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In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - 2016

Persistent link: https://www.econbiz.de/10011524318

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338

Persistent link: https://www.econbiz.de/10011691438

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - 2016

Persistent link: https://www.econbiz.de/10011582617

Unit-root tests and the statistical pitfalls of seasonal adjustment : the case of US postwar real gross national product

Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 2, pp. 145-152

Persistent link: https://www.econbiz.de/10001086822

Uncertainty and projections of the demand for mail

Fève, Frédérique; Florens, Jean-Pierre; … - In: Multi-modal competition and the future of mail, (pp. 77-93). 2012

Persistent link: https://www.econbiz.de/10009540197

Internet advertising and direct mail : trends and analysis for the UK

Soteri, Soterios; Fève, Frédérique; Florens, Jean-Pierre - In: Progress in the competitive agenda in the postal and …, (pp. 209-222). 2009

Persistent link: https://www.econbiz.de/10003838657

Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

Persistent link: https://www.econbiz.de/10011460679

Price discovery without trading : evidence from the Nasdaq preopening

Cao, Charles Q.; Ghysels, Eric; Hatheway, Frank - In: The journal of finance : the journal of the American … 55 (2000) 3, pp. 1339-1365

Persistent link: https://www.econbiz.de/10001497604

A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

Chernov, Mikhail; Ghysels, Eric - In: Journal of financial economics 56 (2000) 3, pp. 407-458

Persistent link: https://www.econbiz.de/10001483311

A semiparametric factor model of interest rates and tests of the affine term structure

Ghysels, Eric - In: The review of economics and statistics 80 (1998) 4, pp. 535-548

Persistent link: https://www.econbiz.de/10001254697