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://https://eghysels.web.unc.edu/

  • University of North Carolina Kenan-Flagler Business School

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

    • Email
    • Tel: 919-966-5325
    • Fax: 919-966-4986
SCHOLARLY PAPERS

105

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56,515

SSRN CITATIONS
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1,276

CROSSREF CITATIONS

967

Scholarly Papers (105)

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1.

On the Economic Sources of Stock Market Volatility

Downloads 3,218 ( 6,433)
Citation 31

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 (NYU) - Department of Finance, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 2,734 (8,142)
Citation 60

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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 (NYU) - Department of Finance, University of North Carolina Kenan-Flagler Business School and Korea University Business School
Downloads 484 (98,343)
Citation 1

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2.

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?

Downloads 2,827 ( 7,879)
Citation 11

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 2,826 (7,749)

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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
Downloads 1 (1,067,554)
Citation 3
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3.

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

Number of pages: 37 Posted: 07 Nov 1999
Mikhail Chernov, A. Ronald Gallant, Eric Ghysels and George Tauchen
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,469 (9,717)
Citation 33

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4.

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 2,298 (10,933)
Citation 4

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Structural change, historical tests, sequential tests

5.

Momentum Trading, Return Chasing and Predictable Crashes

Downloads 1,750 (16,824)
Citation 3

Momentum Trading, Return Chasing and Predictable Crashes

Number of pages: 44 Posted: 01 Nov 2014 Last Revised: 03 Dec 2014
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 1,476 (21,485)
Citation 2

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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
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 222 (228,583)
Citation 1

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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 Last Revised: 15 Jun 2023
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 51 (647,184)

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Momentum Trading, Return Chasing, and Predictable Crashes

CEPR Discussion Paper No. DP10234
Number of pages: 44 Posted: 10 Nov 2014
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 1 (1,067,554)
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Limits-to-arbitrage, Momentum

6.

Arbitrage-Based Pricing When Volatility is Stochastic

Caltech Social Science Working Paper 977
Number of pages: 41 Posted: 05 Sep 1996
Peter Bossaerts, Eric Ghysels and Christian Gourieroux
University of Cambridge, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,738 (17,030)
Citation 1

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7.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 1,624 (18,880)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

8.

Tilting the Evidence: The Role of Firm-Level Earnings Attributes in the Relation between Aggregated Earnings and Gross Domestic Product

Number of pages: 33 Posted: 17 May 2018 Last Revised: 30 Aug 2018
Ryan T. Ball, Lindsey A. Gallo and Eric Ghysels
The Stephen M. Ross School of Business at the University of Michigan, University of Michigan, Stephen M. Ross School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 1,578 (19,714)
Citation 8

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9.

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
Eric Ghysels, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,570 (19,882)
Citation 7

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real estate, predictability, market efficiency, REIT

10.

Ex Ante Skewness and Expected Stock Returns

Number of pages: 59 Posted: 14 Dec 2009
Jennifer S. Conrad, Jennifer S. Conrad, Robert F. Dittmar and Eric Ghysels
University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School, Rice University and University of North Carolina Kenan-Flagler Business School
Downloads 1,448 (22,525)
Citation 183

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Skewness, kurtosis, co-skewness, stochastic discount factors

11.

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 1,374 (24,340)
Citation 37

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

12.

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 1,331 (25,493)
Citation 49

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MIDAS regressions, Bayesian VAR models

13.

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
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,289 (26,675)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

14.

The Econometrics of Option Pricing

Number of pages: 79 Posted: 02 Jan 2004
René Garcia, Eric Ghysels and Eric Renault
Université de Montréal, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,287 (26,735)
Citation 18

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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

15.

Why Do Absolute Returns Predict Volatility so Well?

Downloads 1,169 (30,872)

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 1,169 (30,395)
Citation 13

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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

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MIDAS regressions, realized variance

16.

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

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 1,091 (33,986)
Citation 2

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17.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,087 (34,186)
Citation 22

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

18.

There is a Risk-Return Tradeoff after All

Downloads 1,071 (34,885)
Citation 71

There is a Risk-Return Tradeoff after All

Number of pages: 56 Posted: 18 Jun 2004
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 898 (44,054)
Citation 12

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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 Last Revised: 29 Oct 2022
Pedro Santa-Clara, Eric Ghysels and Rossen I. Valkanov
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 173 (287,061)
Citation 8

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19.

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 985 (39,288)
Citation 5

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20.

Alternative Models of Stock Prices Dynamics

Number of pages: 38 Posted: 31 Jan 2001
Mikhail Chernov, A. Ronald Gallant, Eric Ghysels and George Tauchen
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 959 (40,818)
Citation 115

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21.

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 945 (41,705)
Citation 24

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

22.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
Ric Colacito, Robert F. Engle and Eric Ghysels
University of North Carolina Kenan-Flagler Business School, New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 943 (41,816)
Citation 7

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23.

Nowcasting Net Asset Values: The Case of Private Equity

Review of Financial Studies, Forthcoming
Number of pages: 82 Posted: 14 Jan 2020 Last Revised: 09 Sep 2023
Gregory W. Brown, Eric Ghysels and Oleg Gredil
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of North Carolina Kenan-Flagler Business School and Tulane University - A.B. Freeman School of Business
Downloads 938 (42,196)
Citation 9

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Private Equity, Venture Capital, Leveraged Buyouts, Institutional Investors, State Space Models, Nowcasting, Risk Management

24.

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

Downloads 917 (43,451)
Citation 175

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
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 796 (52,004)
Citation 2

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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 Last Revised: 29 Oct 2022
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 121 (383,736)
Citation 25

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25.

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

Downloads 870 (46,755)
Citation 12

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

EFA 2009 Bergen Meetings Paper
Number of pages: 22 Posted: 17 Feb 2009
Eric Ghysels, Rossen I. Valkanov and Antonio Rubia Serrano
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 517 (90,686)
Citation 23

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

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 353 (142,259)

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

26.

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

Number of pages: 43 Posted: 03 Mar 2002
Jennifer L. Juergens and Eric Ghysels
Cornerstone Research, Inc. and University of North Carolina Kenan-Flagler Business School
Downloads 836 (49,361)
Citation 8

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27.

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
Ric Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
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 794 (52,925)
Citation 11

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Skewness, Consumption, Macro-Finance, Recursive Preferences

28.

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 708 (61,681)

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Factor asset pricing models, ARCH filters

29.

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 707 (61,812)
Citation 66

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

30.

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

Number of pages: 73 Posted: 17 Dec 2002
Marine Carrasco, Mikhail Chernov, Eric Ghysels and Jean-Pierre Florens
University of Montreal - Departement de Ciences Economiques, UCLA Anderson, University of North Carolina Kenan-Flagler Business School and University of Toulouse
Downloads 700 (62,632)
Citation 29

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

31.

Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application

Number of pages: 54 Posted: 24 Sep 2020 Last Revised: 21 Aug 2023
Andrii Babii, Ryan T. Ball, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, The Stephen M. Ross School of Business at the University of Michigan, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 699 (62,755)
Citation 4

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high-dimensional panels, large N and T panels, mixed-frequency data, sparse-group LASSO, fat tails

32.

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 Frankfurt School of Finance & Management
Downloads 582 (79,119)
Citation 48

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

33.

Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium

Number of pages: 34 Posted: 13 Jan 2021
Eric Ghysels, Ruslan Goyenko and Chengyu Zhang
University of North Carolina Kenan-Flagler Business School, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 566 (81,852)

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Machine Learning, Option Pricing

34.

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 549 (85,059)
Citation 6

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Realized volatility, MIDAS regressions

35.

Liquidity and Volatility in the U.S. Treasury Market

Journal of Econometrics, 217(2), 207-229. , FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20, Kenan Institute of Private Enterprise Research Paper
Number of pages: 55 Posted: 02 Jan 2013 Last Revised: 01 Jul 2021
Giang Nguyen, Robert F. Engle, Michael J. Fleming and Eric Ghysels
Pennsylvania State University - Smeal College of Business, New York University (NYU) - Department of Finance, Federal Reserve Bank of New York and University of North Carolina Kenan-Flagler Business School
Downloads 531 (88,677)
Citation 31

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

36.

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

Downloads 477 (101,112)

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
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 417 (117,254)

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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: 06 Feb 2023
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 60 (597,787)

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37.

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
Olivier Armantier, Eric Ghysels, Asani Sarkar and Jeffrey Shrader
Federal Reserve Bank of New York, University of North Carolina Kenan-Flagler Business School, Federal Reserve Bank of New York and Columbia University - School of International & Public Affairs (SIPA)
Downloads 474 (101,876)
Citation 57

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

38.

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.
Downloads 468 (103,347)
Citation 5

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Mixed frequency data, MIDAS regressions, profile likelihood

39.

Inference in Group Factor Models with an Application to Mixed Frequency Data

Downloads 459 (105,766)
Citation 80

Inference in Group Factor Models with an Application to Mixed Frequency Data

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48 Posted: 13 Feb 2016 Last Revised: 02 Feb 2019
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 457 (105,244)
Citation 82

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Large Panel, Unobservable pervasive factors, Mixed frequency, Canonical correlations, Output growth

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

CEPR Discussion Paper No. DP12219
Number of pages: 87 Posted: 15 Aug 2017
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 2 (1,058,901)
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GDP growth, Group Factor models, MIDAS

40.

Three Common Factors

Downloads 427 (115,097)

Three Common Factors

Number of pages: 125 Posted: 20 Apr 2022
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 427 (113,927)

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Testing common factors, portfolio sorting, factor zoo

Three Common Factors

CEPR Discussion Paper No. DP17225
Number of pages: 128 Posted: 27 May 2022
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 0
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factor zoo, portfolio sorting, Testing common factors

41.

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, Penn State University Smeal College of Business, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 409 (121,017)
Citation 4

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bond risk premium, stochastic volatility, term structure models

42.

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

Number of pages: 24 Posted: 26 Apr 2018 Last Revised: 11 May 2018
Christian Conrad, Anessa Custovic and Eric Ghysels
Heidelberg University - Alfred Weber Institute for Economics, Cardinal Retirement Planning Inc. and University of North Carolina Kenan-Flagler Business School
Downloads 397 (125,280)
Citation 16

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Baltic dry index, Bitcoin volatility, digital currency, GARCH-MIDAS, pro-cyclical volatility, volume

43.

Machine Learning Time Series Regressions With an Application to Nowcasting

Journal of Business and Economic Statistics (2022), 40(3)
Number of pages: 54 Posted: 05 Jan 2020 Last Revised: 27 Dec 2022
Andrii Babii, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 393 (126,732)
Citation 4

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high-dimensional time series, heavy-tails, tau-mixing, sparse-group LASSO, mixed frequency data, textual news data

44.

Monthly Art Market Returns

Number of pages: 28 Posted: 26 Feb 2020
Fabian Bocart, Eric Ghysels and Christian Hafner
Artnet Worldwide Corporation, University of North Carolina Kenan-Flagler Business School and Catholic University of Louvain (UCL) - School of Statistics
Downloads 391 (127,478)

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art index, repeated sales, correlation

45.

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 391 (127,478)
Citation 34

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

46.

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

Downloads 390 (127,812)

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 390 (126,716)
Citation 12

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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

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

47.

Let's Get 'Real' About Using Economic Data

Number of pages: 22 Posted: 24 Jul 2001
Peter Christoffersen, Eric Ghysels, Norman R. Swanson and Norman R. Swanson
University of Toronto - Rotman School of Management, University of North Carolina Kenan-Flagler Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 361 (139,423)
Citation 3

Abstract:

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Market efficiency, expectations, news, data revision process

48.

The Low-Frequency Impact of Daily Monetary Policy Shocks

Downloads 347 (145,564)

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 192 (261,596)

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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 155 (315,360)

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

49.

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

Downloads 324 (156,621)
Citation 10

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

Number of pages: 73 Posted: 14 Jun 2017 Last Revised: 25 May 2018
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 324 (155,571)
Citation 6

Abstract:

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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
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, 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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Citation 4
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Financial crises, Risk Measures, systemic risk

50.

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 324 (156,621)
Citation 3

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Structural Change, Sequential Tests Merton Model

51.

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 321 (158,187)
Citation 23

Abstract:

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MIDAS regressions, high frequency financial data

52.

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 308 (165,229)
Citation 9

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

53.

Ambiguity with Machine Learning: An Application to Portfolio Choice

Downloads 307 (165,792)

Ambiguity with Machine Learning: An Application to Portfolio Choice

Number of pages: 54 Posted: 02 Nov 2021
Eric Ghysels, Yan Qian and Steve Raymond
University of North Carolina Kenan-Flagler Business School, University of North Carolina at Chapel Hill and University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Downloads 307 (164,738)
Citation 1

Abstract:

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Knightian uncertainty, bootstrap, machine learning

Ambiguity with Machine Learning: An Application to Portfolio Choice

CEPR Discussion Paper No. DP16748
Number of pages: 64 Posted: 04 Feb 2022
Eric Ghysels, Yan Qian and Stephen Raymond
University of North Carolina Kenan-Flagler Business School, University of North Carolina at Chapel Hill and University of North Carolina (UNC) at Chapel Hill
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54.

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 306 (166,386)
Citation 1

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Conditional Portfolio Choice, Liquidity, Nonparametric

55.

Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

Journal of Risk and Financial Management, 12(4), 164-189
Number of pages: 50 Posted: 19 Oct 2018 Last Revised: 02 Mar 2021
Eric Ghysels and Giang Nguyen
University of North Carolina Kenan-Flagler Business School and Pennsylvania State University - Smeal College of Business
Downloads 300 (169,876)
Citation 2

Abstract:

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Bitcoin, cryptocurrency, price discovery, liquidity, price impact, limit order book market, adverse selection, learning

56.

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 296 (172,234)
Citation 7

Abstract:

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MIDAS regressions, high frequency financial data

57.

Real-time Forecasts of State and Local Government Budgets with an Application to the COVID-19 Pandemic

Number of pages: 40 Posted: 21 Apr 2020 Last Revised: 21 Jul 2022
Eric Ghysels, Fotis Grigoris and Nazire Ozkan
University of North Carolina Kenan-Flagler Business School, University of Iowa - Department of Finance and Amazon Web Services, Inc.
Downloads 293 (174,114)

Abstract:

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Fiscal Policy, Forecasting, Mixed-Frequency Bayesian VAR, MIDAS Regressions

58.

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

Number of pages: 38 Posted: 12 Jun 2015 Last Revised: 11 Nov 2019
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 Kobe University - Graduate School of Economics
Downloads 289 (177,322)
Citation 7

Abstract:

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dimension reduction, Granger causality test, max test, Mixed Data Sampling (MIDAS), parsimonious regression models

59.

Factor Analysis with Large Panels of Volatility Proxies

Downloads 286 (178,632)
Citation 2

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 286 (177,626)
Citation 6

Abstract:

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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
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ARCH-type filters, Principal Component Analysis, realized volatility

60.

Testing for Granger Causality with Mixed Frequency Data

Downloads 285 (179,272)
Citation 12

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 Kobe University - Graduate School of Economics
Downloads 285 (178,279)
Citation 3

Abstract:

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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 Kobe University - Graduate School of Economics
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Citation 4
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Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)

61.

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 278 (183,811)
Citation 1

Abstract:

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62.

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: 07 Apr 2018
Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 268 (190,716)
Citation 8

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

63.

Price Momentum in Stocks: Insights from Victorian Age Data

NBER Working Paper No. w14500
Number of pages: 50 Posted: 25 Nov 2008 Last Revised: 15 Aug 2022
Benjamin Remy Chabot, Eric Ghysels and Ravi Jagannathan
Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Northwestern University - Kellogg School of Management
Downloads 249 (205,202)
Citation 2

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64.

Artificial Intelligence Alter Egos:Who benefits from Robo-investing?

Number of pages: 75 Posted: 06 Nov 2019
Catherine D'Hondt, Rudy De Winne, Eric Ghysels and Steve Raymond
UCLouvain, Louvain School of Management - Louvain Finance, UCLouvain - Louvain Finance, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Downloads 247 (206,791)
Citation 6

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Machine Learning, Portfolio Allocation, FinTech

65.

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 247 (206,791)
Citation 6

Abstract:

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

66.

Granularity and (Downside) Risk in Equity Markets

Number of pages: 65 Posted: 21 Apr 2018
Eric Ghysels, Hanwei Liu and Steve Raymond
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill and University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Downloads 231 (220,712)
Citation 1

Abstract:

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67.

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 203 (249,054)
Citation 1

Abstract:

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C22

68.

Institutional Investors and Granularity in Equity Markets

Number of pages: 81 Posted: 28 Feb 2021
Eric Ghysels, Hanwei Liu and Steve Raymond
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill and University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Downloads 201 (251,336)
Citation 1

Abstract:

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Granularity, Institutional investors

69.

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
Federal Reserve Banks - Federal Reserve Bank of Boston, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 198 (254,735)
Citation 21

Abstract:

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Tail risk, Survey of Professional Forecasters

70.

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 196 (257,060)
Citation 1

Abstract:

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

71.

Inflation Risk Measures and Their Informational Content

Number of pages: 54 Posted: 22 May 2014
Philippe Andrade, Eric Ghysels and Julien Idier
Federal Reserve Banks - Federal Reserve Bank of Boston, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 190 (264,382)
Citation 5

Abstract:

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

72.

Panel Data Nowcasting: The Case of Price-Earnings Ratios

Number of pages: 28 Posted: 09 Sep 2022 Last Revised: 22 Aug 2023
Andrii Babii, Ryan T. Ball, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, The Stephen M. Ross School of Business at the University of Michigan, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 189 (265,707)
Citation 5

Abstract:

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Corporate earnings, nowcasting, high-dimensional panels, mixed frequency data, textual news data, sparse-group LASSO

73.

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
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 181 (277,298)

Abstract:

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

74.

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
Ric Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
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 176 (282,893)
Citation 5

Abstract:

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Skewness, Consumption, Macro-Finance, Recursive Preferences

75.

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

Downloads 159 (308,406)
Citation 16

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
Lucia Alessi, Eric Ghysels, Luca Onorante, Richard W. Peach and Simon Potter
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Joint Research Centre, Italy, Federal Reserve Bank of New York and Peterson Institute for International Economics
Downloads 82 (501,471)
Citation 17

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macro forecasting, financial crisis

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
Lucia Alessi, Eric Ghysels, Luca Onorante, Richard W. Peach and Simon Potter
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Joint Research Centre, Italy, Federal Reserve Bank of New York and Peterson Institute for International Economics
Downloads 77 (521,009)

Abstract:

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forecast evaluation, mixed frequency data sampling

76.

Spanning Latent and Observable Factors

Number of pages: 53 Posted: 08 Feb 2023
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 155 (315,065)

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Latent pervasive factors, Observable factors, Canonical correlations, Spanning, PCA

77.

A High Frequency Assessment of the ECB Securities Markets Programme

Downloads 154 (316,844)
Citation 41

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 152 (320,700)
Citation 1

Abstract:

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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
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
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 (1,058,901)
Citation 14
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A High-Frequency Assessment of the ECB Securities Markets Programme

Journal of the European Economic Association, January 2017, 15(1), 218-243
Posted: 25 May 2018
Olivier Vergote, Eric Ghysels, Julien Idier and Simone Manganelli
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche and European Central Bank (ECB)

Abstract:

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78.

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
Downloads 139 (346,008)
Citation 18

Abstract:

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

79.

Econometrics of Machine Learning Methods in Economic Forecasting

Number of pages: 25 Posted: 08 Sep 2023
Andrii Babii, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 133 (355,971)

Abstract:

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machine learning, economic forecasting, LASSO, panel data, tensor factor model, asymmetric classification

80.

Tensor Principal Component Analysis

Downloads 101 (435,029)
Citation 1

Tensor Principal Component Analysis

Number of pages: 39 Posted: 04 Jan 2023 Last Revised: 14 Apr 2023
Andrii Babii, Eric Ghysels and Junsu Pan
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of North Carolina at Chapel Hill
Downloads 91 (469,742)

Abstract:

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Principal component analysis, tensor data, singular value and canonical polyadic decompositions

Tensor Principal Component Analysis

Number of pages: 54 Posted: 04 Jan 2023
Andrii Babii, Eric Ghysels and Junsu Pan
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of North Carolina at Chapel Hill
Downloads 10 (986,805)

Abstract:

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Principal component analysis, SVD and CP decomposition, tensor data, tensor factor model, testing number of factors.

81.

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
Philippe Andrade, Valère Fourel, Valère Fourel, Eric Ghysels and Julien Idier
Banque de France, Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 49 (645,427)
Citation 13

Abstract:

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

82.

High-Dimensional Granger Causality Tests with an Application to VIX and News

Journal of Financial Econometrics (forthcoming)
Number of pages: 56 Posted: 24 Jun 2020 Last Revised: 21 Jun 2022
Andrii Babii, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 45 (668,532)
Citation 3

Abstract:

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HAC Estimator, Sparse-Group LASSO, High-Dimensional Time Series, Inference for Groups, Fuk-Nagaev Inequality, τ-Dependent Sequences

83.

Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty

Journal of Econometrics, Vol. 212, No. 1, 2019
Number of pages: 56 Posted: 29 Mar 2021
Andrii Babii, Xi Chen and Eric Ghysels
University of North Carolina at Chapel Hill, University of North Carolina (UNC) at Chapel Hill and University of North Carolina Kenan-Flagler Business School
Downloads 37 (720,174)
Citation 5

Abstract:

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mortgage defaults, commercial and residential mortgages, frailty, GAS model

84.

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
Downloads 9 (961,334)
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forecast combination, MIDAS regression, real-time data

85.

ET Interview: Jean-Pierre Florens

Econometric Theory (2020), 36(3)
Number of pages: 17 Posted: 07 Sep 2023
Andrii Babii and Eric Ghysels
University of North Carolina at Chapel Hill and University of North Carolina Kenan-Flagler Business School
Downloads 7 (979,205)

Abstract:

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Jean-Pierre Florens

86.

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
Downloads 1 (1,024,415)
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87.

Regime Switches in the Risk-Return Trade-Off

CEPR Discussion Paper No. DP9698
Number of pages: 45 Posted: 28 Oct 2013
Eric Ghysels, Pierre Guérin and Massimiliano Giuseppe Marcellino
University of North Carolina Kenan-Flagler Business School, Government of Canada - Bank of Canada and Bocconi University - Department of Economics
Downloads 1 (1,024,415)
Citation 74
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conditional variance, Markov-switching, MIDAS, Risk-return trade-off

88.

Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice

CEPR Discussion Paper No. DP15418
Number of pages: 72 Posted: 03 Nov 2020
Andrii Babii, Eric Ghysels, Xi Chen and rohit kumar
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill and affiliation not provided to SSRN
Downloads 0 (1,032,601)
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89.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

Abstract:

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90.

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
Downloads 0 (1,032,601)
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ARCH filters, Factor asset pricing models

91.

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 at Columbia - Department of Economics
Downloads 0 (1,032,601)
Citation 1
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cointegration, mixed sampling frequencies, residual-based cointegration test, temporal aggregation, trace test

92.

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:

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

93.

Do Heterogeneous Beliefs Matter for Asset Pricing?

The Review of Financial Studies, Vol. 18, Issue 3, pp. 875-924, 2005
Posted: 29 Feb 2008
Evan W. Anderson, Eric Ghysels and Jennifer L. Juergens
Northern Illinois University, University of North Carolina Kenan-Flagler Business School and Cornerstone Research, Inc.

Abstract:

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

94.

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:

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MIDAS regressions

95.

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
Evan W. Anderson, Eric Ghysels and Jennifer L. Juergens
Northern Illinois University, University of North Carolina Kenan-Flagler Business School and Cornerstone Research, Inc.

Abstract:

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Conditional volatility, model uncertainty, disagreement, factor models

96.

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

Posted: 10 Feb 2001
Mikhail Chernov and Eric Ghysels
UCLA Anderson and University of North Carolina Kenan-Flagler Business School

Abstract:

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97.

Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening

Downloads 0 (1,032,601)

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

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Price Discovery Without Trading: Evidence from the NASDAQ Pre-Opening

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:

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98.

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:

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99.

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:

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100.

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:

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101.

On Stable Factor Structures in the Pricing of Risk

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

Abstract:

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102.

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:

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103.

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

Posted: 02 Aug 1998
Eric Ghysels
University of North Carolina Kenan-Flagler Business School

Abstract:

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104.

Market Time and Asset Price Movements: Theory and Estimation

Posted: 26 Apr 1998
Eric Ghysels, Christian Gourieroux and Joann Jasiak
University of North Carolina Kenan-Flagler Business School, University of Toronto - Department of Economics and York University - Department of Economics

Abstract:

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105.

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

Posted: 14 Nov 1996
Mark Broadie, Jerome Detemple, Eric Ghysels and Olivier Torres
Columbia University - Columbia Business School - Decision Risk and Operations, Boston University Questrom School of Business, University of North Carolina Kenan-Flagler Business School and Universite Catholique de Louvain

Abstract:

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