Détails d'un membre
Fellows associés
Courriel
eric.ghysels@cirano.qc.ca
Université
University of North Carolina, Chapel Hill
Fonction(s)
Ph.D., Northwestern University
Bernstein Distinguished Professor
Department of Economics
University of North Carolina, Chapel Hill
Titulaire de la Chaire Bernstein en économie

Domaine(s) d'intérêt
Économétrie des séries temporelles, Finance
Biographie
Titulaire d'un doctorat en économie du management et science de la décision de la Kellogg Graduate School of Management de l'Université Northwestern, Eric Ghysels est Edward M. Bernstein Distinguished Professor of Economics à l'University of North Carolina - Chapel Hill et professeur de finance...

Liste des publications scientifiques au CIRANO par Eric Ghysels

Code Publications
2004s-20 CS Eric Ghysels, Pedro Santa-Clara et Rossen Valkanov. The MIDAS Touch: Mixed Data Sampling Regression Models
2004s-21 CS Anders Eriksson, Lars Forsberg et Eric Ghysels. Approximating the Probability Distribution of Functions of Random Variables: A New Approach
2004s-19 CS Eric Ghysels, Pedro Santa-Clara et Rossen Valkanov. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
2004s-24 CS Eric Ghysels, Pedro Santa-Clara et Rossen Valkanov. There is a Risk-Return Tradeoff After All
2004s-25 CS Elena Andreou et Eric Ghysels. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
2004s-26 CS Elena Andreou et Eric Ghysels. Monitoring for Disruptions in Financial Markets
2004s-04 CS René Garcia, Eric Ghysels et Éric Renault. The Econometrics of Option Pricing
2003s-26 CS Eric Ghysels, Pedro Santa-Clara et Rossen Valkanov. There is a Risk-Return Tradeoff After All
2003s-27 CS Eric Ghysels et João Pereira. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation
2003s-02 CS Eric Ghysels, Jean-Pierre Florens, Mikhail Chernov et Marine Carrasco. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
2002s-58 CS Mikhail Chernov, A. Ronald Gallant, Eric Ghysels et George Tauchen. Alternative Models for Stock Price Dynamics
2002s-59 CS Elena Andreou et Eric Ghysels. Tests for Breaks in the Conditional Co-movements of Asset Returns
2001s-62 CS Charles Cao, Eric Ghysels et Frank Hatheway. Derivatives Do Affect Mutual Funds Returns : How and When?
2001s-65 CS Elena Andreou et Eric Ghysels. Detecting Mutiple Breaks in Financial Market Volatility Dynamics
2001s-54 CS Eric Ghysels et Alain Guay. Testing for Structural Change in the Presence of Auxiliary Models
2001s-44 CS Peter Christoffersen, Eric Ghysels et Norman R. Swanson. Let's Get "Real"" about Using Economic Data"
2000s-19 CS Elena Andreou et Eric Ghysels. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
2000s-11 CS Eric Ghysels et Junghoon Seon. The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
99s-48 CS Mikhail Chernov, A. Ronald Gallant, Eric Ghysels et George Tauchen. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
99s-04 CS Mouna Cherkaoui et Eric Ghysels. Emerging Markets and Trading Costs
99s-05 CS Eric Ghysels, Denise R. Osborn et Paulo M. M. Rodrigues. Seasonal Nonstationarity and Near-Nonstationarity
98s-40 CS Myles Callan, Eric Ghysels et Norman R. Swanson. Monetary Policy Rules with Model and Data Uncertainty
98s-19 CS Eric Ghysels et Alain Guay. Structural Change Tests for Simulated Method of Moments
98s-22 CS Mikhail Chernov et Eric Ghysels. What Data Should Be Used to Price Options?
98s-14 CS Charles Cao, Eric Ghysels et Frank Hatheway. Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
97s-39 CS Eric Ghysels, Clive W.J. Granger et Pierre L. Siklos. Seasonal Adjustment and Volatility Dynamics
97s-33 CS Eric Ghysels et Serena Ng. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure
97s-35 CS William R. Bell, Eric Ghysels et Hahn Shik Lee. Seasonal Time Series and Autocorrelation Function Estimation
97s-19 CS Eric Ghysels, Valentin Patilea, Éric Renault et Olivier Torrès. Nonparametric Methods and Option Pricing
97s-06 CS Eric Ghysels et Joanna Jasiak. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
96s-34 CS René Garcia et Eric Ghysels. Structural Change and Asset Pricing in Emerging Markets
96s-26 CS Mark Broadie, Jérôme B. Detemple, Eric Ghysels et Olivier Torrès. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
96s-24 CS Mark Broadie, Jérôme B. Detemple, Eric Ghysels et Olivier Torrès. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
96s-18 CS Eric Ghysels et Serena Ng. A Semi-Parametric Factor Model for Interest Rates
96s-19 CS Eric Ghysels, Christian Gouriéroux et Joanna Jasiak. Kernel Autocorrelogram for Time Deformed Processes
96s-20 CS Peter Bossaert, Eric Ghysels et Christian Gouriéroux. Arbitrage Based Pricing When Volatility Is Stochastic
95s-49 CS Eric Ghysels, Andrew Harvey et Éric Renault. Stochastic Volatility
95s-42 CS Eric Ghysels, Christian Gouriéroux et Joanna Jasiak. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
95s-39 CS René Garcia, Eric Ghysels et Maral Kichian. On the Dynamic Specification of International Asset Pricing Models
95s-31 CS Eric Ghysels et Joanna Jasiak. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
95s-32 CS Eric Ghysels, Christian Gouriéroux et Joanna Jasiak. Market Time and Asset Price Movements Theory and Estimation
95s-16 CS Eric Ghysels. On Stable Factor Structures in the Pricing of Risk
95s-19 CS Eric Ghysels, Clive W.J. Granger et Pierre L. Siklos. Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
95s-20 CS Eric Ghysels, Alain Guay et Alastair Hall. Predictive Tests for Structural Change with Unknown Breakpoint
95s-21 CS Eric Ghysels, Alastair Hall et Hahn Shik Lee. On Periodic Structures and Testing for Seasonal Unit Roots
95s-08 CS Bryan Campbell et Eric Ghysels. An Empirical Analysis of the Canadian Budget Process
94s-11 CS Eric Ghysels, Lynda Khalaf et Cosme Vodounou. Simulation Based Inference in Moving Average Models
94s-03 CS Tim Bollerslev et Eric Ghysels. On Periodic Autogressive Conditional Heteroskedasticity
94s-15 CS Eric Ghysels, Robert E. McCulloch et Ruey S. Tsay. Bayesian Inference for Periodic Regime-Switching Models

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