Oil Prices Drive the US Partisan Conflict Index. (2021). Apergis, Nicholas. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:30.

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2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

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2022Nowcasting Brazilian GDP with Electronic Payments Data. (2022). Cesar, Raquel Nadal. In: Working Papers Series. RePEc:bcb:wpaper:564.

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2021Exploiting payments to track Italian economic activity: the experience at Banca d’Italia. (2021). Zizza, Roberta ; Gambini, Alessandro ; aprigliano, valentina ; Renzi, Nazzareno ; Emiliozzi, Simone ; Cavallero, Alessandro ; Cassetta, Alessia ; Ardizzi, Guerino. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_609_21.

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2022Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22.

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2021Identifying deposits outflows in real-time. (2021). Rainone, Edoardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1319_21.

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2021Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches. (2021). Rojas-Martinez, Carlos D ; Martinez-Cortes, Nicolas ; Galeano-Ramirez, Franky Juliano. In: Borradores de Economia. RePEc:bdr:borrec:1168.

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2021The effect of treasury auctions on 10?year Treasury note futures. (2021). Smales, Lee. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1517-1555.

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2021Minimum information management and price?abundance relationships in a fishery. (2021). Marvasti, Akbar ; Dakhlia, Sami. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:69:y:2021:i:4:p:491-518.

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2022Individual investors dispersion in beliefs and stock returns. (2022). Lu, Lei ; Li, Xindan ; Ma, Junjun ; Xiong, Xiong ; Wu, Weixing. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:929-953.

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2021Variants of consumption?wealth ratios and predictability of U.S. government bond risk premia. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Epni, Ouzhan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:661-674.

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2021Mixed?frequency Bayesian predictive synthesis for economic nowcasting. (2021). McAlinn, Kenichiro. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1143-1163.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2021Nowcasting South African gross domestic product using a suite of statistical models. (2021). Steenkamp, Daan ; Botha, Byron ; van Jaarsveld, Rossouw ; Reid, Geordie ; Olds, Tim. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:526-554.

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2021The Bias and Efficiency of the ECB Inflation Projections: a State Dependent Analysis. (2021). Jalasjoki, Pirkka ; Granziera, Eleonora ; Paloviita, Maritta. In: Working Paper. RePEc:bno:worpap:2021_1.

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2021The bias and efficiency of the ECB inflation projections: a State dependent analysis. (2021). Paloviita, Maritta ; Jalasjoki, Pirkka ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_007.

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2022Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions?. (2022). Bragoudakis, Zacharias ; Degiannakis, Stavros ; Filis, George. In: Working Papers. RePEc:bog:wpaper:296.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2021The Mussa Puzzle: A Generalization. (2021). Petracchi, Cosimo. In: Working Papers. RePEc:bro:econwp:2021-001.

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2022Do consumption-based asset pricing models explain own-history predictability in stock market returns?. (2022). Ashby, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2259.

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2021Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks. (2021). Franta, Michal ; Libich, Jan. In: Working Papers. RePEc:cnb:wpaper:2021/3.

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2021What Moves Treasury Yields?. (2021). Moench, Emanuel ; Siavash, Soroosh Soofi. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15978.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

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2021How useful is market information for the identification of G-SIBs?. (2021). Cappelletti, Giuseppe ; Busch, Pascal ; Wildmann, Nadya ; Meller, Barbara ; Marincas, Vlad. In: Occasional Paper Series. RePEc:ecb:ecbops:2021260.

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2021The risk management approach to macro-prudential policy. (2021). Kremer, Manfred ; Engle, Robert ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone ; Fahr, Stephan. In: Working Paper Series. RePEc:ecb:ecbwps:20212565.

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2021The ECBs tracker: nowcasting the press conferences of the ECB. (2021). Marozzi, Armando. In: Working Paper Series. RePEc:ecb:ecbwps:20212609.

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2021Nowcasting euro area GDP with news sentiment: a tale of two crises. (2021). Kalamara, Eleni ; Ashwin, Julian ; Saiz, Lorena. In: Working Paper Series. RePEc:ecb:ecbwps:20212616.

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2021Futures Trading, Spot Price Volatility and Structural Breaks: Evidence from Energy Sector. (2021). Raju, Guntur Anjana ; Shirodkar, Sanjeeta. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-29.

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2021Forecasting tourism recovery amid COVID-19. (2021). Liu, Chang ; Wen, Long ; Song, Haiyan ; Zhang, Hanyuan. In: Annals of Tourism Research. RePEc:eee:anture:v:87:y:2021:i:c:s0160738321000116.

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2021Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737.

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2022Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?. (2022). Wang, Lei ; Zhao, Zhongchao ; Ding, Lili. In: Applied Energy. RePEc:eee:appene:v:312:y:2022:i:c:s0306261922002100.

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2021Stock market uncertainty and uncovered equity parity deviation: Evidence from Asia. (2021). Mo, Kuk ; Jung, Jiyong. In: Journal of Asian Economics. RePEc:eee:asieco:v:73:y:2021:i:c:s1049007820301512.

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2022Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach. (2022). Wichitaksorn, Nuttanan. In: Journal of Asian Economics. RePEc:eee:asieco:v:78:y:2022:i:c:s1049007821001494.

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2021Whom to educate? Financial literacy and investor awareness. (2021). Zhao, Xiaojian ; Huang, Yangguang ; Gui, Zhengqing. In: China Economic Review. RePEc:eee:chieco:v:67:y:2021:i:c:s1043951x21000262.

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2021An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310328.

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2021Flying under the radar: The real effects of anonymous trading. (2021). el Ghoul, Sadok ; Attig, Najah . In: Journal of Corporate Finance. RePEc:eee:corfin:v:71:y:2021:i:c:s0929119921002145.

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2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

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2021Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms. (2021). Shi, Chao ; Li, Chenxu ; Cai, Ning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000488.

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2021The impact of mixed-frequency geopolitical risk on stock market returns. (2021). Yang, Chunpeng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:226-240.

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2021The Daily Economic Indicator: tracking economic activity daily during the lockdown. (2021). Rua, Antonio ; Loureno, Nuno. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000894.

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2022Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors. (2022). Yang, Jun ; Bian, Yun ; Xu, SI ; Sheng, Jiliang. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003059.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2021Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function. (2021). Frömmel, Michael ; Midili, Murat ; Frommel, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:461-476.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2021Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis. (2021). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000188.

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2021Heterogeneous beliefs with herding behaviors and asset pricing in two goods world. (2021). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000632.

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2021The effects of FX-interventions on forecasters disagreement: A mixed data sampling view. (2021). Iregui, Ana ; Holmes, Mark ; Otero, Jesus. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001285.

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2021The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns. (2021). Li, Jinfang ; Wang, Ruina. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001388.

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2021The mean–variance relation: A 24-hour story. (2021). Wang, Wenzhao. In: Economics Letters. RePEc:eee:ecolet:v:208:y:2021:i:c:s016517652100330x.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit. (2021). Voia, Marcel ; Saunders, Charles J ; Kichian, Maral ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:589-605.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021Bayesian MIDAS penalized regressions: Estimation, selection, and prediction. (2021). Mogliani, Matteo ; Simoni, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:833-860.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2022Real-time Bayesian learning and bond return predictability. (2022). Li, Junye ; Fulop, Andras ; Wan, Runqing. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:114-130.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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2022Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2022). Sanfelici, Simona ; Curato, Imma Valentina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:53-82.

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2022The Mussa puzzle: A generalization. (2022). Petracchi, Cosimo. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001295.

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2022Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784.

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2023Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

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2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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2022Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249.

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2021Bond yield and crude oil prices predictability. (2021). Kang, Jie ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001109.

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

Works by Eric Ghysels:


YearTitleTypeCited
1994On the Periodic Structure of the Business Cycle. In: Journal of Business & Economic Statistics.
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article51
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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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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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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article38
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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article13
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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paper
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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article2
1987Seasonal Extraction in the Presence of Feedback. In: Journal of Business & Economic Statistics.
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article2
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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article28
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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paper15
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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paper21
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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2001Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series.
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2001Testing for Structural Change in the Presence of Auxiliary Models In: CIRANO Working Papers.
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2001Testing for Structural Change in the Presence of Auxiliary Models.(2001) In: Cahiers de recherche CREFE / CREFE 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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2002Alternative Models for Stock Price Dynamic.(2002) In: 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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paper410
2004There is a Risk-Return Tradeoff After All.(2004) 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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paper24
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
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paper435
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER 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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paper8
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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paper11
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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paper44
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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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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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 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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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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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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1996Structural Change and Asset Pricing in Emerging Markets In: CIRANO Working Papers.
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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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1998Structural Change Tests for Simulated Method of Moments In: CIRANO Working Papers.
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1998What Data Should Be Used to Price Options? In: CIRANO Working Papers.
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1998Monetary Policy Rules with Model and Data Uncertainty In: CIRANO Working Papers.
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1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
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1989Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.) In: Canadian Public Policy.
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1992Changes in Seasonal Patters: Are They Cyclical..(1992) In: Cahiers de recherche.
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1992Changes in Seasonal Patters: Are They Cyclical..(1992) In: Cahiers de recherche.
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2004Stochastic volatility duration models In: Journal of Econometrics.
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1990Testing nonnested Euler conditions with quadrature-based methods of approximation In: Journal of Econometrics.
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1987Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation.(1987) In: Cahiers de recherche.
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1993Editors introduction : Seasonality and econometric models In: Journal of Econometrics.
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1993The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics.
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1990THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT..(1990) In: Princeton, Department of Economics - Econometric Research Program.
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1990The Effect of Seasonal Adjustment Filters on Test for Unit Root..(1990) In: Cahiers de recherche.
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1990THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT..(1990) In: Cahiers de recherche.
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1994Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation In: Journal of Econometrics.
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1996Editors introduction recent developments in the econometrics of structural change In: Journal of Econometrics.
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1996The effect of linear filters on dynamic time series with structural change In: Journal of Econometrics.
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1994The Effect of Linear Filters on Dynamic Time series with Structural Change..(1994) In: Cahiers de recherche.
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1994The Effect of Linear Filters on Dynamic Time series with Structural Change..(1994) In: Cahiers de recherche.
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1997On seasonality and business cycle durations: A nonparametric investigation In: Journal of Econometrics.
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2000Econometric methods for derivative securities and risk management In: Journal of Econometrics.
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2003Emerging markets and trading costs: lessons from Casablanca In: Journal of Empirical Finance.
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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.
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2006Forecasting professional forecasters In: Finance and Economics Discussion Series.
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1993A time series model with periodic stochastic regime switching In: Discussion Paper / Institute for Empirical Macroeconomics.
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2011Is There Stigma to Discount Window Borrowing? In: Liberty Street Economics.
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2011Discount window stigma during the 2007-2008 financial crisis In: Staff Reports.
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1992Generalized Predictive Tests and Structural Change Analysis in Econometrics..(1992) In: Cahiers de recherche.
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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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1986Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model 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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1987Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp 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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1987The Political Economy of the Budget and Efficient Information Processing In: Cahiers de recherche.
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1988Nominal Versus Real Seasonal Adjustment In: Cahiers de recherche.
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1990On the Economic and Econometrics of Seasonality. In: Cahiers de recherche.
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1991Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation. 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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1992Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment. In: Cahiers de recherche.
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