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Browsing by Author « Ghysels, Eric »
Showing results 13 to 32 of 49
| GARCH for Irregularly Spaced Data: The ACD-GARCH Model | | Ghysels, Eric; Jasiak, Joanna | | Issue Date : 1997-02 |
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| The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests | | Andreou, Elena; Ghysels, Eric | | Issue Date : 2004-05 |
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| Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? | | Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L. | | Issue Date : 1995-03 |
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| Kernel Autocorrelogram for Time Deformed Processes | | Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna | | Issue Date : 1996-07 |
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| Let's Get "Real" about Using Economic Data | | Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R. | | Issue Date : 2001-07 |
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| 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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Showing results 13 to 32 of 49
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