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Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003861657

Some econometric recipes for high-frequency data cooking

Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 154-163

Persistent link: https://www.econbiz.de/10001469563

Wald, Likelihood Ratio, and Lagrange Multiplier tests in econometrics

Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10001327472

The Econometrics of Ultra-High Frequency Data

Engle, Robert F. - 1996

Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...

Persistent link: https://www.econbiz.de/10012473012

Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger

Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006

Persistent link: https://www.econbiz.de/10003376072

Predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger ; editor's introduction

Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - In: Journal of econometrics 135 (2006) 1/2, pp. 1-9

Persistent link: https://www.econbiz.de/10003376073

Special issue: Tribute to Clive W. J. Granger

Ghysels, Eric (contributor) - 2010

Persistent link: https://www.econbiz.de/10008652847

Interview with Christopher A. Sims

Sims, Christopher A.; Ghysels, Eric; Hall, Alastair R. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 4, pp. 448-449

Persistent link: https://www.econbiz.de/10001705957

Essays in econometrics : collected papers of Clive W.J. Granger

Ghysels, Eric (contributor); Granger, C. W. J. (honouree) - 2001

Persistent link: https://www.econbiz.de/10001568987

Econometric methods for derivative securities and risk management

Garcia, René (contributor); Ghysels, Eric (contributor); … - In: Journal of econometrics 94 (2000) 1/2, pp. 1-7

Persistent link: https://www.econbiz.de/10001437739

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