Eric Ghysels | Academic Influence

Eric Ghysels's AcademicInfluence.com Rankings

Eric Ghysels

Economics

#1045

World Rank

#1221

Historical Rank

#514

USA Rank

Econometrics

#36

World Rank

#37

Historical Rank

#15

USA Rank

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Economics

Eric Ghysels's Degrees

PhD Economics University of California, San Diego
Masters Economics University of California, San Diego

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Why Is Eric Ghysels Influential?

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According to Wikipedia, Eric Ghysels is a Belgian economist with interest in finance and time series econometrics, and in particular the fields of financial econometrics and financial technology. He is the Edward M. Bernstein Distinguished Professor of Economics at the University of North Carolina and a Professor of Finance at the Kenan-Flagler Business School. He is also the Faculty Research Director of the Rethinc.Labs at the Frank Hawkins Kenan Institute of Private Enterprise.

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Eric Ghysels's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

5 Stochastic volatility (1996) (1285)
Alternative models for stock price dynamics (2003) (932)
MIDAS Regressions: Further Results and New Directions (2006) (784)
Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies (2003) (776)
Ex Ante Skewness and Expected Stock Returns (2009) (709)
There is a Risk-Return Tradeoff after All (2004) (704)
Stock Market Volatility and Macroeconomic Fundamentals (2013) (623)
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000) (588)
The MIDAS Touch: Mixed Data Sampling Regression Models (2004) (533)
On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt? (1998) (419)
Periodic Autoregressive Conditional Heteroskedasticity (1994) (379)
Detecting Multiple Breaks in Financial Market Volatility Dynamics (2002) (356)
Why Do Absolute Returns Predict Volatility So Well (2006) (333)
The impact of risk and uncertainty on expected returns. (2009) (327)
Regression Models with Mixed Sampling Frequencies (2010) (259)
A Component Model for Dynamic Correlations (2009) (256)
News - Good or Bad - and its Impact on Volatility Predictions over Multiple Horizons (2008) (245)
Macroeconomics and the Reality of Mixed Frequency Data (2015) (218)
Can we improve the perceived quality of economic forecasts (1996) (218)
Do Heterogeneous Beliefs Matter for Asset Pricing (2005) (218)
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation (1994) (208)
The effect of seasonal adjustment filters on tests for a unit root (1990) (205)
Price Discovery without Trading: Evidence from the Nasdaq Preopening (2000) (201)
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results (2002) (192)
On the Economic Sources of Stock Market Volatility (2008) (184)
A High Frequency Assessment of the ECB Securities Markets Programme (2013) (171)
Forecasting Real Estate Prices (2012) (164)
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (1998) (158)
Stochastic volatility duration models (2004) (156)
Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis (2018) (155)
Forecasting Professional Forecasters (2006) (148)
State Space Models and MIDAS Regressions (2013) (144)
Efficient estimation of general dynamic models with a continuum of moment conditions (2007) (132)
A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Methods of Moments Estimators (1990) (121)
Discount Window Stigma During the 2007-2008 Financial Crisis (2015) (120)
On the Periodic Structure of the Business Cycle (1992) (114)
Forecasting with mixed-frequency data (2011) (111)
Is seasonal adjustment a linear or nonlinear data-filtering process? (1996) (107)
Volatility Forecasting and Microstructure Noise (2006) (99)
Predictive Tests for Structural Change with Unknown Breakpoint (1995) (94)
American options with stochastic dividends and volatility: A nonparametric investigation (2000) (92)
Structural Breaks in Financial Time Series (2006) (90)
Are consumption-based intertemporal capital asset pricing models structural?☆ (1990) (89)
Stigma in Financial Markets Evidence from liquidity auctions and discount window borrowing during the crisis (2011) (89)
A Study toward a Dynamic Theory of Seasonality for Economic Time Series (1988) (83)
Testing for Granger Causality with Mixed Frequency Data (2013) (82)
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product (1990) (82)
Modeling Marketing Dynamics by Time Series Econometrics (2004) (81)
Structural change and asset pricing in emerging markets (1998) (81)
The Normal Inverse Gaussian Distribution and the Pricing of Derivatives (2009) (79)
Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability (2014) (77)
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation (1999) (76)
On The Economic And Econometrics Of Seasonality (1990) (75)
Changes in Seasonal Patters: Are They Cyclical (1994) (75)
Monitoring disruptions in financial markets (2006) (74)
Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions (2002) (72)
Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences (2014) (70)
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry: Why Invest in Emerging Markets? (2016) (68)
Rolling-Sample Volatility Estimators (2002) (66)
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry (2016) (63)
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory (2015) (63)
Federal budget projections: a nonparametric assessment of bias and efficiency (1995) (60)
The Econometrics of Option Pricing (2003) (59)
Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches (2009) (58)
Generalized Predictive Tests and Structural Change Analysis in Econometrics (1994) (56)
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects (1994) (53)
Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling (2016) (52)
Market Beta Dynamics and Portfolio Efficiency (2006) (52)
Let's Get 'Real' About Using Economic Data (2001) (51)
Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models (2012) (51)
Regime Switches in the Risk-Return Trade-Off (2013) (51)
Mixed Frequency Data Sampling Regression Models: The R Package midasr (2016) (49)
Tails of Inflation Forecasts and Tales of Monetary Policy (2012) (49)
Valuation in US Commercial Real Estate (2007) (49)
The Asian Financial Crisis : The Role of Derivative Securities Trading and Foreign Investors * (47)
Forecasting Volatility with MIDAS (2012) (46)
Nonparametric estimation of American options’ exercise boundaries and call prices (2000) (46)
Momentum Trading, Return Chasing, and Predictable Crashes (2014) (46)
Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals (2011) (45)
Emerging markets and trading costs: lessons from Casablanca (2003) (44)
Emerging markets and trading costs: lessons from Casablanca (2003) (44)
ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014) (43)
Machine Learning Time Series Regressions With an Application to Nowcasting (2019) (43)
Market Time and Asset Price Movements: Theory and Estimation (1995) (42)
On Periodic Structures and Testing for Seasonal Unit Roots (1995) (41)
On the (mis)specification of seasonality and its consequences: An empirical investigation with US data (1993) (40)
A study towards a uni " ed approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation q (1997) (39)
Approximating the probability distribution of functions of random variables: A new approach ⁄ (2004) (39)
Applied Economic Forecasting using Time Series Methods (2018) (39)
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets (1995) (39)
Mixed-Frequency Vector Autoregressive Models ☆ ☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply. (2013) (37)
Some Econometric Recipes for High-Frequency Data Cooking (2000) (37)
Tests for Breaks in the Conditional Co-movements of Asset Returns (2003) (37)
Essays in econometrics: Collected Papers of Clive W. J. Granger Volume 1, Spectral Analysis, Seasonality, Nonlinearity, Methodology, and Forecasting (2001) (37)
Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach (2015) (36)
A Semiparametric Factor Model of Interest Rates and Tests of the Affine Term Structure (1998) (35)
Monetary Policy Rules with Model and Data Uncertainty (2002) (35)
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests (2004) (35)
Inference in Group Factor Models With an Application to Mixed‐Frequency Data (2019) (34)
Price Momentum in Stocks: Insights from Victorian Age Data (2008) (32)
Editors' Introduction to Twentieth Anniversary Commemorative Issue of the Journal of Business and Economic Statistics (2002) (32)
Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer? (2017) (31)
Simulation Based Inference in Moving Average Models (1995) (31)
Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998 (2011) (30)
Matlab Toolbox for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models ∗ (2009) (30)
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression Us Stock Markets (2009) (28)
Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series (2013) (28)
Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality (2019) (28)
Nonparametric methods and option pricing (1997) (28)
The Risk-Return Relationship and Financial Crises (2016) (26)
Liquidity and Conditional Portfolio Choice: A Nonparametric Investigation (2006) (25)
Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp (1987) (25)
An Introduction to Econometric Theory (1998) (24)
Editors' introduction recent developments in the econometrics of structural change (1996) (24)
Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression (2017) (23)
Seasonal Adjustment and Other Data Transformations (1997) (22)
Moment-Implied Densities: Properties and Applications (2014) (22)
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING (2001) (22)
Bayesian Inference for Periodic Regime-Switching Models (1998) (22)
Liquidity and Volatility in the U.S. Treasury Market (2018) (22)
An Empirical Analysis of the Canadian Budget Process (1995) (21)
Are Business Cycle Turning Points Uniformly Distributed Throughout the Year (1991) (20)
Testing nonnested Euler conditions with quadrature-based methods of approximation (1990) (20)
Which power variation predicts volatility well (2009) (20)
Seasonal Nonstationarity and Near-Nonstationarity (1999) (19)
The Low-Frequency Impact of Daily Monetary Policy Shocks (2011) (19)
A Study Towards a Dynamic Theory of Seasonality for Economic Time Series (1986) (19)
GARCH for Irregularly Spaced Data: The ACD-GARCH Model (1997) (19)
News - Good or Bad - and its Impact Over Multiple Horizons (2007) (19)
Estimation of Stochastic Volatility Models for the Purpose of Option Pricing (1999) (18)
Artificial Intelligence Alter Egos: Who might benefit from robo-investing? (2020) (18)
Skewness and the Bubble (2008) (18)
The Financial Content of Inflation Risks in the Euro Area (2013) (18)
Granger Causality Tests with Mixed Data Frequencies (2009) (17)
Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White (2014) (17)
On Stable Factor Structures in the Pricing (1998) (17)
Forecasting Seasonal Time Series (2006) (17)
On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts (1993) (16)
Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty (2018) (16)
Alternative Models of Stock Prices Dynamics (2001) (15)
Stock Market Fundamentals and Heterogeneity of Beliefs: Tests Based on a Decomposition of Returns and Volatility (2001) (15)
Hybrid-Garch: A generic class of models for volatility predictions using high frequency data (2015) (14)
Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product (2018) (14)
Interview With Lars Peter Hansen (2002) (14)
Direct Versus Iterated Multiperiod Volatility Forecasts (2019) (14)
Quality Control for Structural Credit Risk Models (2006) (14)
Structural change tests for simulated method of moments (2003) (13)
What Data Should Be Used to Price Options? (1998) (12)
Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange (2018) (12)
On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests (2014) (12)
Is Industrial Production Still the Dominant Factor for the US Economy? (2016) (12)
Factor Analysis with Large Panels of Volatility Proxies (2014) (11)
Causality Between Returns and Trated Volumes (1998) (11)
Seasonal Extraction in the Presence of Feedback (1987) (11)
Chapter 13 Forecasting Seasonal Time Series (2006) (11)
On Stable Factor Structurs in the Pricing of Risk. (1995) (11)
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (2008) (11)
On seasonality and business cycle durations: A nonparametric investigation (1997) (11)
HYBRID-GARCH: A Generic Class of Models for Volatility Predictions Using Mixed Frequency Data (2011) (10)
Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger (2006) (10)
High-Dimensional Granger Causality Tests with an Application to VIX and News (2020) (10)
Arbitrage-Based Pricing When Volatility is Stochastic (1996) (10)
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples (1996) (9)
Risk and Return Trade-Off in the U.S. Treasury Market (2014) (9)
Artificial Intelligence Alter Egos:Who benefits from Robo-investing? (2019) (9)
Nowcasting Net Asset Values: The Case of Private Equity (2020) (8)
Editorial Announcement (2004) (8)
Inference for High-Dimensional Regressions With Heteroskedasticity and Auto-correlation (2019) (8)
Derivatives Do Affect Mutual Funds Returns : How and When? (2001) (8)
Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios (2020) (8)
Backtesting Systemic Risk Measures During Historical Bank Runs (2015) (8)
Big data in dynamic predictive econometric modeling (2019) (7)
Statistical Inference for Volatility Component Models (2008) (7)
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors (2020) (7)
MIDAS Matlab Toolbox (2016) (7)
Spectral analysis, seasonality, nonlinearity, methodology, and forecasting (2001) (7)
WHAT DRIVES THE VIX AND THE VOLATILITY RISK PREMIUM ? ∗ (2013) (7)
On the role of Intra-Daily Seasonality in HYBRID GARCH Models ¤ (2009) (6)
Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models (2016) (6)
Emerging Markets and Trading Costs (1999) (6)
Some Useful Densities for Risk Management and their Properties (2011) (6)
Simple Granger Causality Tests for Mixed Frequency Data (2016) (6)
Estimation and HAC-based Inference for Machine Learning Time Series Regressions (2019) (6)
The Econometric Analysis of Seasonal Time Series: Bibliography (2001) (6)
Frontiers of financial econometrics and financial engineering (2003) (6)
The Asian Financial Crises: The Role of Derivative Securities Trading and Foreign Investors (2000) (6)
Seasonality in surveys: A comparison of Belgian, French and German business tests (1986) (5)
Editor's introduction: Seasonality and econometric models (1993) (5)
Machine learning panel data regressions with heavy-tailed dependent data: Theory and application (2020) (5)
A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator * (2012) (5)
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS (2004) (5)
Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment (1992) (5)
Seasonal Time Series and Autocorrelation Function Estimation (2002) (5)
Charistmas, Spring and the Dawning of Economic Recovery (1992) (5)
Seasonal Adjustment and Volatility Dynamics (1997) (5)
The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4–6, 2008 (2008) (5)
Nominal Versus Real Seasonal Adjustment (1989) (5)
The econometric analysis of mixed frequency data sampling (2016) (4)
A Semi-Parametric Factor Model for Interest Rates (1996) (4)
Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening (1998) (4)
Bayesian Analysis of Stochastic Volatility Models: Comment (1994) (4)
Mixed data sampling (MIDAS) regression models (2020) (4)
Editors' Introduction to JBES Twentieth Anniversary Issue on the Generalized Method of Moments (2002) (4)
On the Dynamic Specification of International Asset Pricing Models (1995) (4)
Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model (1986) (4)
Inflation Risk Measures and Their Informational Content (2014) (4)
Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice (2020) (4)
The JFEC Invited Lecture at the 2009 SoFiE Conference (2011) (3)
Real-Time Predictions of the U.S. Federal Government Budget: Expenditures, Revenues and Deficits (2012) (3)
The Periodic Time Series and Testing the Unit Root Hypothesis (1993) (3)
Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference (2016) (3)
Kernel Autocorrelogram for Time Deformed Processes (1998) (3)
HYBRID GARCH Models and Intra-Daily Return Periodicity (2011) (3)
Frailty Models for Commercial Mortgages (2016) (3)
Regression-Based Mixed Frequency Granger Causality Tests (2015) (3)
On Periodic Autogressive Conditional Heteroskedasticity (1994) (3)
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING (2000) (3)
Multi-Period Forecasts of Variance : Direct , Iterated , and Mixed-Data Approaches ∗ (2009) (3)
Causality, integration and cointegration, and long memory (2001) (3)
Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality (1987) (2)
Causality between Returns and Traded VolumesEric Ghysels (1998) (2)
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (2021) (2)
The Political Economy of the Budget and Efficient Information Processing (1987) (2)
Essays in Econometrics vol II: Collected Papers of Clive W. J. Granger (2001) (2)
The Econometric Analysis of Seasonal Time Series: Preface (2001) (2)
Professor Marc Nerlove (1993) (2)
Mixed Data Sampling (2010) (2)
Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations (2006) (2)
Robust volatility forecasts in the presence of structural breaks (2012) (2)
Direct Versus Iterated Multi-Period Volatility Forecasts (2019) (2)
Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product (2019) (2)
Can We Automate Earnings Forecasts and Beat Analysts? (2014) (1)
An Extension of Quadrature-Based Methods for Solving Euler Conditions (1990) (1)
Essays in Econometrics: Introduction (2001) (1)
Speciication Tests in the Eecient Method of Moments Framework with Application to the Stochastic Volatility Models (1998) (1)
Essays in Econometrics: List of Contributors (2001) (1)
Institutional Investors and Granularity in Equity Markets (2021) (1)
Estimating Volatility Risk Factors Using Large Panels of Filtered or Realized Volatilities (2013) (1)
Estimating Undetected COVID-19 Infections—The Case of North Carolina (2020) (1)
Direct Versus Iterated Multi-Period Volatility Forecasts: Why MIDAS Is King (2019) (1)
Granularity and (Downside) Risk in Equity Markets (2018) (1)
Why Do Absolute Returns Predict Volatility so Well? (2006) (1)
Comment on: Price Discovery in High Resolution (2019) (1)
Congratulations to Lars Peter Hansen - 2013 nobel laureate and founding council member of SoFiE (2014) (1)
Valuation in the Us Commercial Real Estate (2006) (1)
The ﬁnancial content of inﬂation risks in the euro area ∗ (2012) (1)
Quantile-based Inﬂation Risk Models (2018) (1)
Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with It? (2014) (1)
Real-Time Forecasts of State and Local Government Budgets with an Application to COVID-19 (2020) (1)
Comment (2014) (1)
Mixed Frequency Models (2018) (1)
Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data (2019) (1)
Inference in Group Factor Models with an Application to Mixed Frequency Data (2019) (1)
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory (1987) (1)
Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation (1991) (1)
Monitoring for Disruptions in Financial Markets (2005) (1)
Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium (2020) (0)
Stochastic volatilityduration models (2004) (0)
Peer E ects in Mutual Funds (2013) (0)
Essays in Econometrics: Developments in the Study of Cointegrated Economic Variables (2001) (0)
Seasonal Unit Root Processes (2001) (0)
Editors' Report 2001 (2002) (0)
Série Scientifique Scientific Series N o 94 s15 BAYESIAN INFERENCE FOR PERIODIC REGIME-SWITCHING MODELS (1997) (0)
MIDAS Instruments (2009) (0)
Foreword by Thomas J. Sargent (2001) (0)
Panel Data Nowcasting in a Data-Rich Environment: The Case of Price-Earnings Ratios (2022) (0)
Série Scientifique Scientific Series N o 94 s-11 SIMULATION BASED INFERENCE IN MOVING AVERAGE MODELS (1997) (0)
The Scientific Series fulfils one of the missions of CIRANO : to develop the scientific analysis of organizations and strategic behaviour (1998) (0)
Ambiguity with Machine Learning: An Application to Portfolio Choice (2021) (0)
Monthly Art Market Returns (2017) (0)
Three Common Factors (2022) (0)
Regression-Based Mixed Frequency Granger Causality Tests : Short Version ∗ (2015) (0)
Special issue on 'multivariate volatility models' (2009) (0)
DP Monthly art market returns (2018) (0)
Introduction to Seasonal Processes (2001) (0)
On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency (1989) (0)
Seasonality in Surveys Evidence From the Belgian Business Tests (1986) (0)
Real-time Forecasts of State and Local Government Budgets with an Application to the COVID-19 Pandemic (2022) (0)
Tensor Principal Component Analysis (2022) (0)
Taylor Rules and Financial Market Expectations (2015) (0)
THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT (2012) (0)
Essays in Econometrics Real Author-Name:Granger,Clive W. J (2001) (0)
Essays in Econometrics: Long Memory Series with Attractors (2001) (0)
Forecasting economic activity u sing MiDaS regression models (2009) (0)
Momentum Trading, Return Chasing and Predictable Crashes (2014) (0)
Editors' Report 2003 (2004) (0)
Discussion of “An approach for identifying and predicting economic recessions in real-time using time-frequency functional models”by Holan, Yang, Matteson, and Wikle (2012) (0)
Does Anticipated Information Impose a Cost on Risk-Averse Investors ? (2013) (0)
Measurement and High Finance (2010) (0)
Estimating Undetected COVID-19 Infections (2021) (0)
Risk and Return Trade-off in the U.S. Treasury Markets (2013) (0)
Mixed-Frequency Macro–Finance Factor Models: Theory and Applications* (2020) (0)
COWLES FOUNDATION FOR RESEARCH IN ECONOMICS AT YALE UNIVERSITY Box (1988) (0)
Estimation and Hypothesis Testing with Unfiltered and Filtered Data (2001) (0)
UNIVERSITY OF CYPRUS QUALITY CONTROL FOR STRUCTURAL CREDIT RISK MODELS (2007) (0)
Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed? (2017) (0)
Essays in Econometrics 2 Volume Paperback Set Real Author-Name:Granger,Clive W. J (2001) (0)
Are they cyclical (1994) (0)
Using Financial Econometrics to Measure Risk (2010) (0)
On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation (2003) (0)
Spanning Latent and Observable Factors (2023) (0)
The Econometric Analysis of Seasonal Time Series: Epilogue (2001) (0)
TheNormalInverseGaussian DistributionandthePricing ofDerivatives ANDERSERIKSSON,ERICGHYSELS,ANDFANGFANGWANG (2009) (0)
PROFESSOR M4ARC NERLOVE (1993) (0)
Comment (2006) (0)
CAHIER 29-2001 (2002) (0)
New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment (1998) (0)
Seasonal Adjustment Programs (2001) (0)
The Asian Financial Crisis of 1997 : The Role of Derivative Securities Trading and Foreign Investors (2002) (0)
The Business Cycle, the Seasonal Cycle Or Just Any Cycle (1990) (0)
Editors' Report 2002 (2003) (0)
UNIVERSITY OF CYPRUS FORECASTING WITH MIXED-FREQUENCY DATA (2010) (0)
Rejoinder (2014) (0)
Econometric methods for derivative securities and risk management (2000) (0)
Some Nonlinear Seasonal Models (2001) (0)
On the Analysis of Business Cycles Through the Spectrum of Chronologies (1994) (0)
Internet Appendix to “ EX ANTE SKEWNESS AND EXPECTED STOCK RETURNS ” ∗ (2012) (0)
Kalman Filter Seasonal Extraction Applied to Monetary Targeting (1986) (0)
The JFEC Invited Lecture at the 2008 SoFiE Conference (2009) (0)

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