Advanced Search
MyIDEAS: Login

Eric Ghysels

Contents:

This is information that was supplied by Eric Ghysels in registering through RePEc. If you are Eric Ghysels , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Eric
Middle Name:
Last Name: Ghysels
Suffix:

RePEc Short-ID: pgh7

Email:
Homepage: http://www.unc.edu/~eghysels
Postal Address:
Phone:

Affiliation

Department of Economics
University of North Carolina-Chapel-Hill
Location: Chapel Hill, North Carolina (United States)
Homepage: http://www.unc.edu/depts/econ/
Email:
Phone: (919) 966-2383
Fax: (919) 966-4986
Postal: CB# 3305, Gardner Hall, Chapel Hill, NC 27599-3305
Handle: RePEc:edi:deuncus (more details at EDIRC)

Works

as in new window

Working papers

  1. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
  2. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.
  3. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  4. Eric Ghysels & Anders Eriksson Lars Forsberg, 2004. "Approximating the probability distribution of functions of random variables: A new approach," Econometric Society 2004 Far Eastern Meetings 503, Econometric Society.
  5. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
  6. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
  7. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
  8. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  9. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  10. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
  11. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
  12. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2003s-26, CIRANO.
  13. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
  14. Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
  15. Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO.
  16. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
  17. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal.
  18. Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.
  19. Eric Ghysels & Junghoon Seon, 2000. "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers 2000s-11, CIRANO.
  20. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
  21. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
  22. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
  23. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
  24. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
  25. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  26. Charles Cao & Eric Ghysels & Frank Hatheway, 1998. "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers 98s-14, CIRANO.
  27. Eric Ghysels & Serena Ng, 1998. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics 403, Boston College Department of Economics.
  28. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
  29. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
  30. Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.
  31. William R. Bell & Eric Ghysels & Hahn Shik Lee, 1997. "Seasonal Time Series and Autocorrelation Function Estimation," CIRANO Working Papers 97s-35, CIRANO.
  32. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
  33. Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO.
  34. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.
  35. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
  36. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
  37. Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO.
  38. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
  39. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
  40. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
  41. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
  42. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.
  43. Eric Ghysels & Joanna Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers 95s-31, CIRANO.
  44. René Garcia & Eric Ghysels & Maral Kichian, 1995. "On the Dynamic Specification of International Asset Pricing Models," CIRANO Working Papers 95s-39, CIRANO.
  45. Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO.
  46. Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," CIRANO Working Papers 95s-21, CIRANO.
  47. Bryan Campbell & Eric Ghysels, 1995. "An Empirical Analysis of the Canadian Budget Process," CIRANO Working Papers 95s-08, CIRANO.
  48. Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
  49. Perron, P. & Ghysels, E., 1994. "The Effect of Linear Filters on Dynamic Time series with Structural Change," Cahiers de recherche 9425, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  50. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  51. Eric Ghysels & Lynda Khalaf & Cosme Vodounou, 1994. "Simulation Based Inference in Moving Average Models," CIRANO Working Papers 94s-11, CIRANO.
  52. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Inference for Periodic Regime-Switching Models," CIRANO Working Papers 94s-15, CIRANO.
  53. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
  54. Ghysels, E. & Sarlan, H., 1994. "On the Analysis of Business Cycles Through the Spectrum of Chronologies," Cahiers de recherche 9416, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  55. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis.
  56. Ghysels, E. & Hall, A., 1993. "On Periodic Time Series and Testing the Unit Root Hypothesis," Cahiers de recherche 9333, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  57. Ghysels, E., 1993. "Seasonal Adjustment and Other Data Transformations," Cahiers de recherche 9322, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  58. Ghysels, E. & Lieberman, O., 1993. "Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples," Cahiers de recherche 9335, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  59. Ghysels, E. & Hall, A., 1993. "The Periodic Time Series and Testing the Unit Root Hypothesis," Cahiers de recherche 9325, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  60. Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Universite de Montreal, Departement de sciences economiques.
  61. Campbell, B. & Ghysels, E., 1992. "Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment," Cahiers de recherche 9217, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  62. Ghysels, E. & Lee, H.S. & Siklos, P.L., 1992. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data," Cahiers de recherche 9237, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  63. Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation for Research in Economics, Yale University.
  64. Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  65. Eric Ghysels, 1992. "Christmas, Spring and the Dawning of Economic Recovery," Cowles Foundation Discussion Papers 1027, Cowles Foundation for Research in Economics, Yale University.
  66. Ghysels, E. & Lee, H.S. & Noh, J., 1991. "Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation," Cahiers de recherche 9131, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  67. Ghysels, E., 1991. "On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts," Cahiers de recherche 9130, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  68. Ghysels, E., 1991. "Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?," Cahiers de recherche 9135, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  69. Ghysels, E., 1990. "On The Economic And Econometrics Of Seasonality," Cahiers de recherche 9028, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  70. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Test For Unit Root," Cahiers de recherche 9037, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  71. Ghysels, E. & Hall, A., 1990. "An Extension Of Quadrature-Based Methods For Solving Euler Conditions," Cahiers de recherche 9029, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  72. Ghysels, E., 1990. "The Business Cycle, The Seasonal Cycle Or Just Any Cycle," Cahiers de recherche 9036, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  73. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root," Papers 355, Princeton, Department of Economics - Econometric Research Program.
  74. David, J-F. & Ghysels, E., 1989. "Y A-T-Il Des Biais Systematiques Dans Les Annonces Budgetaires Canadiennes?," Cahiers de recherche 8912, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  75. Ghysels, E. & Hall, A., 1989. "On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency," Cahiers de recherche 8933, Universite de Montreal, Departement de sciences economiques.
  76. Ghysels, E. & Karangwa, E., 1988. "Nominal Versus Real Seasonal Adjustment," Cahiers de recherche 8842, Universite de Montreal, Departement de sciences economiques.
  77. Ghysels, E & Hall, A., 1988. "A Test For Structural Stability Of Euler Conditions Parameters Estimated Via The Generalized Methods Of Moments Estimators," Cahiers de recherche 8837, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  78. Ghysels, E., 1987. "The Political Economy of the Budget and Efficient Information Processing," Cahiers de recherche 8733, Universite de Montreal, Departement de sciences economiques.
  79. Ghysels, E., 1987. "Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality," Cahiers de recherche 8718, Universite de Montreal, Departement de sciences economiques.
  80. Ghysels, E., 1987. "Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp," Cahiers de recherche 8723, Universite de Montreal, Departement de sciences economiques.
  81. Ghysels, E. & Hall, A., 1987. "Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation," Cahiers de recherche 8703, Universite de Montreal, Departement de sciences economiques.
  82. Ghysels, E. & Hall, A., 1987. "Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory," Cahiers de recherche 8724, Universite de Montreal, Departement de sciences economiques.
  83. Ghysels, E. & Nerlove, M., 1986. "Seasonality in Surveys a Comparison of Belgian, French and German Business Tests," Cahiers de recherche 8614, Universite de Montreal, Departement de sciences economiques.
  84. Ghysels, E., 1986. "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series," Cahiers de recherche 8612, Universite de Montreal, Departement de sciences economiques.
  85. Ghysels, E., 1986. "Kalman Filter Seasonal Extraction Applied to Monetary Targeting," Cahiers de recherche 8611, Universite de Montreal, Departement de sciences economiques.
  86. Ghysels, E. & Nerlove, M., 1986. "Seasonality in Surveys Evidence From the Belgian Business Tests," Cahiers de recherche 8613, Universite de Montreal, Departement de sciences economiques.
  87. Ghysels, E., 1986. "Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model," Cahiers de recherche 8623, Universite de Montreal, Departement de sciences economiques.

Articles

  1. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
  2. Ghysels, Eric & Cherkaoui, Mouna, 2003. "Emerging markets and trading costs: lessons from Casablanca," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 169-198, February.
  3. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-76, July.
  4. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Lars Peter Hansen," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 442-47, October.
  5. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
  6. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August.
  7. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Christopher A. Sims," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 448-49, October.
  8. Lee, Hahn Shik & Ghysels, Eric & Bell, William R, 2002. "Seasonal Time Series and Autocorrelation Function Estimation," Manchester School, University of Manchester, vol. 70(5), pages 651-65, September.
  9. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
  10. Garcia, R. & Ghysels, E. & Renault, E., 2000. "Econometric methods for derivative securities and risk management," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 1-7.
  11. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  12. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  13. Ghysels, Eric, 2000. "Some Econometric Recipes for High-Frequency Data Cooking," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 154-63, April.
  14. Ghysels, Eric, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 165-67, April.
  15. Eric Ghysels & Serena Ng, 1998. "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
  16. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1998. "Bayesian inference for periodic regime-switching models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 129-143.
  17. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
  18. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
  19. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
  20. Bryan Campbell & Eric Ghysels, 1997. "An Empirical Analysis of the Canadian Budget Process," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 553-76, August.
  21. Ghysels, Eric, 1997. "Seasonal Adjustment and Other Data Transformations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 410-18, October.
  22. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 396-97, July.
  23. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
  24. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
  25. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-51, April.
  26. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-86, July.
  27. Campbell, Bryan & Ghysels, Eric, 1995. "Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 17-31, February.
  28. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
  29. Canova, Fabio & Ghysels, Eric, 1994. "Changes in seasonal patterns : Are they cyclical?," Journal of Economic Dynamics and Control, Elsevier, vol. 18(6), pages 1143-1171, November.
  30. Ghysels, Eric & Jasiak, Joanna, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 399-401, October.
  31. Dufour, Jean-Marie & Ghysels, Eric & Hall, Alastair, 1994. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 199-229, February.
  32. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-98, July.
  33. Ghysels, Eric, 1993. "Editor's introduction : Seasonality and econometric models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 1-8.
  34. Ghysels, Eric & Lee, Hahn S & Siklos, Pierre L, 1993. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data," Empirical Economics, Springer, vol. 18(4), pages 747-60.
  35. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  36. Ghysels, Eric, 1990. "Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 145-52, April.
  37. Ghysels, Eric & Hall, Alastair, 1990. "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 355-64, May.
  38. Ghysels, Eric & Hall, Alastair, 1990. "Testing nonnested Euler conditions with quadrature-based methods of approximation," Journal of Econometrics, Elsevier, vol. 46(3), pages 273-308, December.
  39. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
  40. Jean Francois David & Eric Ghysels, 1989. "Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.)," Canadian Public Policy, University of Toronto Press, vol. 15(3), pages 313-321, September.
  41. Ghysels, Eric, 1987. "Seasonal Extraction in the Presence of Feedback," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 191-94, April.

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-02-08
  2. NEP-ECM: Econometrics (10) 2001-06-14 2002-06-24 2003-05-22 2004-02-08 2004-05-16 2004-05-16 2004-05-16 2004-05-16 2004-05-16 2004-10-30. Author is listed
  3. NEP-ETS: Econometric Time Series (9) 2002-06-13 2002-06-24 2002-06-24 2003-04-27 2003-05-18 2004-02-08 2004-05-16 2004-05-16 2004-05-16. Author is listed
  4. NEP-FIN: Finance (12) 2002-06-13 2002-06-24 2002-06-24 2003-06-16 2004-02-08 2004-05-16 2004-05-26 2004-05-26 2004-05-26 2004-05-26 2004-11-22 2004-12-02. Author is listed
  5. NEP-FMK: Financial Markets (6) 2002-06-13 2002-06-24 2002-06-24 2004-02-08 2004-05-16 2004-05-16. Author is listed
  6. NEP-IFN: International Finance (2) 2002-06-24 2003-05-18
  7. NEP-RMG: Risk Management (4) 2003-04-27 2003-06-16 2003-06-16 2004-02-08

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
  22. Number of Registered Citing Authors
  23. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  32. Closeness measure in co-authorship network
  33. Betweenness measure in co-authorship network
  34. Wu-Index
  35. Strength of students

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Eric Ghysels should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.