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Factor analysis with large panels volatility proxies

Ghysels, Eric - 2014

Persistent link: https://www.econbiz.de/10010382083

L'analyse économétrique et la saisonnalité

Ghysels, Eric - In: L' Actualité économique : revue trimest. 70 (1994) 1, pp. 43-62

Persistent link: https://www.econbiz.de/10001164056

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

Regression models with mixed sampling frequencies

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: Journal of econometrics 158 (2010) 2, pp. 246-261

Persistent link: https://www.econbiz.de/10008839957

Estimating the distribution of treatment effects

Ghysels, Eric; Hoderlein, Stefan - 2011

Persistent link: https://www.econbiz.de/10009552660

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

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Persistent link: https://www.econbiz.de/10010225468

On the size distortion from linearly interpolating low-frequency series for cointegration tests

Ghysels, Eric; Miller, J. Isaac - 2014 - Rev .

Persistent link: https://www.econbiz.de/10010231623

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

Testing for cointegration with temporally aggregated and mixed-frequency time series

Ghysels, Eric; Miller, J. Isaac - 2013 - Rev.

Persistent link: https://www.econbiz.de/10010200462