Eric Ghysels

University of North Carolina Kenan-Flagler Business School

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

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

Gardner Hall, CB 3305

Chapel Hill, NC 27599

United States

http://www.unc.edu/~eghysels/

SCHOLARLY PAPERS

84

DOWNLOADS
Rank 454

SSRN RANKINGS

Top 454

in Total Papers Downloads

34,641

CITATIONS
Rank 828

SSRN RANKINGS

Top 828

in Total Papers Citations

636

Scholarly Papers (84)

1.
Downloads 2,287 ( 4,518)
Citation 28

On the Economic Sources of Stock Market Volatility

AFA 2008 New Orleans Meetings Paper
Number of pages: 54 Posted: 21 Mar 2007 Last Revised: 18 Sep 2012
Robert F. Engle, Eric Ghysels and Bumjean Sohn
New York University - Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 1,894 (6,115)
Citation 28

Abstract:

stock market volatility, macroeconomic variables, volatility decomposition, cross-section of returns

On the Economic Sources of Stock Market Volatility

NYU Working Paper No. FIN-08-043
Number of pages: 54 Posted: 09 Mar 2009
Robert F. Engle, Eric Ghysels and Bumjean Sohn
New York University - Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 393 (61,252)
Citation 28

Abstract:

2.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,206 (4,482)
Citation 15

Abstract:

3.

Structural Breaks in Financial Time Series

Number of pages: 55 Posted: 31 Dec 2007 Last Revised: 18 Sep 2012
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 1,677 (6,439)
Citation 6

Abstract:

Structural change, historical tests, sequential tests

4.

Arbitrage-Based Pricing When Volatility is Stochastic

Caltech Social Science Working Paper 977
Number of pages: 41 Posted: 05 Sep 1996
Brain, Mind and Markets Laboratory, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,649 (7,737)
Citation 1

Abstract:

Momentum Trading, Return Chasing and Predictable Crashes

Number of pages: 44 Posted: 01 Nov 2014 Last Revised: 03 Dec 2014
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 1,216 (12,740)

Abstract:

momentum, crashes, return chasing

Momentum Trading, Return Chasing and Predictable Crashes

FRB of Chicago Working Paper No. 2014-27
Number of pages: 57 Posted: 19 Dec 2014
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 156 (160,484)

Abstract:

momentum, crash risk, asset pricing

Momentum Trading, Return Chasing, and Predictable Crashes

NBER Working Paper No. w20660
Number of pages: 45 Posted: 08 Dec 2014
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 14 (502,300)
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Abstract:

Momentum Trading, Return Chasing, and Predictable Crashes

CEPR Discussion Paper No. DP10234
Number of pages: 44 Posted: 10 Nov 2014
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 1 (583,098)
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Abstract:

Limits-to-arbitrage, Momentum

6.

Valuation in the US Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and USI-Lugano
Downloads 1,275 (10,472)
Citation 6

Abstract:

Real Estate, MIDAS, Cap rate, Predictive regression

7.

The Econometrics of Option Pricing

Number of pages: 79 Posted: 02 Jan 2004
René Garcia, Eric Ghysels and Eric Renault
Université de Montréal - CIREQ - Département de sciences économiques, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,039 (14,683)
Citation 23

Abstract:

Stock Price Dynamics, Multivariate Jump-Diffusion Models, Latent variables, Stochastic Volatility, Objective and Risk Neutral Distributions, Nonparametric Option Pricing, Discrete time Option Pricing Models, Risk Neutral Valuation, Preference-free Option Pricing

8.

Market Beta Dynamics and Portfolio Efficiency

Number of pages: 32 Posted: 03 May 2005
Eric Ghysels and Eric Jacquier
University of North Carolina Kenan-Flagler Business School and Boston University School of Management
Downloads 1,026 (14,601)
Citation 19

Abstract:

beta, systematic risk, portfolio efficiency, errors in the variables

9.

The Asian Financial Crises: The Role of Derivative Securities Trading and Foreign Investors

AFA 2001 New Orleans
Number of pages: 39 Posted: 18 Sep 2000
Eric Ghysels and Junghoon Seon
University of North Carolina Kenan-Flagler Business School and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 937 (18,237)
Citation 2

Abstract:

10.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
University of North Carolina Kenan-Flagler Business School, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 926 (19,708)
Citation 5

Abstract:

return asymmetry, international equity markets, portfolio allocation, skewness

11.
Downloads 904 ( 20,428)
Citation 32

Why Do Absolute Returns Predict Volatility So Well?

Number of pages: 44 Posted: 13 Sep 2006
Lars Forsberg and Eric Ghysels
Uppsala University - Department of Information Science, Division of Statistics and University of North Carolina Kenan-Flagler Business School
Downloads 904 (20,045)
Citation 32

Abstract:

MIDAS regressions, Realized variance

Why Do Absolute Returns Predict Volatility so Well?

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 31-67, 2007
Posted: 16 Jun 2008
Lars Forsberg and Eric Ghysels
Uppsala University - Department of Information Science, Division of Statistics and University of North Carolina Kenan-Flagler Business School

Abstract:

MIDAS regressions, realized variance

12.

What Data Should Be Used To Price Options?

Number of pages: 49 Posted: 29 Aug 1998
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School
Downloads 898 (19,822)
Citation 4

Abstract:

13.
Downloads 889 ( 20,932)
Citation 141

There is a Risk-Return Tradeoff After All

EFA 2004 Maastricht Meetings Paper No. 1345; Anderson Working Paper; CIRANO Working Paper
Number of pages: 56 Posted: 18 Jun 2004
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 801 (23,990)
Citation 139

Abstract:

ICAPM, risk-return tradeoff, conditional variance, forecasting returns

There is a Risk-Return Tradeoff after All

NBER Working Paper No. w10913
Number of pages: 55 Posted: 08 Dec 2004
New University of Lisbon - Nova School of Business and Economics, University of North Carolina Kenan-Flagler Business School and University of California, San Diego (UCSD) - Rady School of Management
Downloads 88 (247,799)
Citation 141

Abstract:

14.

Alternative Models of Stock Prices Dynamics

Number of pages: 38 Posted: 31 Jan 2001
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 858 (21,505)
Citation 12

Abstract:

15.

Ex Ante Skewness and Expected Stock Returns

Number of pages: 59 Posted: 14 Dec 2009
University of North Carolina Kenan-Flagler Business School, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 799 (19,676)
Citation 37

Abstract:

Skewness, kurtosis, co-skewness, stochastic discount factors

16.

Stock Market Fundamentals and Heterogeneity of Beliefs: Tests Based on a Decomposition of Returns and Volatility

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 43 Posted: 03 Mar 2002
Jennifer L. Juergens and Eric Ghysels
Securities and Exchange Commission (SEC) and University of North Carolina Kenan-Flagler Business School
Downloads 781 (24,567)
Citation 4

Abstract:

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

Anderson School of Management Working Paper and UNC Department of Economics Working Paper
Number of pages: 46 Posted: 05 Oct 2003
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 651 (32,049)
Citation 70

Abstract:

variance estimation, volatility, asset pricing, MIDAS

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

NBER Working Paper No. w10914
Number of pages: 45 Posted: 08 Dec 2004
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 75 (273,616)
Citation 70

Abstract:

18.

Macroeconomics and the Reality of Mixed Frequency Data

Number of pages: 51 Posted: 29 May 2012 Last Revised: 11 Jul 2015
Eric Ghysels
University of North Carolina Kenan-Flagler Business School
Downloads 677 (17,372)
Citation 1

Abstract:

MIDAS regressions, Bayesian VAR models

19.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
University of North Carolina Kenan-Flagler Business School, New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 614 (28,674)
Citation 11

Abstract:

20.

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions

Number of pages: 73 Posted: 17 Dec 2002
University of Montreal - Departement de Ciences Economiques, UCLA Anderson, University of North Carolina Kenan-Flagler Business School and University of Toulouse
Downloads 597 (35,256)
Citation 14

Abstract:

maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models

21.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
University of North Carolina Kenan-Flagler Business School, USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 522 (19,822)
Citation 5

Abstract:

real estate, predictability, market efficiency, REIT

22.

Volatility Forecasting and Microstructure Noise

Number of pages: 106 Posted: 05 Sep 2006
Arthur Sinko and Eric Ghysels
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 439 (50,021)
Citation 11

Abstract:

Realized volatility, MIDAS regressions

23.

MIDAS Regressions: Further Results and New Directions

Number of pages: 50 Posted: 23 Feb 2006
Eric Ghysels, Arthur Sinko and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 402 (42,546)
Citation 42

Abstract:

Volatility, Risk, tick-by-tick applications, nonlinear MIDAS, microstructure noise

24.

Should Macroeconomic Forecasters Use Daily Financial Data and How?

Number of pages: 66 Posted: 20 Nov 2010
Elena Andreou, Eric Ghysels and Andros Kourtellos
University of Cyprus - Department of Economics, University of North Carolina Kenan-Flagler Business School and University of Cyprus - Department of Economics
Downloads 399 (48,428)
Citation 4

Abstract:

MIDAS Regressions, Macro Forecasting, Leads, Daily Financial Information, Daily Factors

25.

Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with It?

Number of pages: 51 Posted: 16 Oct 2014
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 383 (43,256)

Abstract:

Factor asset pricing models, ARCH filters

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results

Number of pages: 34 Posted: 21 Jun 2002
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 340 (72,672)
Citation 37

Abstract:

Rolling sample estimators, quadratic variation, volatility, efficient filtering, continuous record asymptotics, high-frequency data

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results

Journal of Business and Economic Statistics, Forthcoming
Posted: 04 Sep 2002
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School

Abstract:

Rolling sample estimators, quadratic variation, volatility, efficient filtering, continuous record asymptotics, high-frequency data

Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets

Number of pages: 66 Posted: 12 Dec 2009 Last Revised: 22 Feb 2014
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 304 (82,557)
Citation 2

Abstract:

Limit to arbitrage, Momentum

Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression Us Stock Markets

NBER Working Paper No. w15591
Number of pages: 66 Posted: 22 Dec 2009 Last Revised: 09 Aug 2010
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 28 (422,730)
Citation 2

Abstract:

28.

Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability

FRB of New York Staff Report No. 581
Number of pages: 41 Posted: 13 Nov 2012 Last Revised: 22 Mar 2014
Eric Ghysels, Casidhe Horan and Emanuel Moench
University of North Carolina Kenan-Flagler Business School, The Stephen M. Ross School of Business at the University of Michigan and Deutsche Bundesbank
Downloads 322 (58,027)
Citation 2

Abstract:

return predictability, real-time data, macroeconomic announcements, dynamic factor models

29.

Detecting Multiple Breaks in Financial Market Volatility Dynamics

Number of pages: 35 Posted: 12 Jun 2002
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 303 (77,418)
Citation 36

Abstract:

change-point, break dates, ARCH, high-frequency data

30.

Let's Get 'Real' About Using Economic Data

Number of pages: 22 Posted: 24 Jul 2001
University of Toronto - Rotman School of Management, University of North Carolina Kenan-Flagler Business School and Rutgers University - Department of Economics
Downloads 294 (80,422)
Citation 5

Abstract:

Market efficiency, expectations, news, data revision process

31.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

Number of pages: 56 Posted: 06 Dec 2012 Last Revised: 22 Aug 2015
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 292 (41,480)
Citation 2

Abstract:

Skewness, Consumption, Macro-Finance, Recursive Preferences

32.

Discount Window Stigma During the 2007-2008 Financial Crisis

Journal of Financial Economics (JFE), Forthcoming, FRB of New York Staff Report No. 483
Number of pages: 53 Posted: 04 Feb 2011 Last Revised: 18 Aug 2015
Federal Reserve Bank of New York, University of North Carolina Kenan-Flagler Business School, Federal Reserve Bank of New York and Department of Economics, UC San Diego
Downloads 283 (68,732)

Abstract:

Discount Window, Term Auction Facility, Stigma, Crisis, ABCP, TriParty Repo, monetary policy

33.

Quality Control for Structural Credit Risk Models

Number of pages: 33 Posted: 29 Aug 2006
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 281 (84,680)
Citation 3

Abstract:

Structural Change, Sequential Tests Merton Model

34.

Liquidity and Conditional Portfolio Choice: A Nonparametric Investigation

Number of pages: 40 Posted: 06 Jun 2003
Eric Ghysels and João Pedro Pereira
University of North Carolina Kenan-Flagler Business School and Nova School of Business and Economics
Downloads 268 (93,001)
Citation 1

Abstract:

Conditional Portfolio Choice, Liquidity, Nonparametric

35.

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

EFA 2009 Bergen Meetings Paper
Number of pages: 22 Posted: 17 Feb 2009
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and University of Alicante, Department of Financial Economics
Downloads 253 (77,950)
Citation 3

Abstract:

Volatility forecasting, multi-period forecasts, mixed-data sampling

36.

News - Good or Bad - and its Impact Over Multiple Horizons

Number of pages: 59 Posted: 05 Jul 2007
Xilong Chen and Eric Ghysels
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 245 (100,247)
Citation 5

Abstract:

MIDAS regressions, high frequency financial data

37.

Forecasting Professional Forecasters

FEDS Working Paper No. 2006-10
Number of pages: 47 Posted: 23 Feb 2006
Jonathan H. Wright and Eric Ghysels
Johns Hopkins University - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 239 (102,427)
Citation 10

Abstract:

Survey forecasts, mixed frequency data sampling, forecast evaluation, rational expectations, Kalman filter, Kalman smoother, news announcement

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?

Management Science, Forthcoming
Number of pages: 52 Posted: 23 May 2017
Ryan T. Ball and Eric Ghysels
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School
Downloads 237 (108,218)

Abstract:

Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer?

CEPR Discussion Paper No. DP12179
Number of pages: 55 Posted: 04 Aug 2017
Ryan T. Ball and Eric Ghysels
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School
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Abstract:

Factor Analysis with Large Panels of Volatility Proxies

Number of pages: 39 Posted: 24 Mar 2014
Eric Ghysels
University of North Carolina Kenan-Flagler Business School
Downloads 226 (113,486)

Abstract:

Principal Component Analysis, ARCH-type filters, realized volatility

Factor Analysis with Large Panels of Volatility Proxies

CEPR Discussion Paper No. DP10034
Number of pages: 42 Posted: 25 Sep 2014
Eric Ghysels
University of North Carolina Kenan-Flagler Business School
Downloads 0
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Abstract:

ARCH-type filters, Principal Component Analysis, realized volatility

The Low-Frequency Impact of Daily Monetary Policy Shocks

Number of pages: 33 Posted: 31 Jan 2011
Neville Francis, Eric Ghysels and Michael Owyang
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of North Carolina Kenan-Flagler Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 160 (157,051)

Abstract:

Monetary policy, daily fed funds rate, price puzzle, mixed data frequencies

The Low-Frequency Impact of Daily Monetary Policy Shocks

Federal Reserve Bank of St. Louis Working Paper Series 2011-009B
Number of pages: 29 Posted: 28 Mar 2011 Last Revised: 18 Sep 2012
Neville Francis, Eric Ghysels and Michael Owyang
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of North Carolina Kenan-Flagler Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 66 (294,308)

Abstract:

monetary policy, daily fed funds rate, price puzzle, mixed data frequencies

41.

News - Good or Bad - and its Impact on Volatility Predictions over Multiple Horizons

Number of pages: 42 Posted: 17 Mar 2008 Last Revised: 18 Sep 2012
Xilong Chen and Eric Ghysels
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 225 (107,766)
Citation 8

Abstract:

MIDAS regressions, high frequency financial data

42.

Statistical Inference for Volatility Component Models

Number of pages: 36 Posted: 26 Sep 2008
Fangfang Wang and Eric Ghysels
University of North Carolina (UNC) at Chapel Hill - College of Arts and Sciences and University of North Carolina Kenan-Flagler Business School
Downloads 186 (123,612)
Citation 2

Abstract:

43.

Price Momentum in Stocks: Insights from Victorian Age Data

NBER Working Paper No. w14500
Number of pages: 50 Posted: 25 Nov 2008 Last Revised: 18 Sep 2012
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 183 (139,404)
Citation 4

Abstract:

44.

Risk and Return Trade-Off in the U.S. Treasury Market

Number of pages: 41 Posted: 03 Mar 2014
Eric Ghysels, Anh Le, Sunjin Park and Haoxiang Zhu
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 178 (97,809)

Abstract:

bond risk premium, stochastic volatility, term structure models

45.

Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models

FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Number of pages: 55 Posted: 02 Jan 2013
New York University - Leonard N. Stern School of Business - Department of Economics, Federal Reserve Bank of New York, University of North Carolina Kenan-Flagler Business School and Smeal College of Business, Penn State University
Downloads 178 (88,043)
Citation 3

Abstract:

liquidity, Treasury market, limit order book, financial crisis, volatility, announcement

Testing for Granger Causality with Mixed Frequency Data

Number of pages: 58 Posted: 14 Jul 2014 Last Revised: 14 Jul 2015
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Graduate School of Economics, Kobe University
Downloads 170 (148,946)

Abstract:

Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)

Testing for Granger Causality with Mixed Frequency Data

CEPR Discussion Paper No. DP9655
Number of pages: 44 Posted: 24 Sep 2013
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Graduate School of Economics, Kobe University
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Abstract:

Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)

47.

Monitoring for Disruptions in Financial Markets

Number of pages: 62 Posted: 04 Apr 2005
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 153 (152,002)
Citation 10

Abstract:

Structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power

48.

HYBRID-GARCH: A Generic Class of Models for Volatility Predictions Using Mixed Frequency Data

Number of pages: 75 Posted: 23 Apr 2011
Xilong Chen, Eric Ghysels and Fangfang Wang
affiliation not provided to SSRN, University of North Carolina Kenan-Flagler Business School and affiliation not provided to SSRN
Downloads 141 (139,404)

Abstract:

HYBRID process, weak GARCH, GARCH jump diffusion, realized measure, temporal aggregation, filtering

Is Industrial Production Still the Dominant Factor for the US Economy?

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 84 Posted: 13 Feb 2016 Last Revised: 17 Sep 2016
University of Cyprus - Department of Economics, University of Lugano and Swiss Finance Institute, University of North Carolina Kenan-Flagler Business School and University of Bristol
Downloads 114 (206,895)

Abstract:

Is Industrial Production Still the Dominant Factor for the US Economy?

CEPR Discussion Paper No. DP12219
Number of pages: 87 Posted: 15 Aug 2017
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and University of Bristol
Downloads 1 (583,098)
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Abstract:

GDP growth, Group Factor models, MIDAS

50.

Tails of Inflation Forecasts and Tales of Monetary Policy

UNC Kenan-Flagler Research Paper No. 2013-17
Number of pages: 51 Posted: 03 Nov 2012
Philippe Andrade, Eric Ghysels and Julien Idier
Banque de France, University of North Carolina Kenan-Flagler Business School and European Central Bank (ECB)
Downloads 115 (174,500)
Citation 1

Abstract:

Tail risk, Survey of Professional Forecasters

51.

Real-Time Predictions of the U.S. Federal Government Budget: Expenditures, Revenues and Deficits

UNC Kenan-Flagler Research Paper
Number of pages: 27 Posted: 01 Nov 2012
Eric Ghysels and Nazire Ozkan
University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 106 (173,510)

Abstract:

C22

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 103 (222,777)

Abstract:

unconventional monetary policy; euro area crisis; SMP; component models; high frequency data

A High Frequency Assessment of the ECB Securities Markets Programme

CEPR Discussion Paper No. DP9778
Number of pages: 29 Posted: 10 Dec 2013
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (571,451)
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Abstract:

Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences

ECB Working Paper No. 1688
Number of pages: 58 Posted: 11 Jul 2014
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, European Central Bank (ECB), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 53 (329,354)

Abstract:

forecast evaluation, mixed frequency data sampling

Central Bank Macroeconomic Forecasting during the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences

FRB of New York Staff Report No. 680
Number of pages: 41 Posted: 22 Jul 2014
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, European Central Bank (ECB), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 30 (413,115)

Abstract:

macro forecasting, financial crisis

Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression

Number of pages: 62 Posted: 14 Jun 2017
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 75 (273,616)

Abstract:

Systemic Risk, Financial Crises, Risk Measures

Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression

CEPR Discussion Paper No. DP12178
Number of pages: 65 Posted: 04 Aug 2017
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
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Abstract:

Financial crises, Risk Measures, systemic risk

55.

Inflation Risk Measures and Their Informational Content

Number of pages: 54 Posted: 22 May 2014
Philippe Andrade, Eric Ghysels and Julien Idier
Banque de France, University of North Carolina Kenan-Flagler Business School and European Central Bank (ECB)
Downloads 74 (226,020)

Abstract:

inflation expectations, inflation risks, balance of risks, survey forecasts, monetary policy

56.

Seasonal Time Series and Autocorrelation Function Estimation

The Manchester School, Vol. 70, pp. 651-665, 2002
Number of pages: 15 Posted: 13 May 2003
Hahn Shik Lee, Eric Ghysels and William R. Bell
Sogang University, University of North Carolina Kenan-Flagler Business School and Government of the United States of America - Bureau of the Census
Downloads 37 (375,401)
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Abstract:

57.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. Online Appendix.

Number of pages: 61 Posted: 02 Apr 2015 Last Revised: 22 Aug 2015
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
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Citation 2

Abstract:

Skewness, Consumption, Macro-Finance, Recursive Preferences

58.

Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality

Number of pages: 47 Posted: 12 Jun 2015 Last Revised: 30 Mar 2017
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Graduate School of Economics, Kobe University
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Abstract:

Granger causality test, max test, Mixed Data Sampling (MIDAS), Sims test, temporal aggregation

59.

Tails of Inflation Forecasts and Tales of Monetary Policy

Number of pages: 54 Posted: 08 Dec 2012
Philippe Andrade, Eric Ghysels and Julien Idier
University of Cergy-Pontoise - THEMA, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
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Citation 1

Abstract:

inflation expectations, risk, uncertainty, survey data, inflation dynamics, monetary policy

60.

The Financial Content of Inflation Risks in the Euro Area

Banque de France Working Paper No. 437
Number of pages: 35 Posted: 29 Jul 2013
Banque de France, Banque de France, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
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Abstract:

inflation forecasts, inflation risk, survey data, financial data, MIDAS regression

61.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
University of North Carolina Kenan-Flagler Business School, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
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Citation 6
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Abstract:

62.

Can We Automate Earnings Forecasts and Beat Analysts?

CEPR Discussion Paper No. DP10186
Number of pages: 35 Posted: 06 Oct 2014
Ryan T. Ball, Eric Ghysels and Huan Zhou
The Stephen M. Ross School of Business at the University of Michigan, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill
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Abstract:

forecast combination, MIDAS regression, real-time data

63.

Regime Switches in the Risk-Return Trade-Off

CEPR Discussion Paper No. DP9698
Number of pages: 45 Posted: 28 Oct 2013
University of North Carolina Kenan-Flagler Business School, Government of Canada - Bank of Canada and European University Institute
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Abstract:

conditional variance, Markov-switching, MIDAS, Risk-return trade-off

64.

Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?

CEPR Discussion Paper No. DP12180
Number of pages: 60 Posted: 04 Aug 2017
Eric Ghysels and Hanwei Liu
University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill
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Abstract:

65.

Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling

Number of pages: 30 Posted: 13 Sep 2016
Eric Ghysels and Hang Qian
University of North Carolina Kenan-Flagler Business School and The MathWorks, Inc.
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Abstract:

Mixed frequency data, MIDAS regressions, profile likelihood

66.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
University of North Carolina Kenan-Flagler Business School, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
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Abstract:

risk, return, financial crisis, flight-to-safety

67.

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

Swiss Finance Institute Research Paper No. 16-46
Number of pages: 70 Posted: 12 Jan 2016 Last Revised: 23 Jul 2016
Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Lugano and Swiss Finance Institute, University of North Carolina Kenan-Flagler Business School and University of Bristol
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Abstract:

Indirect inference, MIDAS regressions, State space model, Stochastic volatility, GDP forecasting.

68.

Backtesting Systemic Risk Measures During Historical Bank Runs

FRB of Chicago Working Paper No. WP-2015-9
Number of pages: 36 Posted: 11 Dec 2015
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
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Abstract:

Financial crisis, Systemic risk, Stress testing, credit risk, High-frequency data

69.

Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with it?

CEPR Discussion Paper No. DP10236
Number of pages: 53 Posted: 10 Nov 2014
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
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Abstract:

ARCH filters, Factor asset pricing models

Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series

CEPR Discussion Paper No. DP9654
Number of pages: 47 Posted: 17 Sep 2013
Eric Ghysels and J. Isaac Miller
University of North Carolina Kenan-Flagler Business School and University of Missouri
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Abstract:

cointegration, mixed sampling frequencies, residual-based cointegration test, temporal aggregation, trace test

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series

Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 797-816, 2015
Number of pages: 20 Posted: 20 Oct 2015
Eric Ghysels and J. Isaac Miller
University of North Carolina Kenan-Flagler Business School and University of Missouri
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Abstract:

Temporal aggregation, mixed sampling frequencies, cointegration, trace test, residual‐based cointegration tests.JEL. C12

71.

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 290-318, 2004
Posted: 29 Feb 2008
Elena Andreou and Eric Ghysels
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School

Abstract:

change-point tests, CUSUM, GARCH, high-frequency data, Kolmogorov-Smirnov, location-scale distribution family, power variation, quadratic variation

72.

Do Heterogeneous Beliefs Matter for Asset Pricing?

The Review of Financial Studies, Vol. 18, Issue 3, pp. 875-924, 2005
Posted: 29 Feb 2008
Northern Illinois University, University of North Carolina Kenan-Flagler Business School and Securities and Exchange Commission (SEC)

Abstract:

time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

73.

Regression Models With Mixed Sampling Frequencies

Posted: 20 Nov 2007
Elena Andreou, Eric Ghysels and Andros Kourtellos
University of Cyprus - Department of Economics, University of North Carolina Kenan-Flagler Business School and University of Cyprus - Department of Economics

Abstract:

MIDAS regressions

74.

The Impact of Risk and Uncertainty on Expected Returns

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper, Journal of Financial Economics (JFE), Forthcoming
Posted: 21 Mar 2006 Last Revised: 18 Sep 2012
Northern Illinois University, University of North Carolina Kenan-Flagler Business School and Securities and Exchange Commission (SEC)

Abstract:

Conditional volatility, model uncertainty, disagreement, factor models

75.

A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation

Journal of Financial Economics, Vol. 56, No. 3, June, 2000
Posted: 10 Feb 2001
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

Abstract:

Price Discovery without Trading: Evidence from the Nasdaq Pre-opening

Posted: 11 Oct 1999
Charles Cao, Eric Ghysels and Frank Hatheway
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and National Association of Securities Dealers, Inc., NASD

Abstract:

Price Discovery without Trading: Evidence from the Nasdaq Pre-opening

Journal of Finance
Posted: 03 Nov 1999
Charles Cao, Eric Ghysels and Frank Hatheway
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and National Association of Securities Dealers, Inc., NASD

Abstract:

77.

Periodic Autoregressive Conditional Heteroskedasticity

Posted: 10 Sep 1999
Tim Bollerslev and Eric Ghysels
Duke University - Finance and University of North Carolina Kenan-Flagler Business School

Abstract:

78.

Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999
Posted: 07 Apr 1999
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

Abstract:

79.

On Stable Factor Structures In the Pricing Of Risk

Posted: 10 Oct 1998
Eric Ghysels
University of North Carolina Kenan-Flagler Business School

Abstract:

80.

Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects

Posted: 10 Oct 1998
Joann Jasiak and Eric Ghysels
York University - Department of Economics and University of North Carolina Kenan-Flagler Business School

Abstract:

81.

Structural Change Tests for Simulated Method of Moments

Posted: 14 Aug 1998
Alain Guay and Eric Ghysels
University of Quebec at Montreal (UQAM) - Centre de recherche sur l'emploi et les fluctuations économiques (CREFÉ) and University of North Carolina Kenan-Flagler Business School

Abstract:

82.

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

Journal of Finance, Vol. 53, No. 2, April 1998
Posted: 02 Aug 1998
Eric Ghysels
University of North Carolina Kenan-Flagler Business School

Abstract:

83.

Market Time and Asset Price Movements: Theory and Estimation

Posted: 26 Apr 1998
University of North Carolina Kenan-Flagler Business School, University of Toronto - Department of Economics and York University - Department of Economics

Abstract:

84.

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

Posted: 14 Nov 1996
Columbia University - Columbia Business School - Decision Risk and Operations, Boston University - Department of Finance & Economics, University of North Carolina Kenan-Flagler Business School and Universite Catholique de Louvain

Abstract: