| 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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