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Browsing by Author « Ghysels, Eric »
Showing results 18 to 37 of 49
Market Time and Asset Price Movements Theory and Estimation | Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna | Issue Date : 1995-06 |
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The MIDAS Touch: Mixed Data Sampling Regression Models | Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen | Issue Date : 2004-05 |
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Monetary Policy Rules with Model and Data Uncertainty | Callan, Myles; Ghysels, Eric; Swanson, Norman R. | Issue Date : 1998-11 |
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Monitoring for Disruptions in Financial Markets | Andreou, Elena; Ghysels, Eric | Issue Date : 2004-05 |
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A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation | Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George | Issue Date : 1999-11 |
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Nonparametric Estimation of American Options Exercise Boundaries and Call Prices | Broadie, Mark; Detemple, Jérôme B.; Ghysels, Eric; Torrès, Olivier | Issue Date : 1996-09 |
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Nonparametric Methods and Option Pricing | Ghysels, Eric; Patilea, Valentin; Renault, Éric; Torrès, Olivier | Issue Date : 1997-04 |
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On Periodic Autogressive Conditional Heteroskedasticity | Bollerslev, Tim; Ghysels, Eric | Issue Date : 1994-09 |
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On Periodic Structures and Testing for Seasonal Unit Roots | Ghysels, Eric; Hall, Alastair; Lee, Hahn Shik | Issue Date : 1995-03 |
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On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation | Ghysels, Eric; Pereira, João | Issue Date : 2003-05 |
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On Stable Factor Structures in the Pricing of Risk | Ghysels, Eric | Issue Date : 1995-03 |
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On the Dynamic Specification of International Asset Pricing Models | Garcia, René; Ghysels, Eric; Kichian, Maral | Issue Date : 1995-09 |
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Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies | Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen | Issue Date : 2004-05 |
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Predictive Tests for Structural Change with Unknown Breakpoint | Ghysels, Eric; Guay, Alain; Hall, Alastair | Issue Date : 1995-03 |
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Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results | Andreou, Elena; Ghysels, Eric | Issue Date : 2000-05 |
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Seasonal Adjustment and Volatility Dynamics | Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L. | Issue Date : 1997-11 |
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Seasonal Nonstationarity and Near-Nonstationarity | Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M. M. | Issue Date : 1999-02 |
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Seasonal Time Series and Autocorrelation Function Estimation | Bell, William R.; Ghysels, Eric; Lee, Hahn Shik | Issue Date : 1997-10 |
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A Semi-Parametric Factor Model for Interest Rates | Ghysels, Eric; Ng, Serena | Issue Date : 1996-07 |
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A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure | Ghysels, Eric; Ng, Serena | Issue Date : 1997-10 |
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Showing results 18 to 37 of 49
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