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Quality control for structural credit risk models

Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 146 (2008) 2, pp. 364-375

Persistent link: https://www.econbiz.de/10003783002

Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations

Andreou, Elena; Ghysels, Eric - 2006

Persistent link: https://www.econbiz.de/10003331375

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

Monitoring disruptions in financial markets

Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 135 (2006) 1/2, pp. 77-124

Persistent link: https://www.econbiz.de/10003376079

Regression models with mixed sampling frequencies

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: Journal of econometrics 158 (2010) 2, pp. 246-261

Persistent link: https://www.econbiz.de/10008839957

Should macroeconomic forecasters use daily financial data and how?

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 240-251

Persistent link: https://www.econbiz.de/10009753968

Is industrial production still the dominant factor for the US economy?

Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; … - 2016

We derive asymptotic properties of estimators and test statistics to determine - in a grouped data setting - common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit...

Persistent link: https://www.econbiz.de/10011515884

Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results

Andreou, Elena; Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001695282

Detecting multiple breaks in financial market volatility dynamics

Andreou, Elena; Ghysels, Eric - In: Journal of applied econometrics 17 (2002) 5, pp. 579-600

Persistent link: https://www.econbiz.de/10001709317

Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors

Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398

Persistent link: https://www.econbiz.de/10012618520