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Conditional skewness of stock market returns in developed and emerging markets and its economic fundamentals

Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I. - 2011

emerging markets produces significant portfolio gains. Skewness, Developed Markets, Emerging Markets, Quantile estimation …

Persistent link: https://www.econbiz.de/10009009566

Is industrial production still the dominant factor for the US economy?

Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; … - 2016

We derive asymptotic properties of estimators and test statistics to determine - in a grouped data setting - common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit...

Persistent link: https://www.econbiz.de/10011515884

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed … computational efficiency. An application to forecasting quarterly GDP growth in the Euro area with monthly macroeconomic indicators …

Persistent link: https://www.econbiz.de/10011518987