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Browsing by Author « Ghysels, Eric »

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Alternative Models for Stock Price Dynamics
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
Issue Date : 2002-06

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
Broadie, Mark; Detemple, Jérôme B.; Ghysels, Eric; Torrès, Olivier
Issue Date : 1996-10

Approximating the Probability Distribution of Functions of Random Variables: A New Approach
Eriksson, Anders; Forsberg, Lars; Ghysels, Eric
Issue Date : 2004-05

Arbitrage Based Pricing When Volatility Is Stochastic
Bossaert, Peter; Ghysels, Eric; Gouriéroux, Christian
Issue Date : 1996-07

The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
Ghysels, Eric; Seon, Junghoon
Issue Date : 2000-03

Bayesian Inference for Periodic Regime-Switching Models
Ghysels, Eric; McCulloch, Robert E.; Tsay, Ruey S.
Issue Date : 1994-01

Derivatives Do Affect Mutual Funds Returns : How and When?
Cao, Charles; Ghysels, Eric; Hatheway, Frank
Issue Date : 2001-11

Detecting Mutiple Breaks in Financial Market Volatility Dynamics
Andreou, Elena; Ghysels, Eric
Issue Date : 2001-11

The Econometrics of Option Pricing
Garcia, René; Ghysels, Eric; Renault, Éric
Issue Date : 2004-01

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
Carrasco, Marine; Chernov, Mikhail; Florens, Jean-Pierre; Ghysels, Eric
Issue Date : 2003-01

Emerging Markets and Trading Costs
Cherkaoui, Mouna; Ghysels, Eric
Issue Date : 1999-02

An Empirical Analysis of the Canadian Budget Process
Campbell, Bryan; Ghysels, Eric
Issue Date : 1995-02

GARCH for Irregularly Spaced Data: The ACD-GARCH Model
Ghysels, Eric; Jasiak, Joanna
Issue Date : 1997-02

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
Andreou, Elena; Ghysels, Eric
Issue Date : 2004-05

Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L.
Issue Date : 1995-03

Kernel Autocorrelogram for Time Deformed Processes
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna
Issue Date : 1996-07

Let's Get "Real" about Using Economic Data
Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R.
Issue Date : 2001-07

Market Time and Asset Price Movements Theory and Estimation
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna
Issue Date : 1995-06

The MIDAS Touch: Mixed Data Sampling Regression Models
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen
Issue Date : 2004-05

Monetary Policy Rules with Model and Data Uncertainty
Callan, Myles; Ghysels, Eric; Swanson, Norman R.
Issue Date : 1998-11

Showing results 1 to 20 of 49

 

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