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Browsing by Author « Ghysels, Eric »
Showing results 23 to 42 of 49
| 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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| Simulation Based Inference in Moving Average Models | | Ghysels, Eric; Khalaf, Lynda; Vodounou, Cosme | | Issue Date : 1994-10 |
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| Stochastic Volatility | | Ghysels, Eric; Harvey, Andrew; Renault, Éric | | Issue Date : 1995-11 |
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| Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects | | Ghysels, Eric; Jasiak, Joanna | | Issue Date : 1995-06 |
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| Structural Change and Asset Pricing in Emerging Markets | | Garcia, René; Ghysels, Eric | | Issue Date : 1996-11 |
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| Structural Change Tests for Simulated Method of Moments | | Ghysels, Eric; Guay, Alain | | Issue Date : 1998-06 |
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Showing results 23 to 42 of 49
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