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~person:"Ghysels, Eric"
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Volatility
51
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49
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Ghysels, Eric
McAleer, Michael
526
Caporale, Guglielmo Maria
429
Gupta, Rangan
381
Phillips, Peter C. B.
345
Pesaran, M. Hashem
275
Härdle, Wolfgang
260
Diebold, Francis X.
232
Bollerslev, Tim
224
Linton, Oliver
221
Campbell, John Y.
212
Bekaert, Geert
207
Engle, Robert F.
188
Zaremba, Adam
185
Pierdzioch, Christian
181
Gao, Jiti
171
McMillan, David G.
171
Koopman, Siem Jan
170
Fabozzi, Frank J.
167
Hautsch, Nikolaus
163
Narayan, Paresh Kumar
153
Chang, Chia-Lin
149
Bali, Turan G.
146
Bouri, Elie
143
Faff, Robert W.
143
Gil-Alaña, Luis A.
142
Andrews, Donald W. K.
138
Gouriéroux, Christian
138
Timmermann, Allan
136
Wohar, Mark E.
135
Harvey, Campbell R.
134
Newey, Whitney K.
133
Kapetanios, George
132
Chiarella, Carl
131
Swanson, Norman R.
131
Allen, David E.
130
Lux, Thomas
130
Nielsen, Morten Ørregaard
130
Zhang, Lu
130
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12
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7
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7
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5
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4
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ECONIS (ZBW)
126
RePEc
8
EconStor
2
Other ZBW resources
1
Showing
1
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137
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1
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
Saved in:
2
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
Saved in:
3
Price momentum in stocks : insights from Victorian age data
Chabot, Benjamin
;
Ghysels, Eric
;
Jagannathan, Ravi
-
2008
Persistent link: https://www.econbiz.de/10003791258
Saved in:
4
Regime switches in the risk-return trade-off
Ghysels, Eric
;
Guérin, Pierre
;
Marcellino, Massimiliano
-
2013
first regime characterized by low ex-post returns and high
volatility
, the risk-return relation is reversed, whereas the …
Persistent link: https://www.econbiz.de/10010225468
Saved in:
5
Regime switches in the risk-return trade-off
Ghysels, Eric
;
Guérin, Pierre
;
Marcellino, Massimiliano
-
2013
Persistent link: https://www.econbiz.de/10010206904
Saved in:
6
Structural change and asset pricing in emerging markets
Garcia, René
- In:
Journal of international money and finance
17
(
1998
)
3
,
pp. 455-473
Persistent link: https://www.econbiz.de/10001246597
Saved in:
7
Predicting the VIX and the
Volatility
Risk Premium : What's Credit and Commodity
Volatility
Risk Got to Do with It?
Andreou, Elena
-
2014
Realized
Volatility
and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity
volatility
risk using factors which go beyond the equity class. These are
volatility
factors …
Persistent link: https://www.econbiz.de/10013045628
Saved in:
8
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
Saved in:
9
Predicting the VIX and the
volatility
risk premium : what's credit and commodity
volatility
risk got to do with it? Elena Andreou and Eric Ghysels
Andreou, Elena
;
Ghysels, Eric
-
2014
Persistent link: https://www.econbiz.de/10010440191
Saved in:
10
Predicting the VIX and the
volatility
risk premium : the role of short-run funding spreads
volatility
factors
Andreou, Elena
;
Ghysels, Eric
-
2020
Persistent link: https://www.econbiz.de/10014336139
Saved in:
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