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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

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

On the (mis)specification of seasonality and its consequences : an empirical investigation with US data

Ghysels, Eric - In: Empirical economics : a journal of the Institute for … 18 (1993) 4, pp. 747-760

Persistent link: https://www.econbiz.de/10001331522

Federal budget projections : a nonparametric assessment of bias and efficiency

Campbell, Bryan - In: The review of economics and statistics 77 (1995) 1, pp. 17-31

Persistent link: https://www.econbiz.de/10001180426

Periodic autoregressive conditional heteroscedasticity

Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 2, pp. 139-160

Persistent link: https://www.econbiz.de/10001203173

Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results

Andreou, Elena; Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001695282

Changes in seasonal patterns : are they cyclical?

Canova, Fabio - In: Journal of economic dynamics & control 18 (1994) 6, pp. 1143-1171

Persistent link: https://www.econbiz.de/10001170702