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Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling
Ghysels, Eric - 2016
A typical MIDAS regression involves estimating parameters via nonlinear least squares, unless U-MIDAS is applied - which involves OLS - the latter being appealing when the sampling frequency differences are small. In this paper we propose to use OLS estimation of the MIDAS regression slope and...
Persistent link: https://www.econbiz.de/10012983387
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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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
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Econometric analysis of volatility component models
Wang, Fangfang; Ghysels, Eric - In: Econometric theory 31 (2015) 2, pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
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Moment-implied densities : properties and applications
Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
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Factor analysis with large panels volatility proxies
Ghysels, Eric - 2014
Persistent link: https://www.econbiz.de/10010382083
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The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
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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
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1997
Persistent link: https://www.econbiz.de/10000980453