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Ghysels, Eric, 1956-
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- Changes in seasonal patterns, are they cyclical
- Is the outcome of the federal budget process unbiased and efficient?, a nonparametric assessment
- Let's get "real" about using economic data
- Arbitrage-based pricing when volatility is stochastic
- Arbitrage-based pricing when volatility is stochastic
- Changes in seasonal patterns, are they cyclical?
- Periodic autoregressive conditional heteroskedasticity
- On the dynamic specification of international asset pricing models
- Essays in econometrics, collected papers of Clive W.J. Granger, edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson
- Generalized predicitive tests and structural change analysis in econometrics
- An empirical analysis of the Canadian budget process
- Essays in econometrics, collected papers of Clive W.J. Granger, edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson, Volume 1
- Essays in econometrics, collected papers of Clive W.J. Granger, edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson, Volume 2
- Predictive tests for structural change with unknown breakpoint
- Stochastic volatility and time deformation, an application of trading volume and leverage effects
- The econometric analysis of seasonal time series, Eric Ghysels, Denise R. Osborn
- Dynamic regression and filtered data series, a Laplace approximation to the effects of filtering in small samples
- A time series model with peiodic stochastic regime switching
- Simulation based inference in moving average models
- On periodic time series and testing the unit root hypothesis
- The effect of linear filters on dynamic time series with structural change
- On the (mis)specification of seasonality and its consequences, an empirical investigation with US data
- Stochastic volatility
- The business cycle, the seasonal cycle or just any cycle
- On periodic structures and testing for seasonal unit roots
- On the analysis of business cycles through the spectrum of chronologies
- The econometric analysis of seasonal time series, Eric Ghysels, Denise R. Osborn
- Applied economic forecasting using time series methods, Eric Ghysels and Massimiliano Marcellino
- A semi-parametric factor model for interest rates
- Trading patterns, time defromation and stochastic volatility in foreign exchange markets
- Testing for unit roots in seasonal time series, some theoretical extensions and a Monte Carlo investigation
- Causality between returns and trated volumes
- Market time and asset price movements, theory and estimation
- On stable factor structures in the pricing of risk
- Christmas, spring and the dawning of economic recovery
- On scoring asymmetric periodic probability models of turning-point forecasts
- Kernel autocorrelogram for time deformed processes
- Is seasonal adjustment a linear or nonlinear data filtering process?
- On the periodic time series and testing the unit root hypothesis
- Seasonal adjustment and other data transformations
- The effect of seasonal adjustment filters on tests for a unit root
- Are business cycle turning points uniformly distributed throughout the year?
- On the periodic structure of the business cycle
- Stochastic volatility
- Structural change tests for simulated method of moments
- Nonparametric methods and option pricing
- Stochastic volatility duration models
- Essays in econometrics, collected papers of Clive W.J. Granger, edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson, Volume 2
- Essays in econometrics, collected papers of Clive W.J. Granger, edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson, Volume 1