Eric Ghysels : Citation Profile


Are you Eric Ghysels?

University of North Carolina-Chapel-Hill

24

H index

46

i10 index

3367

Citations

RESEARCH PRODUCTION:

41

Articles

154

Papers

RESEARCH ACTIVITY:

   32 years (1986 - 2018). See details.
   Cites by year: 105
   Journals where Eric Ghysels has often published
   Relations with other researchers
   Recent citing documents: 414.    Total self citations: 66 (1.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgh7
   Updated: 2020-05-16    RAS profile: 2005-04-21    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Chabot, Benjamin (3)

Jagannathan, Ravi (2)

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

Is cited by:

Shephard, Neil (76)

Bollerslev, Tim (67)

Diebold, Francis (62)

Andersen, Torben (52)

Barndorff-Nielsen, Ole (46)

Marcellino, Massimiliano (44)

Christoffersen, Peter (43)

Osborn, Denise (40)

McAleer, Michael (39)

Asai, Manabu (38)

Maheu, John (35)

Cites to:

Bollerslev, Tim (63)

Renault, Eric (57)

Engle, Robert (56)

Tauchen, George (55)

Gallant, A. (52)

Hansen, Lars (44)

Harvey, Andrew (36)

Andrews, Donald (34)

gourieroux, christian (34)

Jasiak, Joann (34)

Drost, Feike C. (33)

Main data


Where Eric Ghysels has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics13
Journal of Econometrics12
Staff Reports4
Journal of Applied Econometrics2
Journal of Empirical Finance2
The Review of Economics and Statistics2
International Economic Review2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
University of Cyprus Working Papers in Economics / University of Cyprus Department of Economics2
Working Paper Series / Federal Reserve Bank of Chicago2

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). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps. (2019). Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang ; Jiang, Liyuan. In: Papers. RePEc:arx:papers:1808.05289.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

Full description at Econpapers || Download paper

2020Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

Full description at Econpapers || Download paper

2019Simulation smoothing for nowcasting with large mixed-frequency VARs. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1907.01075.

Full description at Econpapers || Download paper

2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

Full description at Econpapers || Download paper

2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

Full description at Econpapers || Download paper

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

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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

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

2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Popescu, Alexandra ; Levieuge, Gregory ; Colletaz, Gilbert. In: Working papers. RePEc:bfr:banfra:694.

Full description at Econpapers || Download paper

2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

Full description at Econpapers || Download paper

2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

Full description at Econpapers || Download paper

2018The European Central Bank’s Monetary Policy during Its First 20 Years. (2018). Smets, Frank ; Hartman, Philipp. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:49:y:2018:i:2018-02:p:1-146.

Full description at Econpapers || Download paper

2019Unconventional monetary policy tools: a cross-country analysis. (2019). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:63.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?. (2017). Paloviita, Maritta ; Łyziak, Tomasz. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_013.

Full description at Econpapers || Download paper

2017What does “below, but close to, two percent” mean? Assessing the ECB’s reaction function with real time data. (2017). Paloviita, Maritta ; Kilponen, Juha ; Jalasjoki, Pirkka ; Haavio, Markus. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_029.

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

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

Full description at Econpapers || Download paper

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

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

Full description at Econpapers || Download paper

2018Systemic Risk and the Great Depression. (2018). Vossmeyer, Angela ; Mitchener, Kris James ; Das, Sanjiv R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7425.

Full description at Econpapers || Download paper

2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

Full description at Econpapers || Download paper

2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Forecasting Japanese inflation with a news-based leading indicator of economic activities. (2019). Yamamoto, Hiroki ; Shintani, Mototsugu ; Ishijima, Hiroshi ; Goshima, Keiichi. In: CARF F-Series. RePEc:cfi:fseres:cf458.

Full description at Econpapers || Download paper

2019Identification des points de retournement du cycle économique au Canada. (2019). Kotchoni, Rachidi ; Surprenant, Stephane ; Stevanovic, Dalibor. In: CIRANO Project Reports. RePEc:cir:cirpro:2019rp-05.

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

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

2017Model Uncertainty in Macroeconomics: On the Implications of Financial Frictions. (2017). Wieland, Volker ; Lieberknecht, Philipp ; Quintana, Jorge ; Binder, Michael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12013.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

Full description at Econpapers || Download paper

2019On the consistency of central banks´ interest rate forecasts. (2019). Jung, Jin-Kyu ; Rlke, Jan-Christoph ; Frenkel, Michael. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00828.

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

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

Full description at Econpapers || Download paper

2018The first twenty years of the European Central Bank: monetary policy. (2018). Hartmann, Philipp ; Smets, Frank. In: Working Paper Series. RePEc:ecb:ecbwps:20182219.

Full description at Econpapers || Download paper

2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

Full description at Econpapers || Download paper

2019An analysis of the Eurosystem/ECB projections. (2019). Lambrias, Kyriacos ; Kontogeorgos, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20192291.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019How do policies mobilize private finance for renewable energy?—A systematic review with an investor perspective. (2019). Schmidt, Tobias S ; Steffen, Bjarne ; Egli, Florian ; Polzin, Friedemann. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:1249-1268.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Detecting structural breaks in realized volatility. (2019). Baek, Changryong ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:134:y:2019:i:c:p:58-75.

Full description at Econpapers || Download paper

2019Pricing and Exercising American Options: an Asymptotic Expansion Approach. (2019). Ye, Yongxin ; Li, Chenxu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:11.

Full description at Econpapers || Download paper

2019The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:5.

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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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]
article47
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: 47
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]
article154
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
paper
1994Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 154
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? In: Journal of Business & Economic Statistics.
[Citation analysis]
article34
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: 34
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: 34
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: 34
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article16
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]
article10
2002Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results. In: Journal of Business & Economic Statistics.
[Citation analysis]
article79
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: 79
paper
2002Interview with Lars Peter Hansen. In: Journal of Business & Economic Statistics.
[Citation analysis]
article8
2002Interview with Christopher A. Sims. In: Journal of Business & Economic Statistics.
[Citation analysis]
article2
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]
article21
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]
paper11
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: 11
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: 11
article
2000The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
2001Lets Get Real about Using Economic Data In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper21
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: 21
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: 21
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: 21
paper
2001Testing for Structural Change in the Presence of Auxiliary Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper3
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: 3
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]
paper151
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: 151
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: 151
paper
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper387
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 387
paper
2002Tests for Breaks in the Conditional Co-movements of Asset Returns In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper3
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: 3
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]
paper329
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 329
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: 329
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]
paper287
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: 287
paper
2004The MIDAS Touch: Mixed Data Sampling Regression Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper189
2004Approximating the Probability Distribution of Functions of Random Variables: A New Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper7
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: 7
paper
2004The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper12
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]
paper5
1995Simulation Based Inference in Moving Average Models..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
1995Simulation Based Inference in Moving Average Models..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1994Bayesian Inference for Periodic Regime-Switching Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
1998Bayesian inference for periodic regime-switching models.(1998) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
1995An Empirical Analysis of the Canadian Budget Process In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper10
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: 10
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: 10
paper
1995An Empirical Analysis of the Canadian Budget Process..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 10
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]
paper15
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: 15
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: 15
paper
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper14
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: 14
paper
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 14
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]
paper10
1995Stochastic Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper312
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has another version. Agregated cites: 312
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 312
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 312
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]
paper13
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: 13
article
1996American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper36
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: 36
article
1996Structural Change and Asset Pricing in Emerging Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper35
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: 35
article
1997GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper6
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]
paper2
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]
paper8
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]
paper23
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]
paper60
1994Changes in seasonal patterns : Are they cyclical? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article44
1992Changes in Seasonal Patters: Are They Cyclical..(1992) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
paper
1992Changes in Seasonal Patters: Are They Cyclical..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 44
paper
2004Stochastic volatility duration models In: Journal of Econometrics.
[Full Text][Citation analysis]
article70
1990Are consumption-based intertemporal capital asset pricing models structural? In: Journal of Econometrics.
[Full Text][Citation analysis]
article39
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]
article81
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: 81
paper
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: 81
paper
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: 81
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]
article99
1996Editors introduction recent developments in the econometrics of structural change In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
1996The effect of linear filters on dynamic time series with structural change In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
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: 18
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: 18
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]
article16
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]
article190
2006Forecasting professional forecasters In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper5
2014Momentum Trading, Return Chasing and Predictable Crashes In: Working Paper Series.
[Full Text][Citation analysis]
paper8
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
[Full Text][Citation analysis]
paper5
2011The low-frequency impact of daily monetary policy shocks In: Working Papers.
[Full Text][Citation analysis]
paper3
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
2011Is There Stigma to Discount Window Borrowing? In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2015Discount window stigma during the 2007-2008 financial crisis In: Staff Reports.
[Full Text][Citation analysis]
paper73
2012Forecasting through the rear-view mirror: data revisions and bond return predictability In: Staff Reports.
[Full Text][Citation analysis]
paper5
2018Liquidity and volatility in the U.S. treasury market In: Staff Reports.
[Full Text][Citation analysis]
paper10
2014Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences In: Staff Reports.
[Full Text][Citation analysis]
paper36
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]
article53
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: 53
paper
1994Generalized Predictive Tests and Structural Change Analysis in Econometrics. In: International Economic Review.
[Full Text][Citation analysis]
article20
1992Generalized Predictive Tests and Structural Change Analysis in Econometrics..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 20
paper
1992Generalized Predictive Tests and Structural Change Analysis in Econometrics..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 20
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]
paper3
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
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]
paper12
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: 12
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: 12
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..(1993) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
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]
paper6
2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper11
1995Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article22

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team