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Econometric methods for derivative securities and risk management

Garcia, R.; Ghysels, E.; Renault, E. - In: Journal of Econometrics 94 (2000) 1-2, pp. 1-7

Persistent link: https://www.econbiz.de/10005285305

Forecasting and turning point predictions in a Bayesian panel VAR model

Canova, Fabio; Ciccarelli, Matteo - In: Journal of Econometrics 120 (2004) 2, pp. 327-359

Persistent link: https://www.econbiz.de/10005285877

Forecasting time series with common seasonal patterns

Canova, Fabio - In: Journal of Econometrics 55 (1993) 1-2, pp. 173-200

Persistent link: https://www.econbiz.de/10005285991

The dynamics of US inflation: Can monetary policy explain the changes?

Canova, Fabio; Ferroni, Filippo - In: Journal of Econometrics 167 (2012) 1, pp. 47-60

We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they...

Persistent link: https://www.econbiz.de/10010574074

Are consumption-based intertemporal capital asset pricing models structural?

Ghysels, Eric; Hall, Alastair - In: Journal of Econometrics 45 (1990) 1-2, pp. 121-139

Persistent link: https://www.econbiz.de/10005052756

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/10005052772

Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger

Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - In: Journal of Econometrics 135 (2006) 1-2, pp. 1-9

Persistent link: https://www.econbiz.de/10005122617

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/10005122796

American options with stochastic dividends and volatility: A nonparametric investigation

Broadie, Mark; Detemple, Jerome; Ghysels, Eric; Torres, … - In: Journal of Econometrics 94 (2000) 1-2, pp. 53-92

Persistent link: https://www.econbiz.de/10005228617

Predictive tests for structural change with unknown breakpoint

Ghysels, Eric; Guay, Alain; Hall, Alastair - In: Journal of Econometrics 82 (1998) 2, pp. 209-233

Persistent link: https://www.econbiz.de/10005228945