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Showing results 25 to 44 of 49
On Periodic Autogressive Conditional Heteroskedasticity
Bollerslev, Tim; Ghysels, Eric
Issue Date : 1994-09

On Periodic Structures and Testing for Seasonal Unit Roots
Ghysels, Eric; Hall, Alastair; Lee, Hahn Shik
Issue Date : 1995-03

On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation
Ghysels, Eric; Pereira, João
Issue Date : 2003-05

On Stable Factor Structures in the Pricing of Risk
Ghysels, Eric
Issue Date : 1995-03

On the Dynamic Specification of International Asset Pricing Models
Garcia, René; Ghysels, Eric; Kichian, Maral
Issue Date : 1995-09

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen
Issue Date : 2004-05

Predictive Tests for Structural Change with Unknown Breakpoint
Ghysels, Eric; Guay, Alain; Hall, Alastair
Issue Date : 1995-03

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
Andreou, Elena; Ghysels, Eric
Issue Date : 2000-05

Seasonal Adjustment and Volatility Dynamics
Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L.
Issue Date : 1997-11

Seasonal Nonstationarity and Near-Nonstationarity
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M. M.
Issue Date : 1999-02

Seasonal Time Series and Autocorrelation Function Estimation
Bell, William R.; Ghysels, Eric; Lee, Hahn Shik
Issue Date : 1997-10

A Semi-Parametric Factor Model for Interest Rates
Ghysels, Eric; Ng, Serena
Issue Date : 1996-07

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure
Ghysels, Eric; Ng, Serena
Issue Date : 1997-10

Simulation Based Inference in Moving Average Models
Ghysels, Eric; Khalaf, Lynda; Vodounou, Cosme
Issue Date : 1994-10

Stochastic Volatility
Ghysels, Eric; Harvey, Andrew; Renault, Éric
Issue Date : 1995-11

Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
Ghysels, Eric; Jasiak, Joanna
Issue Date : 1995-06

Structural Change and Asset Pricing in Emerging Markets
Garcia, René; Ghysels, Eric
Issue Date : 1996-11

Structural Change Tests for Simulated Method of Moments
Ghysels, Eric; Guay, Alain
Issue Date : 1998-06

Testing for Structural Change in the Presence of Auxiliary Models
Ghysels, Eric; Guay, Alain
Issue Date : 2001-09

Tests for Breaks in the Conditional Co-movements of Asset Returns
Andreou, Elena; Ghysels, Eric
Issue Date : 2002-06

Showing results 25 to 44 of 49


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