Détails d'un membre
Fellows associés
Courriel
eric.ghysels@cirano.qc.ca
Université
University of North Carolina at Chapel Hill
919 962-9810
Fonction(s)
Ph.D., Économie managériale et science de la décision, Kellogg Graduate School of Management, Northwestern University
Edward M. Bernstein Distinguished Professor of Economics et Professeur de finance à la Kenan-Flagler Business School
Département de sciences économiques
University of North Carolina at Chapel Hill
Domaine(s) d'intérêt
Tarification des actifs, finance, économétrie
Biographie
Eric Ghysels est Bernstein Distinguished Professor of Economics à l'University of North Carolina at Chapel Hill et professeur de finance à la Kenan-Flagler Business School. Ses principaux intérêts de recherche sont l'économétrie et la finance chronologique. Il a obtenu son doctorat de la...

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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