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Stigma in financial market : evidence from liquidity auctions and discount window borrowing during the crisis

Armantier, Olivier; Ghysels, Eric; Sarkar, Asani; … - 2011

borrow from the Term Auction Facility rather than from the discount window. The incidence of stigma varied according to bank …. -- discount window ; Term Auction Facility ; stigma ; crisis ; monetary policy …

Persistent link: https://www.econbiz.de/10008935736

Real-time forecasting of the US federal government budget : a simple mixed frequency data regression approach

Ghysels, Eric; Ozkan, Nazire - In: International journal of forecasting 31 (2015) 4, pp. 1009-1020

Persistent link: https://www.econbiz.de/10011474768

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

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Skewness in expected macro fundamentals and the predictability of equity returns : evidence and theory

Colacito, Riccardo; Ghysels, Eric; Meng, Jinghan; … - In: The review of financial studies 29 (2016) 8, pp. 2069-2109

Persistent link: https://www.econbiz.de/10011578976

Applied economic forecasting using time series methods

Ghysels, Eric; Marcellino, Massimiliano - 2018

Persistent link: https://www.econbiz.de/10011750387

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