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[BOOK] Stochastic volatility

[PDF] from cirano.qc.ca
E Ghysels, AC Harvey, E Renault… - 1996 - secure.cirano.qc.ca
This paper, prepared for the" Handbook of Statistics", vol. 14, Statistical Methods in Finance,
surveys the subject of Stochastic Volatility. The following subjects are covered: volatility in
financial markets (instantaneous volatility of asset returns, implied volatilities in option ...
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Alternative models for stock price dynamics

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M Chernov, A Ronald Gallant, E Ghysels… - Journal of …, 2003 - Elsevier
This paper evaluates the role of various volatility specifications, such as multiple stochastic
volatility (SV) factors and jump components, in appropriate modeling of equity return
distributions. We use estimation technology that facilitates nonnested model comparisons ...
Cited by 555 - Related articles - Library Search - All 37 versions

A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

[PDF] from 112.78.41.54
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M Chernov, E Ghysels - Journal of financial economics, 2000 - Elsevier
The purpose of this paper is to bridge two strands of the literature, one pertaining to the
objective or physical measure used to model an underlying asset and the other pertaining to
the risk-neutral measure used to price derivatives. We propose a generic procedure using ...
Cited by 435 - Related articles - All 27 versions

There is a risk-return trade-off after all

[PDF] from mecon.gov.ar
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E Ghysels, P Santa-Clara… - Journal of Financial Economics, 2005 - Elsevier
This paper studies the intertemporal relation between the conditional mean and the
conditional variance of the aggregate stock market return. We introduce a new estimator that
forecasts monthly variance with past daily squared returns, the mixed data sampling (or ...
Cited by 321 - Related articles - BL Direct - All 37 versions

On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?

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E Ghysels - The Journal of Finance, 1998 - Wiley Online Library
There is now considerable evidence suggesting that estimated betas of unconditional
capital asset pricing models (CAPMs) exhibit statistically significant time variation. Therefore,
many have advocated the use of conditional CAPMs. If we succeed in capturing the ...
Cited by 274 - Related articles - BL Direct - All 10 versions

Predicting volatility: getting the most out of return data sampled at different frequencies

[PDF] from mecon.gov.ar
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E Ghysels, P Santa-Clara… - Journal of Econometrics, 2006 - Elsevier
We consider various mixed data sampling (MIDAS) regressions to predict volatility. The
regressions differ in the specification of regressors (squared returns, absolute returns,
realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5- ...
Cited by 249 - Related articles - Library Search - BL Direct - All 45 versions

Periodic autoregressive conditional heteroscedasticity

[TXT] from duke.edu
T Bollerslev… - Journal of Business & Economic Statistics, 1996 - JSTOR
Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a
new class of models featuring periodicity in conditional heteroscedasticity explicitly
designed to capture the repetitive seasonal time variation in the second-order moments. ...
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Testing for unit roots in seasonal time series:: Some theoretical extensions and a Monte Carlo investigation

[PDF] from unomaha.edu
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E Ghysels, HS Lee… - Journal of Econometrics, 1994 - Elsevier
Abstract Part of the increasing interest in the treatment of seasonality in economic time
series has focused on detecting the presence of unit roots at some of the seasonal
frequencies as well as at the zero frequency. In this paper we introduce new test statistics, ...
Cited by 217 - Related articles - All 12 versions

[BOOK] The econometric analysis of seasonal time series

E Ghysels… - 2001 - books.google.com
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent
developments in the econometric analysis of seasonal economic time series, summarizing a
decade of theoretical advances in the area. The authors discuss the asymptotic ...
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The effect of seasonal adjustment filters on tests for a unit root

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E Ghysels… - Journal of Econometrics, 1993 - Elsevier
Abstract We consider the effect of seasonal adjustment filters in univariate dynamic models.
We concentrate our analysis on the behavior of the least-squares estimator of the sum of the
autoregressive coefficients in a regression. We show the existence of a limiting upward ...
Cited by 178 - Related articles - Library Search - All 12 versions

Detecting multiple breaks in financial market volatility dynamics

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E Andreou… - Journal of Applied Econometrics, 2002 - Wiley Online Library
The paper evaluates the performance of several recently proposed tests for structural breaks
in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH
and SV type processes as well as data-driven volatility estimators using high-frequency ...
Cited by 168 - Related articles - Library Search - BL Direct - All 28 versions

[PDF] Rolling-sample volatility estimators

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E Andreou… - Journal of Business and Economic Statistics, 2002 - ASA
We propose extensions of the continuous record asymptotic analysis for rolling sample
variance estimators developed for estimating the quadratic variation of asset returns,
referred to as integrated or realized volatility. We treat integrated volatility as a continuous ...
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Price discovery without trading: Evidence from the Nasdaq preopening

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C Cao, E Ghysels… - The Journal of Finance, 2000 - Wiley Online Library
This paper studies Nasdaq market makers' activities during the one and one-half hour
preopening period. Price discovery during the preopening is conducted via price signaling
as opposed to the auction used to open the NYSE or the continuous market used during ...
Cited by 134 - Related articles - BL Direct - All 14 versions

[BOOK] GARCH for irregularly spaced financial data: the ACD-GARCH model

[PDF] from erudit.org
E Ghysels, J Jasiak… - 1997 - depot.erudit.org
Résumé/Abstract Nous développons une classe de modèles ARCH pour les séries
temporelles échantillonnées à intervalles inégaux comme des observations liées à des
transactions de marché. Notre approche est fondée sur la méthode d'aggrégation ...
Cited by 130 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 34 versions

MIDAS regressions: Further results and new directions

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E Ghysels, A Sinko… - Econometric Reviews, 2007 - Taylor & Francis
We explore mixed data sampling (henceforth MIDAS) regression models. The regressions
involve time series data sampled at different frequencies. Volatility and related processes
are our prime focus, though the regression method has wider applications in ...
Cited by 134 - Related articles - BL Direct - All 29 versions

Why do absolute returns predict volatility so well?

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L Forsberg… - Journal of Financial Econometrics, 2007 - Oxford Univ Press
Abstract Our objective is volatility forecasting, which is core to many risk management
problems. We provide theoretical explanations for (i) the empirical stylized fact recognized at
least since Taylor (1986) and Ding, Granger, and Engle (1993) that absolute returns show ...
Cited by 123 - Related articles - BL Direct - All 15 versions

A test for structural stability of Euler conditions parameters estimated via the generalized method of moments estimator

E Ghysels… - International Economic Review, 1990 - JSTOR
A predictive test for parameter stability of GMM estimates is studied. The test is based on
examining whether parameter estimates of one subsample can be used to predict over the
other subsample. It applies to a wide variety of dynamic, nonlinear simultaneous equation ...
Cited by 117 - Related articles - Get it from MIT Libraries - Library Search - All 8 versions

On the periodic structure of the business cycle

[PDF] from yale.edu
E Ghysels - Journal of Business & Economic Statistics, 1994 - JSTOR
This article tests whether an economic recovery is equally likely to occur in any month of the
year. I test this hypothesis with a homogeneous Markov switching-regime model and use the
turning-point dates for business cycles marked by the National Bureau of Economic ...
Cited by 100 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 15 versions

Do heterogeneous beliefs matter for asset pricing?

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EW Anderson, E Ghysels… - Review of Financial …, 2005 - Soc Financial Studies
Abstract We study how heterogeneous beliefs affect returns and examine whether they are a
priced factor in traditional asset pricing models. To accomplish this task, we suggest new
empirical measures based on the disagreement among analysts about expected earnings ...
Cited by 94 - Related articles - BL Direct - All 29 versions

[PDF] The Econometrics of Option Pricing¤

[PDF] from uchicago.edu
E Ghysels… - 2004 - uchicago.edu
The growth of the option pricing literature parallels the spectacular developments of
derivative securities and the rapid expansion of markets for derivatives in the last three
decades. Writing a survey of option pricing models appears therefore like a formidable ...
Cited by 86 - Related articles - View as HTML - All 23 versions

Stochastic volatility duration models

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E Ghysels, C Gouriéroux… - Journal of Econometrics, 2004 - Elsevier
We propose a class of two factor dynamic models for duration data and related risk analysis
in finance and insurance. Empirical findings suggest that the conditional mean and (under)
overdispersion of times elapsed between stock trades feature various patterns of temporal ...
Cited by 86 - Related articles - All 9 versions

Is seasonal adjustment a linear or nonlinear data-filtering process?

[PDF] from umontreal.ca
E Ghysels, CWJ Granger… - Journal of Business & Economic …, 1996 - JSTOR
We investigate whether seasonal-adjustment procedures are, at least approximately, linear
data transformations. This question was initially addressed by Young and is important with
respect to many issues including estimation of regression models with seasonally ...
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On the economics and econometrics of seasonality

E Ghysels - Advances in Econometrics, Sixth World Congress, 1994 - books.google.com
In order to understand and formulate economic theories, we tend to classify the types of
movements which characterize economic time series as trend, cyclical, seasonal, and
irregular. The idea that each component has separate and different causal forces is ...
Cited by 82 - Related articles - Library Search - All 5 versions

Are consumption-based intertemporal capital asset pricing models structural?

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E Ghysels… - Journal of Econometrics, 1990 - Elsevier
Abstract Hansen and Singleton (1982) and Dunn and Singleton (1986) have found
supporting evidence for the overidentifying restrictions of two empirical consumption-based
asset pricing models, when estimated with a particular set of single asset returns. In this ...
Cited by 80 - Related articles - All 7 versions

Unit-root tests and the statistical pitfalls of seasonal adjustment: the case of US postwar real gross national product

E Ghysels - Journal of Business & Economic Statistics, 1990 - JSTOR
Unit-root tests applied to the postwar seasonally adjusted quarterly gross national product
series strongly support the null hypothesis of the presence of a unit root in the data-
generating process. Evidence reported here with seasonally unadjusted data is far less ...
Cited by 79 - Related articles - Get it from MIT Libraries - All 5 versions

Predictive tests for structural change with unknown breakpoint

[PDF] from cirano.qc.ca
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E Ghysels, A Guay… - Journal of Econometrics, 1998 - Elsevier
This paper considers predictive tests for structural change in models estimated via
Generalized Method of Moments. Our analysis extends earlier work by Ghysels and Hall
(1990a) by allowing for the instability to occur at an unknown point in the sample. We ...
Cited by 77 - Related articles - Library Search - All 19 versions

Changes in seasonal patterns* 1:: Are they cyclical?

[PDF] from crei.cat
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F Canova… - Journal of Economic Dynamics and Control, 1994 - Elsevier
Abstract This paper explores the hypothesis that the seasonal patterns of macroeconomic
variables vary with expansions and contractions. Graphical techniques and generalized
predictive tests for structural stability are used to identify and test patterns of changing ...
Cited by 73 - Related articles - Library Search - All 16 versions

A study toward a dynamic theory of seasonality for economic time series

E Ghysels - Journal of the American Statistical Association, 1988 - JSTOR
Several economists, notably Plosser (1978), Sargent (1978), and Wallis (1978) refuted the
assumption that the seasonal component of endogeneous variables in a dynamic economic
model has almost all of its power restricted to what is termed seasonal frequency and its ...
Cited by 68 - Related articles - Get it from MIT Libraries - Library Search - All 7 versions

A new class of stochastic volatility models with jumps: Theory and estimation

[PDF] from duke.edu
M Chernov, A Gallant, E Ghysels… - 1999 - papers.ssrn.com
Abstract: The purpose of this paper is to propose a new class of jump diffusions which
feature both stochastic volatility and random intensity jumps. Previous studies have focused
primarily on pure jump processes with constant intensity and log-normal jumps or constant ...
Cited by 62 - Related articles - All 11 versions

[BOOK] Stochastic volatility and time deformation: an application of trading volume and leverage effects

[PDF] from erudit.org
E Ghysels, J Jasiak… - 1994 - depot.erudit.org
Abstract/Resume In this paper, we study stochastic volatility models with time deformation.
Such processes relate to early work by Mandelbrot and Taylor (1967), Clark (1973),
Tauchen and Pitts (1983), among others. In our setup, the latent process of stochastic ...
Cited by 63 - Related articles - Get it from MIT Libraries - Library Search - All 15 versions

American options with stochastic dividends and volatility: A nonparametric investigation

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M Broadie, J Detemple, E Ghysels… - Journal of Econometrics, 2000 - Elsevier
In this paper, we consider American option contracts when the underlying asset has
stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical
foundations of American option valuation and exercise boundaries. We show how they ...
Cited by 60 - Related articles - All 7 versions

The impact of risk and uncertainty on expected returns

[PDF] from efalken.com
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EW Anderson, E Ghysels… - Journal of Financial Economics, 2009 - Elsevier
We study asset pricing in economies featuring both risk and uncertainty. In our empirical
analysis, we measure risk via return volatility and uncertainty via the degree of disagreement
of professional forecasters, attributing different weights to each forecaster. We empirically ...
Cited by 60 - Related articles - All 18 versions

Structural change and asset pricing in emerging markets

[PDF] from quebececonomique.qc.ca
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R Garcia… - Journal of International Money and Finance, 1998 - Elsevier
This article documents the importance of testing for structural change in the context of
emerging markets. Typically, asset pricing factors models for emerging markets are
conditional on world financial market factors such as world equity excess returns, risk and ...
Cited by 57 - Related articles - Library Search - BL Direct - All 25 versions

On the economic sources of stock market volatility

[TXT] from nyu.edu
RF Engle, E Ghysels… - Manuscript, University of North …, 2008 - papers.ssrn.com
Abstract: We revisit the relation between stock market volatility and macroeconomic activity
using a new class of component models that distinguish short run from secular movements.
We combine insights from Engle and Rangel (2007) and the recent work on mixed data ...
Cited by 56 - Related articles - All 11 versions

Monetary policy rules with model and data uncertainty

[PDF] from cirano.qc.ca
E Ghysels, NR Swanson… - Southern Economic Journal, 2002 - JSTOR
In this paper we examine the prevalence of data, specification, and parameter uncertainty in
the formation of simple rules that mimic monetary policymaking decisions. Our approach is
to build real-time data sets and simulate a real-time policy-setting environment in which ...
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[BOOK] Stochastic volatility duration models

[PDF] from psu.edu
E Ghysels, C Gourieroux, J Jasiak… - 1997 - Citeseer
Abstract Stochastic Volatility Duration Models We propose a class of two factor dynamic
models for duration data encountered in nancial econometrics and insurance analysis.
Empirical ndings suggest that the rst two conditional moments of times elapsed between ...
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Generalized predictive tests and structural change analysis in econometrics

JM Dufour, E Ghysels… - International Economic Review, 1994 - JSTOR
A generalized predictive testing procedure for structural stability in nonlinear dynamic
simultaneous equations models is presented. It has several attractive features:(1) the tests
are based on easy-to-compute predicted residuals;(2) the prediction subsample can be ...
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Federal budget projections: A nonparametric assessment of bias and efficiency

B Campbell… - The Review of Economics and Statistics, 1995 - JSTOR
As an important initial step in the annual budget process, the President presents to
Congress each January his budget with details of federal spending activity and priorities.
Our paper is a statistical assessment of the merit of the budget figures submitted to ...
Cited by 47 - Related articles - Get it from MIT Libraries - All 7 versions

Efficient estimation of general dynamic models with a continuum of moment conditions

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M Carrasco, M Chernov, JP Florens… - Journal of Econometrics, 2007 - Elsevier
There are two difficulties with the implementation of the characteristic function-based
estimators. First, the optimal instrument yielding the ML efficiency depends on the unknown
probability density function. Second, the need to use a large set of moment conditions ...
Cited by 45 - Related articles - All 13 versions

Ex ante skewness and expected stock returns

[PDF] from nyu.edu
J Conrad, R Dittmar… - 2009 - papers.ssrn.com
Abstract: We use a sample of option prices, and the method of Bakshi, Kapadia and Madan
(2003), to estimate the ex ante higher moments of the underlying individual securities' risk-
neutral returns distribution. We find that individual securities' volatility, skewness, and ...
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[BOOK] Market time and asset price movements: Theory and estimation

[PDF] from cirano.qc.ca
E Ghysels, C Gouriéroux, J Jasiak… - 1995 - secure.cirano.qc.ca
Abstract/Résumé Subordinated stochastic processes, also called time deformed stochastic
processes, have been proposed in a variety of contexts to describe asset price behavior.
They are used when the movement of prices is tied to the number of market transactions, ...
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Market beta dynamics and portfolio efficiency

[PDF] from hec.ca
E Ghysels… - 2006 - papers.ssrn.com
Abstract: This paper introduces a new estimation for the dynamics of betas. It combines two
previously separate approaches in the literature, data-driven filters and parametric methods.
Namely, we show how to estimate the parametric beta dynamics by instrumental variables ...
Cited by 38 - Related articles - All 10 versions

On the (mis) specification of seasonality and its consequences: an empirical investigation with US data

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E Ghysels, HS Lee… - Empirical Economics, 1993 - Springer
It is well known that mis-specification of a trend leads to spurious cycles in detrended data
(see, eg, Nelson and Kang (1981)). Seasonal-adjustment procedures make assumptions,
either implicitly or explicitly, about roots on the unit circle both at the zero and seasonal ...
Cited by 39 - Related articles - BL Direct - All 4 versions

Modeling marketing dynamics by time series econometrics

[PDF] from kuleuven.be
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K Pauwels, I Currim, MG Dekimpe, DM Hanssens… - Marketing Letters, 2004 - Springer
This paper argues that time-series econometrics provides valuable tools and opens exciting
research opportunities to marketing researchers. It allows marketing researchers to advance
traditional modeling and estimation approaches by incorporating dynamic processes to ...
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[PDF] Forecasting professional forecasters

[PDF] from amstat.org
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E Ghysels… - Journal of Business and Economic Statistics, 2009 - ASA
Surveys of forecasters, containing respondents' predictions of future values of key
macroeconomic variables, receive a lot of attention in the financial press, from investors and
from policy makers. They are apparently widely perceived to provide useful information ...
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News—good or bad—and its impact on volatility predictions over multiple horizons

[PDF] from unc.edu
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X Chen… - Review of Financial Studies, 2011 - Soc Financial Studies
Abstract We introduce a new class of parametric models applicable to a mixture of high and
low frequency returns and revisit the concept of news impact curves introduced by Engle
and Ng (1993). Overall, we find that moderately good (intra-daily) news reduces volatility ( ...
Cited by 36 - Related articles - All 18 versions

Nonparametric estimation of American options' exercise boundaries and call prices

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M Broadie, J Detemple, E Ghysels… - Journal of Economic …, 2000 - Elsevier
Unlike European-type derivative securities, there are no simple analytic valuation formulas
for finite-lived American options, even when the underlying asset price has constant
volatility. The early exercise feature considerably complicates the valuation of American ...
Cited by 34 - Related articles - All 11 versions

Monitoring disruptions in financial markets

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E Andreou… - Journal of Econometrics, 2006 - Elsevier
We study historical and sequential CUSUM change-point tests for strongly dependent
nonlinear processes. These tests are used to monitor the conditional variance of asset
returns and to provide real-time information regarding instabilities or disruptions in ...
Cited by 34 - Related articles - Library Search - All 14 versions

Volatility forecasting and microstructure noise

[PDF] from unc.edu
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E Ghysels… - Journal of Econometrics, 2011 - Elsevier
It is common practice to use the sum of frequently sampled squared returns to estimate
volatility, yielding the so-called realized volatility. Unfortunately, returns are contaminated by
market microstructure noise. Several noise-corrected realized volatility measures have ...
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A semiparametric factor model of interest rates and tests of the affine term structure

[PDF] from cirano.qc.ca
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E Ghysels… - Review of Economics and Statistics, 1998 - MIT Press
Many continuous-time term structure of interest rate models assume a factor structure where
the drift and volatility functions are affine functions of the state-variable process. These
models involve very specific parametric choices of factors and functional specifications of ...
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Regression models with mixed sampling frequencies

[PDF] from eea-esem.com
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E Andreou, E Ghysels… - Journal of Econometrics, 2010 - Elsevier
We study regression models that involve data sampled at different frequencies. We derive
the asymptotic properties of the NLS estimators of such regression models and compare
them with the LS estimators of a traditional model that involves aggregating or equally ...
Cited by 34 - Related articles - All 15 versions

The effect of linear filters on dynamic time series with structural change

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E Ghysels… - Journal of Econometrics, 1996 - Elsevier
Quite often, when parametric models are tested for structural change, they are fitted to
filtered series instead of raw data. Many filters, like those associated with the X-11 seasonal
adjustment program, have smoothing properties. Hence, they have a tendency to disguise ...
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Let's get “real” about using economic data

[PDF] from psu.edu
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P Christoffersen, E Ghysels… - Journal of Empirical Finance, 2002 - Elsevier
We show that using data which are properly available in real time when assessing the
sensitivity of asset prices to economic news leads to different empirical findings than when
data availability and timing issues are ignored. We do this using the framework of Chen et ...
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[BOOK] Trading patterns, time deformation and stochastic volatility in foreign exchange markets

[PDF] from cirano.qc.ca
E Ghysels, C Gouriéroux, J Jasiak… - 1995 - cirano.qc.ca
Résumé/Abstract La globalisation des échanges sur le marché mondial des taux de change
est une des sources principales des effets saisonniers—journaliers et hebdomadaires—
dans la volatilité des prix. Une façon de modéliser ces phénomènes consiste à utiliser la ...
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[PS] A multivariate time series analysis of the data revision process for industrial production and the composite leading indicator

[PS] from rutgers.edu
NR Swanson, E Ghysels… - … Causality and Forecasting …, 1999 - econweb.rutgers.edu
Abstract In this paper we try to enhance our understanding of preliminary data releases of
industrial production (IP) and the composite leading indicator (CLI) by investigating several
time series properties of their data revision processes. In particular, we examine moments, ...
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The impact of sampling frequency and volatility estimators on change-point tests

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E Andreou… - Journal of Financial Econometrics, 2004 - Oxford Univ Press
Abstract The article evaluates the performance of several recently proposed change-point
tests applied to conditional variance dynamics and conditional distributions of asset returns.
These are CUSUM-type tests for β-mixing processes and EDF-based tests for the ...
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Testing nonnested Euler conditions with quadrature-based methods of approximation

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E Ghysels… - Journal of Econometrics, 1990 - Elsevier
Abstract Singleton (1985) proposed a test of the validity of an Euler equation specification
which incorporates information on a nonnested set of Euler equations from an alternative
economic model. The information about the alternative model is introduced into the testing ...
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[CITATION] Rossen Valkanov (2005), There is a Risk-Return Trade-Off After All

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E Ghysels… - Journal of Financial Economics
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[PDF] Editors' introduction: Recent developments in the econometrics of structural change

[PDF] from cirano.qc.ca
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JM Dufour… - Journal of econometrics, 1996 - cirano.qc.ca
Testing and analyzing structural change in econometric models is a very active research
area. Up to a decade ago, econometricians mainly focused on linear regression models. In
recent years, we have witnessed several new theoretical results for stationary and ...
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The Asian financial crisis: the role of derivative securities trading and foreign investors in Korea

[PDF] from narotama.ac.id
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E Ghysels… - Journal of International Money and Finance, 2005 - Elsevier
This paper is part of a larger research program pertaining to the role of derivatives during
financial crisis and also part of the research pertaining to the causes of the Asian financial
crisis. The Korean market is studied because of two reasons:(1) it is an important example ...
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[BOOK] Tests for breaks in the conditional co-movements of asset returns

[PDF] from psu.edu
E Andreou, E Ghysels… - 2002 - Citeseer
Abstract We propose procedures designed to uncover structural breaks in the co-
movements of financial markets. A reduced form approach is introduced that can be
considered as a two-stage method for reducing the dimensionality of multivariate ...
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[PDF] Comment

[PDF] from amstat.org
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E Ghysels… - Journal of Business and Economic Statistics, 2006 - ASA
Hansen and Lunde have written an impressive article on estimating volatility using high-
frequency financial data and the presence of microstructure noise. In these comments we
make two arguments:(1) As far as predicting future volatility is concerned, it appears that ...
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Seasonal adjustment and other data transformations

E Ghysels - Journal of Business & Economic Statistics, 1997 - JSTOR
In this article, it is shown that the case for using optimal signal-extraction filters is not all that
convincing once it is recognized that seasonal adjustment is typically not the only
transformation applied to data. Seasonal adjustment is viewed as any general linear filter. ...
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Stock market fundamentals and heterogeneity of beliefs: Tests based on a decomposition of returns and volatility

[PDF] from afajof.org
E Ghysels… - Paper available at http://papers. ssrn. …, 2001 - papers.ssrn.com
Abstract: We rely on recently developed general equilibrium asset pricing models, from
which we derive some predictions about how heterogeneity of beliefs affects return and
volatility dynamics. The first contribution of our paper is the derivation of a simple ...
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Emerging markets and trading costs: lessons from Casablanca

[PDF] from unimedia.ac.id
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E Ghysels, M Cherkaoui - Journal of Empirical Finance, 2003 - Elsevier
To enhance our understanding of emerging markets, we study a data set from the
Casablanca stock exchange containing all the transaction records over a long span. The
exchange was included in 1996 in the International Finance Corporation (IFC) data base ...
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Multi-period forecasts of volatility: Direct, iterated, and mixed-data approaches

[PDF] from efa2009.org
E Ghysels, R Valkanov… - EFA 2009 Bergen Meetings …, 2009 - papers.ssrn.com
Abstract: Multi-period forecasts of stock market return volatilities are often used in many
applied areas of finance where long horizon measures of risk are necessary. Yet, very little
is known about how to forecast variances several periods ahead, as most of the focus has ...
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A component model for dynamic correlations

[PDF] from unc.edu
R Colacito, RF Engle… - Journal of Econometrics, 2011 - Elsevier
We propose a model of dynamic correlations with a short-and long-run component
specification, by extending the idea of component models for volatility. We call this class of
models DCC-MIDAS. The key ingredients are the Engle (2002) DCC model, the Engle ...
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An empirical analysis of the Canadian budget process

B Campbell… - Canadian Journal of Economics, 1997 - JSTOR
This paper provides a statistical analysis of the forecasts of a significant number of
expenditure and revenue components of the federal budget provided each year by the
Department of Finance. The sample available for such an investigation is limited, and we ...
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Some econometric recipes for high-frequency data cooking

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E Ghysels - Journal of Business & Economic Statistics, 2000 - JSTOR
According to Ragnar Frisch (1933), econometrics involves the mutual penetration of
quantitative economic theory and statistical observation. Today, econometric research rarely
has all the ingredients spelled out in Frisch's definition. Most econometric models are ...
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Should macroeconomic forecasters use daily financial data and how?

[PDF] from 217.110.34.244
E Andreou, E Ghysels… - 2010 - papers.ssrn.com
Abstract: We introduce easy to implement regression-based methods for predicting quarterly
real economic activity that use daily financial data. Our analysis is designed to elucidate the
value of daily information and provide real-time forecast updates of the current ( ...
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Structural breaks in financial time series

E Andreou… - Handbook of financial time series, 2009 - Springer
This paper reviews the literature on structural breaks in financial time series. The second
section discusses the implications of structural breaks in financial time series for statistical
inference purposes. In the third section we discuss change-point tests in financial time ...
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What data should be used to price options?

[PDF] from cirano.qc.ca
M Chernov, E Ghysels - 1998 - papers.ssrn.com
Abstract: In this paper we propose a generic procedure for estimating and pricing options in
the context of stochastic volatility models using simultaneously the fundamental price and a
set of option contracts. We appraise univariate and multivariate estimation of the model in ...
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[BOOK] Nonparametric methods and option pricing

[PDF] from cirano.qc.ca
E Ghysels… - 1997 - cirano.qc.ca
Résumé/Abstract Nous survolons la littérature de l'estimation non-paramétrique de modèles
de titres dérivés. En particulier, nous analysons des options sur actions en partant d'une
approche qui n'impose pas de restrictions théoriques, telles des restrictions d'absence d' ...
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Valuation in US commercial real estate

[PDF] from univr.it
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E Ghysels, A Plazzi… - European Financial …, 2007 - Wiley Online Library
1. This paper is a direct result from a presentation at the EFMA, Madrid, 2006. The authors
thank participants at that conference for stimulating discussions and Jun Liu and Allan
Timmermann for useful comments. All remaining errors are our own. Corresponding ...
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The normal inverse Gaussian distribution and the pricing of derivatives

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A Eriksson, E Ghysels… - The Journal of Derivatives, 2009 - iijournals.com
The authors propose the class of normal inverse gaussian (NIG) distributions to approximate
an unknown risk-neutral density. The appeal of the NIG class of distributions is that it is
characterized by the first four moments: mean, variance, skewness, and kurtosis. These ...
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Forecasting seasonal time series

E Ghysels, DR Osborn… - Handbook of economic …, 2006 - Elsevier
Abstract This chapter reviews the principal methods used by researchers when forecasting
seasonal time series. In addition, the often overlooked implications of forecasting and
feedback for seasonal adjustment are discussed. After an introduction in Section 1, ...
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Bayesian inference for periodic regime‐switching models

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E Ghysels, RE McCulloch… - Journal of Applied …, 1998 - Wiley Online Library
Abstract We present a general class of nonlinear time-series Markov regime-switching
models for seasonal data which may exhibit periodic features in the hidden Markov process
as well as in the laws of motion in each of the regimes. This class of models allows for non ...
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Estimation of stochastic volatility models for the purpose of option pricing

M Chernov, E Ghysels - 1999 - papers.ssrn.com
Abstract: The paper complements the reviews on the stochastic volatility models and option
pricing. We discuss recent advances in modeling and estimation techniques which allow to
investigate models with latent factors and non-unique risk-neutral probability measures. ...
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[CITATION] Long term dependence in Trading

E Ghysels… - 1998 - Working Paper, York University
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[BOOK] Seasonal Nonstationarity and Near‐Nonstationarity

[PDF] from cirano.qc.ca
E Ghysels, DR Osborn… - 1999 - Wiley Online Library
Over the last three decades there has been an increasing interest in modeling seasonality.
Progressing from the traditional view that the seasonal pattern is a nuisance which needed
to be removed, it is now considered to be an informative feature of economic time series ...
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[CITATION] Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation

E Ghysels, HS Lee, J Noh… - 1991 - en.scientificcommons.org
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[CITATION] On seasonal asymmetries and their implications for stochastic and deterministic models of seasonality

E Ghysels - Manuscript (CRDE and Department de Sciences …, 1991
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[CITATION] Testing for Periodicity in Some Linear Macroeconomic Models

E Ghysels… - CRDE Montreal Unpublished Manuscript, 1992
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On seasonality and business cycle durations: A nonparametric investigation

Full text - MIT Libraries
E Ghysels - Journal of econometrics, 1997 - Elsevier
Markov stochastic switching regime models indicate that business cycle phase transitions
appear to exhibit uneven switching propensities throughout the calendar year. Instead of
studying regime switching data, we investigate business cycle durations obtained from ...
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[PDF] Stock market volatility and macroeconomic fundamentals

[PDF] from msb.edu
R Engle, E Ghysels… - 2009 - faculty.msb.edu
Abstract We revisit the relation between stock market volatility and macroeconomic activity
using a new class of component models that distinguish short run from secular movements.
We study long historical data series of aggregate stock market volatility, starting in the 19th ...
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[BOOK] On Stable Factor Structures in the Pricing of Risk

[PDF] from psu.edu
E Ghysels… - 1995 - Citeseer
Abstract/Résumé Much of the research describing the cross-sectional and time series
behavior of asset returns can be characterized as a search for the relevant state variables
and also a search for the relevant model specification. Ultimately the scope of such efforts ...
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Seasonal extraction in the presence of feedback

E Ghysels - Journal of Business & Economic Statistics, 1987 - JSTOR
Time series seasonal extraction techniques are quite often applied in the context of a policy
aimed at controlling the nonseasonal components of a time series. Monetary policies
targeting the nonseasonal components of monetary aggregates are an example. Such ...
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[PDF] Stigma in Financial Markets: Evidence from liquidity auctions and discount window borrowing during the crisis

[PDF] from nber.org
O Armantier, E Ghysels, A Sarkar… - … paper, Federal Reserve …, 2010 - nber.org
Abstract We provide rigorous evidence for the existence, size, and economic impact of
stigma associated with discount window liquidity provision by the Federal Reserve Bank. In
particular, we show that during the height of the financial crisis in 2007 and 2008, banks ...
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On scoring asymmetric periodic probability models of turning‐point forecasts

Full text - MIT Libraries
E Ghysels - Journal of Forecasting, 1993 - Wiley Online Library
Abstract To forecast the turnaround of an economy we do not usually take seasonal effects
into account. Recently, the author showed that business cycle turning points as well as
durations do not appear to be uniformly distributed throughout the year (see Ghysels, ...
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Seasonality in surveys: A comparison of Belgian, French and German business tests

Full text - MIT Libraries
E Ghysels… - European Economic Review, 1988 - Elsevier
Seasonal effects appear in qualitative responses of monthly business surveys. The seasonal
effects can be extracted like in regression or time series models via dummy variables. In
surveys, however, there is another route to extract the seasonal effects by incorporating ...
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[PDF] Should macroeconomic forecasters look at daily financial data

[PDF] from colt.net
E Andreou, E Ghysels… - University of North …, 2009 - bdfbs-ws01.heb3.fr.colt.net
Improving forecasts of macroeconomic indicators such as inflation and economic activity is
of focal interest to academics and policy makers, especially in periods of economic turmoil.
For instance, the recent economic crisis that started in 2007 has created new challenges ...
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[BOOK] Why is the Bid Price Greater Than the Ask?: Price Discovery During the Nasdaq Pre-opening

[PDF] from cirano.qc.ca
C Cao, E Ghysels, F Hatheway… - 1998 - secure.cirano.qc.ca
Canada H3A 2A5 Tel:(514) 985-4000 Fax:(514) 985-4039 e-mail: ghyselse@ cirano.
umontreal. ca We wish to thank Harold Mulherin and seminar participants at the Securities
and Exchange Commission and the Pennsylvania State University for helpful comments. ...
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[CITATION] When Does Microstructure Noise Affect the Estimation of Asset Pricing Models?

E Andreou… - Manuscript University of Manchester and North …, 2001
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[CITATION] High frequency financial time series data: Some stylized facts and models of stochastic volatility

E Ghysels, C Gouriéroux… - … Modelling og High Frequency Financial Time …, 1998
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[PDF] Quality Control for Financial Risk Management: Monitoring Disruptions in the Distribution of Risk Exposure

[PDF] from cirano.qc.ca
E Andreou… - 2003 - cirano.qc.ca
ABSTRACT Extreme tail observations and structural breaks are two types of rare events. The
former is one of the main focuses of financial risk management, the latter represents a
fundamental shift in the distribution of risky outcomes. Structural changes may be due to ...
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Arbitrage-based pricing when volatility is stochastic

[PDF] from cirano.qc.ca
P Bossaerts, E Ghysels… - 1996 - papers.ssrn.com
Abstract: In one of the early attempts to model stochastic volatility, Clark [1973] conjectured
that the size of asset price movements is tied to the rate at which transactions occur. To
formally analyze the econometric implications, he distinguished between transaction time ...
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[CITATION] Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment

B Campbell… - Cahiers de recherche, 1992 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
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[PDF] Forecasting with mixed-frequency data

[PDF] from ucy.ac.cy
E Andreou, E Ghysels… - Oxford Handbook of …, 2011 - papers.econ.ucy.ac.cy
Innovations in computer technology have made it possible to easily collect and store large
data sets. One consequence of this is that many (financial) time series are recorded at very
high sampling frequencies. Yet, many real activity series have maintained the traditional ...
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[BOOK] Seasonal Adjustment and Volatility Dynamics

[PDF] from cirano.qc.ca
E Ghysels, CWJ Granger, PL Siklos… - 1997 - cirano.qc.ca
Résumé/Abstract Nous étudions l'effet de filtre sur l'estimation de processus de type
GARCH. Le cas du filtre linéaire est analysé dans un contexte général pour des processus
GARCH faibles. Plusieurs cas spéciaux sont discutés, notamment celui du filtre d' ...
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Asset Prices in an Economy with Latent Technological shocks-Econometric Implications of a Discrete Time General Equilibrium Model

E Ghysels - Cahiers de recherche, 1986 - ideas.repec.org
The Paper Has Two Major Parts. the First Part Focuses on the Theoretical Properties of a
General Equilibrium Asset Price Model Describing an Economy with Actual Output
Stochastically Generated by a Markovian Latent Process of Technolgical Shocks. with a ...
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