Similar Search Results

HYBRID GARCH models and intra-daily return periodicity

Chen, Xilong; Ghysels, Eric; Wang, Fangfang - In: Journal of time series econometrics 3 (2011) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009623573

Ex ante skewness and expected stock returns

Conrad, Jennifer S.; Dittmar, Robert F.; Ghysels, Eric - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 85-124

Persistent link: https://www.econbiz.de/10009719760

State space models and MIDAS regression

Bai, Jennie; Ghysels, Eric; Wright, Jonathan H. - In: Econometric reviews 32 (2013) 7, pp. 779-813

Persistent link: https://www.econbiz.de/10009758619

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