×

zbMATH — the first resource for mathematics

Ghysels, Eric

Compute Distance To:
Author ID: ghysels.eric Recent zbMATH articles by "Ghysels, Eric"
Published as: Ghysels, E.; Ghysels, Eric
Documents Indexed: 55 Publications since 1990, including 2 Books

Publications by Year

Citations contained in zbMATH

40 Publications have been cited 607 times in 468 Documents Cited by Year
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
118
2003
Efficient estimation of general dynamic models with a continuum of moment conditions. Zbl 1247.91116
Carrasco, Marine; Chernov, Mikhail; Florens, Jean-Pierre; Ghysels, Eric
49
2007
Predicting volatility: getting the most out of return data sampled at different frequencies. Zbl 1337.62363
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen
49
2006
The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent. Zbl 0994.62086
Ghysels, Eric; Osborn, Denise R.
47
2001
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
32
2007
Stochastic volatility duration models. Zbl 1282.91237
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann
28
2004
Monitoring disruptions in financial markets. Zbl 1418.62372
Andreou, Elena; Ghysels, Eric
24
2006
A test for structural stability of Euler conditions parameters estimated via the generalized method of moments estimator. Zbl 0731.62156
Ghysels, Eric; Hall, Alastair
23
1990
American options with stochastic dividends and volatility: a nonparametric investigation. Zbl 1122.91323
Broadie, Mark; Detemple, Jérôme; Ghysels, Eric; Torrés, Olivier
20
2000
Volatility forecasting and microstructure noise. Zbl 1441.62702
Ghysels, Eric; Sinko, Arthur
17
2011
Predictive tests for structural change with unknown breakpoint. Zbl 0944.62121
Ghysels, Eric; Guay, Alain; Hall, Alastair
17
1998
Macroeconomics and the reality of mixed frequency data. Zbl 1431.62377
Ghysels, Eric
16
2016
GARCH for irregularly spaced financial data: the ACD-GARCH model. Zbl 1078.91564
Ghysels, Eric; Jasiak, Joanna
15
1998
Regression models with mixed sampling frequencies. Zbl 1431.62580
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros
13
2010
The effect of seasonal adjustment filters on tests for a unit root (with discussion). Zbl 0756.62044
Ghysels, Eric; Perron, Pierre
13
1993
Generalized predictive tests and structural change analysis in econometrics. Zbl 0796.62105
Dufour, Jean-Marie; Ghysels, Eric; Hall, Alastair
12
1994
Are consumption-based intertemporal capital asset pricing models structural? Zbl 0731.62157
Ghysels, Eric; Hall, Alastair
12
1990
A component model for dynamic correlations. Zbl 1441.62653
Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric
11
2011
Nonparametric estimation of American options’ exercise boundaries and call prices. Zbl 1032.91591
Broadie, M.; Detemple, J.; Ghysels, E.; Torrès, O.
11
2000
On periodic structures and testing for seasonal unit roots. Zbl 0881.62094
Ghysels, Eric; Hall, Alastair; Lee, Hahn Shik
10
1996
Structural breaks in financial time series. Zbl 1178.91217
Andreou, Elena; Ghysels, Eric
9
2009
Testing for Granger causality with mixed frequency data. Zbl 1419.62229
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji
8
2016
Testing for cointegration with temporally aggregated and mixed-frequency time series. Zbl 1330.62339
Ghysels, Eric; Miller, J. Isaac
6
2015
Changes in seasonal patterns. Are they cyclical? Zbl 0837.90025
Canova, Fabio; Ghysels, Eric
6
1994
Testing nonnested Euler conditions with quadrature-based methods of approximation. Zbl 0728.62105
Ghysels, Eric; Hall, Alastair
6
1990
Tests for breaks in the conditional co-movements of asset returns. Zbl 1034.62104
Andreou, Elena; Ghysels, Eric
5
2003
Kernel autocorrelogram for time-deformed processes. Zbl 0944.62073
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna
4
1998
The effect of linear filters on dynamic time series with structural change. Zbl 0834.62093
Ghysels, Eric; Perron, Pierre
4
1996
Structural change tests for simulated method of moments. Zbl 1191.62182
Ghysels, Eric; Guay, Alain
3
2003
Recent developments in the econometrics of structural change. Zbl 0834.00024
Dufour, Jean-Marie (ed.); Ghysels, Eric (ed.)
3
1996
HYBRID-GARCH: a generic class of models for volatility predictions using high frequency data. Zbl 06503820
Chen, Xilong; Ghysels, Eric; Wang, Fangfang
2
2015
Mixed-frequency vector autoregressive models. Zbl 1443.62150
Foroni, Claudia; Ghysels, Eric; Marcellino, Massimiliano
2
2013
Hybrid GARCH models and intra-daily return periodicity. Zbl 1266.91065
Chen, Xilong; Ghysels, Eric; Wang, Fangfang
2
2011
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Zbl 1126.91363
Chernov, Mikhail; Ghysels, Eric
2
2005
On seasonality and business cycle durations: A nonparametric investigation. Zbl 0877.62099
Ghysels, Eric
2
1997
Changes in seasonal patterns. Zbl 0875.62608
Canova, Fabio; Ghysels, Eric
2
1994
Inference in group factor models with an application to mixed-frequency data. Zbl 1431.62579
Andreou, E.; Gagliardini, P.; Ghysels, E.; Rubin, M.
1
2019
Quality control for structural credit risk models. Zbl 1429.62456
Andreou, Elena; Ghysels, Eric
1
2008
Testing for structural change in the presence of auxiliary models. Zbl 1069.62107
Ghysels, Eric; Guay, Alain
1
2004
Time-series model with periodic stochastic regime switching. I: Theory. Zbl 0979.91079
Ghysels, Eric
1
2000
Inference in group factor models with an application to mixed-frequency data. Zbl 1431.62579
Andreou, E.; Gagliardini, P.; Ghysels, E.; Rubin, M.
1
2019
Macroeconomics and the reality of mixed frequency data. Zbl 1431.62377
Ghysels, Eric
16
2016
Testing for Granger causality with mixed frequency data. Zbl 1419.62229
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji
8
2016
Testing for cointegration with temporally aggregated and mixed-frequency time series. Zbl 1330.62339
Ghysels, Eric; Miller, J. Isaac
6
2015
HYBRID-GARCH: a generic class of models for volatility predictions using high frequency data. Zbl 06503820
Chen, Xilong; Ghysels, Eric; Wang, Fangfang
2
2015
Mixed-frequency vector autoregressive models. Zbl 1443.62150
Foroni, Claudia; Ghysels, Eric; Marcellino, Massimiliano
2
2013
Volatility forecasting and microstructure noise. Zbl 1441.62702
Ghysels, Eric; Sinko, Arthur
17
2011
A component model for dynamic correlations. Zbl 1441.62653
Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric
11
2011
Hybrid GARCH models and intra-daily return periodicity. Zbl 1266.91065
Chen, Xilong; Ghysels, Eric; Wang, Fangfang
2
2011
Regression models with mixed sampling frequencies. Zbl 1431.62580
Andreou, Elena; Ghysels, Eric; Kourtellos, Andros
13
2010
Structural breaks in financial time series. Zbl 1178.91217
Andreou, Elena; Ghysels, Eric
9
2009
Quality control for structural credit risk models. Zbl 1429.62456
Andreou, Elena; Ghysels, Eric
1
2008
Efficient estimation of general dynamic models with a continuum of moment conditions. Zbl 1247.91116
Carrasco, Marine; Chernov, Mikhail; Florens, Jean-Pierre; Ghysels, Eric
49
2007
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
32
2007
Predicting volatility: getting the most out of return data sampled at different frequencies. Zbl 1337.62363
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen
49
2006
Monitoring disruptions in financial markets. Zbl 1418.62372
Andreou, Elena; Ghysels, Eric
24
2006
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Zbl 1126.91363
Chernov, Mikhail; Ghysels, Eric
2
2005
Stochastic volatility duration models. Zbl 1282.91237
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann
28
2004
Testing for structural change in the presence of auxiliary models. Zbl 1069.62107
Ghysels, Eric; Guay, Alain
1
2004
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
118
2003
Tests for breaks in the conditional co-movements of asset returns. Zbl 1034.62104
Andreou, Elena; Ghysels, Eric
5
2003
Structural change tests for simulated method of moments. Zbl 1191.62182
Ghysels, Eric; Guay, Alain
3
2003
The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent. Zbl 0994.62086
Ghysels, Eric; Osborn, Denise R.
47
2001
American options with stochastic dividends and volatility: a nonparametric investigation. Zbl 1122.91323
Broadie, Mark; Detemple, Jérôme; Ghysels, Eric; Torrés, Olivier
20
2000
Nonparametric estimation of American options’ exercise boundaries and call prices. Zbl 1032.91591
Broadie, M.; Detemple, J.; Ghysels, E.; Torrès, O.
11
2000
Time-series model with periodic stochastic regime switching. I: Theory. Zbl 0979.91079
Ghysels, Eric
1
2000
Predictive tests for structural change with unknown breakpoint. Zbl 0944.62121
Ghysels, Eric; Guay, Alain; Hall, Alastair
17
1998
GARCH for irregularly spaced financial data: the ACD-GARCH model. Zbl 1078.91564
Ghysels, Eric; Jasiak, Joanna
15
1998
Kernel autocorrelogram for time-deformed processes. Zbl 0944.62073
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna
4
1998
On seasonality and business cycle durations: A nonparametric investigation. Zbl 0877.62099
Ghysels, Eric
2
1997
On periodic structures and testing for seasonal unit roots. Zbl 0881.62094
Ghysels, Eric; Hall, Alastair; Lee, Hahn Shik
10
1996
The effect of linear filters on dynamic time series with structural change. Zbl 0834.62093
Ghysels, Eric; Perron, Pierre
4
1996
Recent developments in the econometrics of structural change. Zbl 0834.00024
Dufour, Jean-Marie (ed.); Ghysels, Eric (ed.)
3
1996
Generalized predictive tests and structural change analysis in econometrics. Zbl 0796.62105
Dufour, Jean-Marie; Ghysels, Eric; Hall, Alastair
12
1994
Changes in seasonal patterns. Are they cyclical? Zbl 0837.90025
Canova, Fabio; Ghysels, Eric
6
1994
Changes in seasonal patterns. Zbl 0875.62608
Canova, Fabio; Ghysels, Eric
2
1994
The effect of seasonal adjustment filters on tests for a unit root (with discussion). Zbl 0756.62044
Ghysels, Eric; Perron, Pierre
13
1993
A test for structural stability of Euler conditions parameters estimated via the generalized method of moments estimator. Zbl 0731.62156
Ghysels, Eric; Hall, Alastair
23
1990
Are consumption-based intertemporal capital asset pricing models structural? Zbl 0731.62157
Ghysels, Eric; Hall, Alastair
12
1990
Testing nonnested Euler conditions with quadrature-based methods of approximation. Zbl 0728.62105
Ghysels, Eric; Hall, Alastair
6
1990
all top 5

Cited by 711 Authors

26 Ghysels, Eric
10 Horváth, Lajos
9 Aue, Alexander
9 del Barrio Castro, Tomas
9 Hall, Alastair R.
8 Bollerslev, Tim
8 McAleer, Michael
8 Renault, Eric
7 Osborn, Denise R.
7 Shin, Dongwan
7 Taylor, A. M. Robert
6 Aknouche, Abdelhakim
6 Gourieroux, Christian
6 Rodrigues, Paulo M. M.
6 Tian, Zheng
5 Aït-Sahalia, Yacine
5 Andreou, Elena
5 Carrasco, Marine
5 Dufour, Jean-Marie
5 Franses, Philip Hans
5 Gagliardini, Patrick
5 Guay, Alain
5 Hušková, Marie
5 Kirch, Claudia
5 Meddahi, Nour
5 Omori, Yasuhiro
5 Tauchen, George E.
4 Andersen, Torben G.
4 Asai, Manabu
4 Bandi, Federico M.
4 Chen, Zhanshou
4 Garcia, René
4 Golosnoy, Vasyl
4 Hecq, Alain W.
4 Levendorskiĭ, Sergeĭ Zakharovich
4 Li, Chenxu
4 Otsu, Taisuke
4 Qi, Peiyan
4 Shephard, Neil
4 Swanson, Norman Rasmus
3 Boyarchenko, Svetlana I.
3 Chambers, Marcus J.
3 Christensen, Kim
3 Darolles, Serge
3 Deistler, Manfred
3 Deng, Guohe
3 Escobar, Marcos
3 Fouque, Jean-Pierre
3 Gallant, A. Ronald
3 Grammig, Joachim
3 Härdle, Wolfgang Karl
3 Hill, Jonathan B.
3 Hong, Yongmiao
3 Hounyo, Ulrich
3 Kokoszka, Piotr S.
3 Kotchoni, Rachidi
3 Li, Fuxiao
3 McCracken, Michael W.
3 Nakajima, Jouchi
3 Oh, Man-Suk
3 Oomen, Roel C. A.
3 Patton, Andrew J.
3 Phillips, Peter Charles Bonest
3 Rombouts, Jeroen V. K.
3 Steinebach, Josef G.
3 Todorov, Viktor
3 Valkanov, Rossen I.
3 Veredas, David
3 Werker, Bas J. M.
3 Wong, Hoi Ying
3 Xiu, Dacheng
3 Zhang, Xinsheng
3 Zhou, Hao
2 Allen, David E.
2 Amengual, Dante
2 Anderson, Brian David Outram
2 Baek, Changryong
2 Barigozzi, Matteo
2 Barndorff-Nielsen, Ole Eiler
2 Boldea, Otilia
2 Bouezmarni, Taoufik
2 Broadie, Mark N.
2 Burridge, Peter
2 Canova, Fabio
2 Chen, Bin
2 Chiu, Mei Choi
2 Christensen, Bent Jesper
2 Clark, Todd E.
2 Corradi, Valentina
2 Curry, Bruce
2 Da Fonseca, José
2 Damien, Paul
2 Darné, Olivier
2 Detemple, Jerome B.
2 Dienes, Christopher
2 Duan, Xifa
2 Duchesne, Pierre
2 El Montasser, Ghassen
2 Fernandes, Marcelo
2 Ferrando, Sebastián Esteban
...and 611 more Authors
all top 5

Cited in 84 Serials

172 Journal of Econometrics
27 Quantitative Finance
25 Computational Statistics and Data Analysis
23 Economics Letters
21 Econometric Theory
18 Journal of Time Series Analysis
14 Journal of Economic Dynamics & Control
8 Econometric Reviews
7 Journal of Statistical Planning and Inference
7 Statistics & Probability Letters
7 Communications in Statistics. Theory and Methods
6 The Econometrics Journal
5 Statistical Papers
4 European Journal of Operational Research
4 International Journal of Theoretical and Applied Finance
4 Journal of the Korean Statistical Society
4 Annals of Finance
3 Mathematics and Computers in Simulation
3 Computational Statistics
3 Communications in Statistics. Simulation and Computation
3 Bernoulli
3 Journal of Nonparametric Statistics
3 Finance and Stochastics
3 Journal of Applied Statistics
3 Journal of Forecasting
3 Electronic Journal of Statistics
3 The Annals of Applied Statistics
3 Journal of Time Series Econometrics
2 Metrika
2 Scandinavian Journal of Statistics
2 Applied Mathematics and Computation
2 Journal of Multivariate Analysis
2 Insurance Mathematics & Economics
2 Statistics
2 Sequential Analysis
2 Journal of Statistical Computation and Simulation
2 Stochastic Processes and their Applications
2 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
2 Mathematical Methods of Statistics
2 Complexity
2 Mathematical Problems in Engineering
2 Australian & New Zealand Journal of Statistics
2 Discrete Dynamics in Nature and Society
2 Statistical Inference for Stochastic Processes
2 Review of Derivatives Research
2 Computational Management Science
2 AStA. Advances in Statistical Analysis
1 Computers & Mathematics with Applications
1 International Journal of Systems Science
1 Journal of Mathematical Analysis and Applications
1 ACM Transactions on Mathematical Software
1 The Annals of Statistics
1 Automatica
1 Journal of the American Statistical Association
1 Journal of Mathematical Economics
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Computers & Operations Research
1 Numerical Algorithms
1 Computational Economics
1 Test
1 Open Economies Review
1 Journal of Mathematical Sciences (New York)
1 Applied Mathematical Finance
1 Mathematical Finance
1 Studies in Nonlinear Dynamics and Econometrics
1 Revista Matemática Complutense
1 Journal of Interdisciplinary Mathematics
1 Probability in the Engineering and Informational Sciences
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Asia-Pacific Financial Markets
1 Advances in Difference Equations
1 Journal of Statistical Mechanics: Theory and Experiment
1 The European Physical Journal B. Condensed Matter and Complex Systems
1 Mathematics and Financial Economics
1 SIAM Journal on Financial Mathematics
1 Financial Engineering and the Japanese Markets
1 Science China. Mathematics
1 Sankhyā. Series B
1 East Asian Journal on Applied Mathematics
1 Journal of Econometric Methods

Citations by Year