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THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT

Ghysels, Eric; Renault, Eric - In: Econometric Theory 28 (2012) 04, pp. 889-914

Persistent link: https://www.econbiz.de/10011067403

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; … - In: Econometric Theory 30 (2014) 03, pp. 580-605

Persistent link: https://www.econbiz.de/10010772971

TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES

Florens, Jean-Pierre; Renault, Eric; Touzi, Nizar - In: Econometric Theory 14 (1998) 06, pp. 744-769

Persistent link: https://www.econbiz.de/10005250173

Professor Marc Nerlove

Ghysels, Eric - In: Econometric Theory 9 (1993) 01, pp. 117-143

Persistent link: https://www.econbiz.de/10005411927

Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples

Ghysels, Eric; Lieberman, Offer - In: Econometric Theory 12 (1996) 03, pp. 432-457

It is common for an applied researcher to use filtered data, like seasonally adjusted series, for instance, to estimate the parameters of a dynamic regression model. In this paper, we study the effect of (linear) filters on the distribution of parameters of a dynamic regression model with a...

Persistent link: https://www.econbiz.de/10005610327

TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS

Ghysels, Eric; Guay, Alain - In: Econometric Theory 20 (2004) 06, pp. 1168-1202

Persistent link: https://www.econbiz.de/10005610363