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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

Automated earnings forecasts : beat analysts or combine and conquer?

Ball, Ryan T.; Ghysels, Eric - In: Management science : journal of the Institute for … 64 (2018) 10, pp. 4936-4952

Persistent link: https://www.econbiz.de/10011932653

Real-time forecasts of state and local government budgets with an application to the COVID-19 pandemic

Ghysels, Eric; Grigoris, Fotis; Özkan, Nazire - In: National tax journal 75 (2022) 4, pp. 731-763

Persistent link: https://www.econbiz.de/10013548748

Forecasting seasonal time series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M. M. - 2006

Persistent link: https://www.econbiz.de/10003338442

Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...

Persistent link: https://www.econbiz.de/10003900365