Eric Ghysels
Eric Ghysels
Bernstein Distinguished Professor of Economics, UNC and Kenan-Flagler Business School
Verified email at unc.edu
TitleCited byYear
5 Stochastic volatility
E Ghysels, AC Harvey, E Renault
Handbook of statistics 14, 119-191, 1996
12461996
Alternative models for stock price dynamics
M Chernov, AR Gallant, E Ghysels, G Tauchen
Journal of Econometrics 116 (1-2), 225-257, 2003
9852003
There is a risk-return trade-off after all
E Ghysels, P Santa-Clara, R Valkanov
Journal of Financial Economics 76 (3), 509-548, 2005
9362005
Predicting volatility: getting the most out of return data sampled at different frequencies
E Ghysels, P Santa-Clara, R Valkanov
Journal of Econometrics 131 (1-2), 59-95, 2006
6772006
MIDAS regressions: Further results and new directions
E Ghysels, A Sinko, R Valkanov
Econometric Reviews 26 (1), 53-90, 2007
6652007
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
M Chernov, E Ghysels
Journal of financial economics 56 (3), 407-458, 2000
6522000
Ex ante skewness and expected stock returns
J Conrad, RF Dittmar, E Ghysels
The Journal of Finance 68 (1), 85-124, 2013
5862013
Semiparametric regression for the applied econometrician
A Yatchew
Cambridge University Press, 2003
4762003
The MIDAS touch: Mixed data sampling regression models
E Ghysels, P Santa-Clara, R Valkanov
4522004
On stable factor structures in the pricing of risk: do time‐varying betas help or hurt?
E Ghysels
The Journal of Finance 53 (2), 549-573, 1998
4431998
Periodic autoregressive conditional heteroscedasticity
T Bollerslev, E Ghysels
Journal of Business & Economic Statistics 14 (2), 139-151, 1996
4201996
Stock market volatility and macroeconomic fundamentals
RF Engle, E Ghysels, B Sohn
Review of Economics and Statistics 95 (3), 776-797, 2013
3942013
The econometric analysis of seasonal time series
E Ghysels, DR Osborn, TJ Sargent
Cambridge University Press, 2001
3862001
Detecting multiple breaks in financial market volatility dynamics
E Andreou, E Ghysels
Journal of Applied Econometrics 17 (5), 579-600, 2002
3752002
The impact of risk and uncertainty on expected returns
EW Anderson, E Ghysels, JL Juergens
Journal of Financial Economics 94 (2), 233-263, 2009
3252009
Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation
E Ghysels, HS Lee, J Noh
Journal of econometrics 62 (2), 415-442, 1994
3041994
Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation
E Ghysels, HS Lee, J Noh
Journal of econometrics 62 (2), 415-442, 1994
3021994
Testing for unit roots in seasonal time series: some theoretical extensions and a Monte Carlo investigation
E Ghysels, HS Lee, J Noh
Journal of econometrics 62 (2), 415-442, 1994
3021994
Why do absolute returns predict volatility so well?
L Forsberg, E Ghysels
Journal of Financial Econometrics 5 (1), 31-67, 2007
3002007
The effect of seasonal adjustment filters on tests for a unit root
E Ghysels, P Perron
Journal of Econometrics 55 (1-2), 57-98, 1993
2771993
The system can't perform the operation now. Try again later.
Articles 1–20