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Quantile-based inflation risk models

Ghysels, Eric; Iania, Leonardo; Striaukas, Jonas - 2018

This paper proposes a new approach to extract quantile-based inflation risk measures using Quantile Autoregressive …-MIDAS model to construct inflation risk measures proxying for uncertainty, third-moment dynamics and the risk of extreme inflation … realizations. We find that these risk measures are linked to the future evolution of inflation and changes in the effective federal …

Persistent link: https://www.econbiz.de/10011920513

There is a risk-return tradeoff after all

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

Persistent link: https://www.econbiz.de/10002482316

There is a risk-return trade-off after all

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of financial economics 76 (2005) 3, pp. 509-548

Persistent link: https://www.econbiz.de/10002878247

There is a Risk-Return Tradeoff after All

Santa-Clara, Pedro - 2012

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

Persistent link: https://www.econbiz.de/10012755732

There is a Risk-Return Tradeoff After All

Ghysels, Eric - 2004

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

Persistent link: https://www.econbiz.de/10012467774

Forecasting seasonal time series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M. M. - 2006

Persistent link: https://www.econbiz.de/10003338442

Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger

Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006

Persistent link: https://www.econbiz.de/10003376072

Volatility forecasting and microstructure noise

Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271

Persistent link: https://www.econbiz.de/10009242520

Tails of inflation forecasts and tales of monetary policy

Andrade, Philippe; Ghysels, Eric; Idier, Julien - 2012

Persistent link: https://www.econbiz.de/10009663896

Ex ante skewness and expected stock returns

Conrad, Jennifer S.; Dittmar, Robert F.; Ghysels, Eric - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 85-124

Persistent link: https://www.econbiz.de/10009719760

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