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Do mechanical filters provide a good approximation of business cycles?

Guay, Alain; St-Amant, Pierre - 1996

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Estimating and projecting potential output using structural VAR methodology : the case of the Mexican economy

De Serres, Alain - 1995

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Forecasting seasonal time series

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

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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

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

Why do absolute returns predict volatility so well?

Forsberg, Lars; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 31-67

Persistent link: https://www.econbiz.de/10003518282

Volatility forecasting and microstructure noise

Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271

Persistent link: https://www.econbiz.de/10009242520

Comments on "The financial content of inflation risks in the euro area" by Andrade, Fourel, Ghysels and Idier

Monteforte, Libero; Frale, Cecilia - In: International journal of forecasting 30 (2014) 3, pp. 660-661

Persistent link: https://www.econbiz.de/10010514768

The financial content of inflation risks in the euro area

Andrade, Philippe; Fourel, Valère; Ghysels, Eric; … - In: International journal of forecasting 30 (2014) 3, pp. 648-659

Persistent link: https://www.econbiz.de/10010514778