Feedback to SSRN

 
  • Selected
  • Entire List
 

Ghysels, Eric


 SSRN Author Rank: 470 by Downloads
 

University of North Carolina Kenan-Flagler Business School


 Kenan-Flagler Business School
 Chapel Hill, NC 27599-3490
 United States
 email address

 

University of North Carolina (UNC) at Chapel Hill - Department of Economics


 Gardner Hall, CB 3305
 Chapel Hill, NC 27599
 United States
 919-966-5325 (Phone)
 919-966-4986 (Fax)
 HOME PAGE: http://www.unc.edu/~eghysels/
 email address

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Ghysels, Eric's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
24,840
Total
Citations
656
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Chernov, Mikhail
UCLA Anderson
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Tauchen, George
Duke University - Economics Group
Posted:
07 Nov 99
2,173
(3,011)
15

2.   Incl. Electronic Paper
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Sohn, Bumjean
Georgetown University - McDonough School of Business
Posted:
21 Mar 07
Last Revised:
18 Sep 12
1,707
(4,573)
30

3.  
Arbitrage-Based Pricing When Volatility is Stochastic | Show Abstract | Download |
Caltech Social Science Working Paper 977
Working Paper Series
Bossaerts, Peter
California Institute of Technology
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Gourieroux, Christian
University of Toronto - Department of Economics
Posted:
05 Sep 96
1,635
(4,927)
1

4.  
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
31 Dec 07
Last Revised:
18 Sep 12
1,536
(5,514)
6

5.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Plazzi, Alberto
University of Lugano - Institute of Finance
Posted:
16 Oct 06
1,187
(8,498)
7

6.  
Garcia, René
EDHEC Business School
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Renault, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Posted:
02 Jan 04
1,011
(10,983)
25

7.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Jacquier, Eric
Boston University School of Management
Posted:
03 May 05
988
(11,376)
19

8.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Seon, Junghoon
Pennsylvania State University, College of the Liberal Arts - Department of Economic
Posted:
18 Sep 00
900
(13,126)
2

9.  
Chernov, Mikhail
UCLA Anderson
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
29 Aug 98
893
(13,303)
3

10.  
Chernov, Mikhail
UCLA Anderson
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Tauchen, George
Duke University - Economics Group
Posted:
31 Jan 01
843
(14,494)
12

11.   Incl. Electronic Paper
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Santa-Clara, Pedro
New University of Lisbon - Nova School of Business and Economics
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
18 Jun 04
Last Revised:
18 Sep 12
811
(15,387)
143

12.  
Stock Market Fundamentals and Heterogeneity of Beliefs: Tests Based on a Decomposition of Returns and Volatility | Show Abstract | Download |
AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper
Working Paper Series
Juergens, Jennifer L.
Drexel University - Department of Finance
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
03 Mar 02
766
(16,740)
4

13.   Incl. Electronic Paper
Forsberg, Lars
Uppsala University - Department of Information Science, Division of Statistics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
13 Sep 06
Last Revised:
18 Sep 12
752
(17,178)
32

14.  
Conrad, Jennifer S.
University of North Carolina Kenan-Flagler Business School
Dittmar, Robert F.
University of Michigan, Stephen M. Ross School of Business
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
14 Dec 09
715
(18,487)
44

15.   Incl. Electronic Paper
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Santa-Clara, Pedro
New University of Lisbon - Nova School of Business and Economics
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
05 Oct 03
Last Revised:
18 Sep 12
645
(21,461)
67

16.  
Carrasco, Marine
University of Montreal - Departement de Ciences Economiques
Chernov, Mikhail
UCLA Anderson
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Florens, Jean-Pierre
University of Toulouse
Posted:
17 Dec 02
587
(24,364)
14

17.  
A Component Model for Dynamic Correlations | Show Abstract | Download |
Journal of Econometrics, Forthcoming
Accepted Paper Series
Colacito, Riccardo
University of North Carolina Kenan-Flagler Business School
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
09 Mar 09
Last Revised:
15 Nov 13
552
(26,543)
12

18.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
29 May 12
508
(29,699)
2

19.  
Sinko, Arthur
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
05 Sep 06
430
(36,860)
12

20.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Plazzi, Alberto
University of Lugano - Institute of Finance
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
14 Feb 11
Last Revised:
18 Sep 12
402
(40,039)
6

21.  
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Kourtellos, Andros
University of Cyprus - Department of Economics
Posted:
20 Nov 10
386
(42,097)
5

22.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Sinko, Arthur
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
23 Feb 06
370
(44,300)
43

23.  
Forecasting Real Estate Prices | Show Abstract | Download |
Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Accepted Paper Series
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Plazzi, Alberto
University of Lugano - Institute of Finance
Torous, Walter N.
University of California, Los Angeles (UCLA) - Finance Area
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
21 Apr 13
333
(50,220)
4

24.   Incl. Electronic Paper
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
21 Jun 02
Last Revised:
18 Sep 12
324
(51,887)
36

25.  
Christoffersen, Peter
University of Toronto - Rotman School of Management
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Swanson, Norman R.
University of North Carolina Kenan-Flagler Business School
Posted:
24 Jul 01
292
(58,658)
5

26.  
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
12 Jun 02
290
(59,090)
36

27.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Horan, Casidhe
The Stephen M. Ross School of Business at the University of Michigan
Moench, Emanuel
Federal Reserve Bank of New York
Posted:
13 Nov 12
Last Revised:
22 Mar 14
281
(61,260)
2

28.  
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
29 Aug 06
277
(62,270)
3

29.   Incl. Electronic Paper
Chabot, Benjamin Remy
Federal Reserve Bank of Chicago
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Jagannathan, Ravi
Northwestern University - Kellogg School of Management
Posted:
12 Dec 09
Last Revised:
22 Feb 14
269
(64,324)
2

30.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Pereira, João Pedro
ISCTE-IUL Business School - Lisbon
Posted:
06 Jun 03
265
(65,429)
1

31.  
Chen, Xilong
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
05 Jul 07
240
(72,625)
5

32.  
Discount Window Stigma During the 2007-2008 Financial Crisis | Show Abstract | Download |
FRB of New York Staff Report No. 483
Working Paper Series
Armantier, Olivier
Federal Reserve Bank of New York
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Sarkar, Asani
Federal Reserve Bank of New York
Shrader, Jeffrey
Department of Economics, UC San Diego
Posted:
04 Feb 11
Last Revised:
16 May 14
235
(74,288)
11

33.  
Forecasting Professional Forecasters | Show Abstract | Download |
FEDS Working Paper No. 2006-10
Working Paper Series
Wright, Jonathan H.
Johns Hopkins University - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
23 Feb 06
235
(74,288)
8

34.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Serrano, Antonio Rubia
University of Alicante, Department of Financial Economics
Posted:
17 Feb 09
225
(77,736)
4

35.  
Chen, Xilong
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
17 Mar 08
Last Revised:
18 Sep 12
216
(81,120)
8

36.  
Wang, Fangfang
University of North Carolina (UNC) at Chapel Hill - College of Arts and Sciences
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
26 Sep 08
183
(95,443)
2

37.  
Colacito, Riccardo
University of North Carolina Kenan-Flagler Business School
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
MENGJinghan
Universitiy of Hong Kong
Posted:
06 Dec 12
Last Revised:
05 May 13
169
(102,709)
 

38.  
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
04 Apr 05
152
(113,063)
10

39.   Incl. Electronic Paper
Francis, Neville
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Owyang, Michael
Federal Reserve Bank of St. Louis - Research Division
Posted:
31 Jan 11
Last Revised:
18 Sep 12
141
(120,566)
 

40.  
Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models | Show Abstract | Download |
FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Working Paper Series
Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
Fleming, Michael J.
Federal Reserve Bank of New York
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Nguyen, Giang
University of North Carolina at Chapel Hill
Posted:
02 Jan 13
138
(122,816)
 

41.  
Chabot, Benjamin Remy
Federal Reserve Bank of Chicago
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Jagannathan, Ravi
Northwestern University - Kellogg School of Management
Posted:
25 Nov 08
134
(125,892)
4

42.  
Chen, Xilong
affiliation not provided to SSRN
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Wang, Fangfang
affiliation not provided to SSRN
Posted:
23 Apr 11
108
(148,581)
 

43.  
Tails of Inflation Forecasts and Tales of Monetary Policy | Show Abstract | Download |
UNC Kenan-Flagler Research Paper No. 2013-17
Working Paper Series
Andrade, Philippe
Banque de France
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Idier, Julien
European Central Bank (ECB)
Posted:
03 Nov 12
94
(163,605)
2

44.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Le, Anh
University of North Carolina Kenan-Flagler Business School
Park, Sunjin
University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Zhu, Haoxiang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Posted:
03 Mar 14
89
(169,699)
 

45.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Ozkan, Nazire
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Posted:
01 Nov 12
88
(170,905)
 

46.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
24 Mar 14
80
(182,701)
 

47.  
Seasonal Time Series and Autocorrelation Function Estimation | Show Abstract | Download |
The Manchester School, Vol. 70, pp. 651-665, 2002
Accepted Paper Series
Lee, Hahn Shik
Sogang University
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Bell, William R.
Government of the United States of America - Bureau of the Census
Posted:
13 May 03
37
(261,601)
 

48.  
Andrade, Philippe
Banque de France
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Idier, Julien
European Central Bank (ECB)
Posted:
22 May 14
35
(266,848)
 

49.   Incl. Electronic Paper
Alessi, Lucia
European Central Bank (ECB)
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Onorante, Luca
European Central Bank (ECB)
Peach, Richard W.
Federal Reserve Bank of New York
Potter, Simon
Federal Reserve Bank of New York
Posted:
11 Jul 14
Last Revised:
22 Jul 14
26
(294,697)
 

50.  
The Financial Content of Inflation Risks in the Euro Area | Show Abstract | Download |
Banque de France Working Paper No. 437
Working Paper Series
Andrade, Philippe
Banque de France
Fourel, Valère
Banque de France
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Idier, Julien
Banque de France - Centre de Recherche
Posted:
29 Jul 13
20
(318,100)
 

51.  
Andrade, Philippe
University of Cergy-Pontoise - THEMA
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Idier, Julien
Banque de France - Centre de Recherche
Posted:
08 Dec 12
20
(318,100)
1

52.   Incl. Electronic Paper
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Idier, Julien
Banque de France - Centre de Recherche
Manganelli, Simone
European Central Bank (ECB)
Vergote, Olivier
European Central Bank (ECB)
Posted:
10 Dec 13
Last Revised:
15 Mar 14
18
(326,413)
1

53.  
Valuation in US Commercial Real Estate | Show Abstract | Download |
European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Accepted Paper Series
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Plazzi, Alberto
University of Lugano - Institute of Finance
Valkanov, Rossen I.
University of California, San Diego (UCSD) - Rady School of Management
Posted:
24 May 07
17
(330,514)
7

54.   Incl. Electronic Paper
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Hill, Jonathan B.
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Motegi, Kaiji
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Posted:
24 Sep 13
Last Revised:
14 Jul 14
11
(359,942)
 

55.  
Regime Switches in the Risk-Return Trade-Off | Show Abstract | Download |
CEPR Discussion Paper No. DP9698
Working Paper Series
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Guérin, Pierre
Government of Canada - Bank of Canada
Marcellino, Massimiliano Giuseppe
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)
Posted:
28 Oct 13
1
(403,627)
 

56.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Miller, J. I.
University of Missouri
Posted:
17 Sep 13
0
(413,763)
 

57.  
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests | Show Abstract |
Journal of Financial Econometrics, Vol. 2, No. 2, pp. 290-318, 2004
Accepted Paper Series
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
29 Feb 08
 

58.  
Do Heterogeneous Beliefs Matter for Asset Pricing? | Show Abstract |
The Review of Financial Studies, Vol. 18, Issue 3, pp. 875-924, 2005
Accepted Paper Series
Anderson, Evan W.
Northern Illinois University
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Juergens, Jennifer L.
Drexel University - Department of Finance
Posted:
29 Feb 08
 

59.  
Andreou, Elena
University of Cyprus - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Kourtellos, Andros
University of Cyprus - Department of Economics
Posted:
20 Nov 07
 

60.  
The Impact of Risk and Uncertainty on Expected Returns | Show Abstract |
AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper, Journal of Financial Economics (JFE), Forthcoming
Working Paper Series
Anderson, Evan W.
Northern Illinois University
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Juergens, Jennifer L.
Drexel University - Department of Finance
Posted:
21 Mar 06
Last Revised:
18 Sep 12
 

61.  
Chernov, Mikhail
UCLA Anderson
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
10 Feb 01
 

62.   Incl. Electronic Paper
Cao, Charles
Pennsylvania State University
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Hatheway, Frank
National Association of Securities Dealers, Inc., NASD
Posted:
11 Oct 99
Last Revised:
18 Sep 12
 

63.  
Bollerslev, Tim
Duke University - Finance
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
10 Sep 99
 

64.  
Estimation of Stochastic Volatility Models for the Purpose of Option Pricing | Show Abstract |
Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999
Accepted Paper Series
Chernov, Mikhail
UCLA Anderson
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
07 Apr 99
 

65.  
Jasiak, Joann
York University - Department of Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
10 Oct 98
 

66.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
10 Oct 98
 

67.  
Guay, Alain
University of Quebec at Montreal (UQAM) - Centre de recherche sur l'emploi et les fluctuations économiques (CREFÉ)
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
14 Aug 98
 

68.  
On Stable Factor Structures in the Pricing of Risk: Do Time Varying Betas Help or Hurt? | Show Abstract |
Journal of Finance, Vol. 53, No. 2, April 1998
Accepted Paper Series
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Posted:
02 Aug 98
 

69.  
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Gourieroux, Christian
University of Toronto - Department of Economics
Jasiak, Joann
York University - Department of Economics
Posted:
26 Apr 98
 

70.  
Broadie, Mark
Columbia University - Columbia Business School - Decision Risk and Operations
Detemple, Jerome
Boston University - Department of Finance & Economics
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Torres, Olivier
Universite Catholique de Louvain
Posted:
14 Nov 96
 


Records 1 - 70 of 70 matches
[ 1 ]

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.984 seconds