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Forecasting seasonal time series

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

Persistent link: https://www.econbiz.de/10003338442

Structural breaks in financial time series

Andreou, Elena; Ghysels, Eric - In: Handbook of financial time series, (pp. 839-870). 2009

Persistent link: https://www.econbiz.de/10003834237

Price momentum in stocks : insights from Victorian age data

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2008

Persistent link: https://www.econbiz.de/10003791258

The normal inverse gaussian distribution and the pricing of derivatives

Eriksson, Anders; Ghysels, Eric; Wang, Fangfang - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 23-37

Persistent link: https://www.econbiz.de/10003852619

The JFEC invited lecture at the 2008 SoFiE conference

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003884345

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