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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
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Monitoring disruptions in financial markets
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 135 (2006) 1/2, pp. 77-124
Persistent link: https://www.econbiz.de/10003376079
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Frontiers of financial econometrics and financial engineering
Ghysels, Eric (contributor) - In: Journal of econometrics 116,1/2 : Annals of econometrics (2003)
Persistent link: https://www.econbiz.de/10004492050
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On seasonality and business cycle durations : a nonparametric investigation
Ghysels, Eric - In: Journal of econometrics 79 (1997) 2, pp. 269-290
Persistent link: https://www.econbiz.de/10001335929
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Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
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Machine learning panel data regressions with heavy-tailed dependent data : theory and application
Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
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Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 218 (2020) 2, pp. 633-654
Persistent link: https://www.econbiz.de/10012483174
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398
Persistent link: https://www.econbiz.de/10012618520