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Indirect inference and calibration of dynamic stochastic general equilibrium models

Dridi, Ramdan; Guay, Alain; Renault, Eric - In: Journal of econometrics 136 (2007) 2, pp. 397-430

Persistent link: https://www.econbiz.de/10003412637

A time series model with periodic stochastic regime switching

Ghysels, Eric - 1993

Persistent link: https://www.econbiz.de/10000865918

The econometrics of option pricing

Garcia, René; Ghysels, Eric; Renault, Eric - 2010

Persistent link: https://www.econbiz.de/10003900680

Monitoring disruptions in financial markets

Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 135 (2006) 1/2, pp. 77-124

Persistent link: https://www.econbiz.de/10003376079

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

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...

Persistent link: https://www.econbiz.de/10011518987