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A time series model with periodic stochastic regime switching

Ghysels, Eric - 1993

Persistent link: https://www.econbiz.de/10000865918

The effect of seasonal adjustment filters on tests for a unit root

Ghysels, Eric; Perron, Pierre - 1990

Persistent link: https://www.econbiz.de/10000809708

Structural breaks in financial time series

Andreou, Elena; Ghysels, Eric - In: Handbook of financial time series, (pp. 839-870). 2009

Persistent link: https://www.econbiz.de/10003834237

Seasonal extraction in the presence of feedback

Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 5 (1987) 2, pp. 191-194

Persistent link: https://www.econbiz.de/10003559445

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

Persistent link: https://www.econbiz.de/10011518987