Eric Ghysels

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Elena AndreouProfessor, Department of Economics, University of CyprusVerified email at ucy.ac.cy
rossen valkanovprofessor of finance, ucsdVerified email at ucsd.edu
Mikhail ChernovUniversity of California, Los AngelesVerified email at anderson.ucla.edu
Andros KourtellosUniversity of CyprusVerified email at ucy.ac.cy
alberto plazziUniversita' della Svizzera italiana and Swiss Finance InstituteVerified email at usi.ch
Fangfang WangWorcester Polytechnic InstituteVerified email at wpi.edu
Pedro Santa ClaraMillennium bcp Professor of Finance, Nova School of Business and EconomicsVerified email at novasbe.pt
Denise OsbornEmeritus Professor of Econometrics, University of ManchesterVerified email at manchester.ac.uk
Bumjean SohnAssociate Professor of Finance, Korea UniversityVerified email at korea.ac.kr
Norman R. SwansonProfessor of Economics, Rutgers UniversityVerified email at econ.rutgers.edu
A. Ronald GallantProfessor of Economics, Penn State UniversityVerified email at psu.edu
Jonathan B. HillDept. of Economics, University of North Carolina at Chapel HillVerified email at email.unc.edu
Massimiliano MarcellinoUniversità BocconiVerified email at unibocconi.it
Ravi JagannathanKellogg School of Management, Northwestern UniversityVerified email at kellogg.northwestern.edu
Joann JasiakYork UniversityVerified email at yorku.ca
Robert DittmarUniversity of MichiganVerified email at umich.edu
Jeffrey ShraderColumbia UniversityVerified email at columbia.edu
Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaVerified email at usi.ch
Ric ColacitoProfessor of Finance and Economics, UNC Chapel Hill; National Bureau of Economic ResearchVerified email at unc.edu
Pierre PerronDepartment of Economics, Boston UniversityVerified email at bu.edu

Eric Ghysels

Bernstein Distinguished Professor of Economics and Professor of Finance, UNC Chapel Hill

Verified email at unc.edu - Homepage

Financial Econometrics Asset Pricing Time Series Econometrics Fintech Econometrics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
5 Stochastic volatility E Ghysels, AC Harvey, E Renault Handbook of statistics 14, 119-191, 1996	1352	1996
There is a risk-return trade-off after all E Ghysels, P Santa-Clara, R Valkanov Journal of financial economics 76 (3), 509-548, 2005	1156	2005
Alternative models for stock price dynamics M Chernov, AR Gallant, E Ghysels, G Tauchen Journal of Econometrics 116 (1-2), 225-257, 2003	1076	2003
MIDAS regressions: Further results and new directions E Ghysels, A Sinko, R Valkanov Econometric reviews 26 (1), 53-90, 2007	934	2007
Predicting volatility: getting the most out of return data sampled at different frequencies E Ghysels, P Santa-Clara, R Valkanov Journal of Econometrics 131 (1-2), 59-95, 2006	881	2006
Ex ante skewness and expected stock returns J Conrad, RF Dittmar, E Ghysels The Journal of Finance 68 (1), 85-124, 2013	790	2013
Ex ante skewness and expected stock returns J Conrad, RF Dittmar, E Ghysels The Journal of Finance 68 (1), 85-124, 2013	790	2013
The MIDAS touch: Mixed data sampling regression models E Ghysels, P Santa-Clara, R Valkanov	747	2004
Stock market volatility and macroeconomic fundamentals RF Engle, E Ghysels, B Sohn Review of Economics and Statistics 95 (3), 776-797, 2013	725	2013
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation M Chernov, E Ghysels Journal of financial economics 56 (3), 407-458, 2000	721	2000
Invited review combining forecasts—twenty years later CWJ Granger Journal of forecasting 8 (3), 167-173, 1989	556	1989
Semiparametric regression for the applied econometrician A Yatchew Cambridge University Press, 2003	528	2003
On stable factor structures in the pricing of risk: do time‐varying betas help or hurt? E Ghysels The Journal of Finance 53 (2), 549-573, 1998	504	1998
Periodic autoregressive conditional heteroscedasticity T Bollerslev, E Ghysels Journal of Business & Economic Statistics 14 (2), 139-151, 1996	475	1996
The econometric analysis of seasonal time series E Ghysels, DR Osborn, TJ Sargent Cambridge University Press, 2001	451	2001
Detecting multiple breaks in financial market volatility dynamics E Andreou, E Ghysels Journal of Applied Econometrics 17 (5), 579-600, 2002	427	2002
Prediction with a generalized cost of error function CWJ Granger Journal of the Operational Research Society 20 (2), 199-207, 1969	411	1969
Handbook of economic forecasting G Elliott, A Timmermann Elsevier, 2013	395	2013
The impact of risk and uncertainty on expected returns EW Anderson, E Ghysels, JL Juergens Journal of Financial Economics 94 (2), 233-263, 2009	395	2009
Should macroeconomic forecasters use daily financial data and how? E Andreou, E Ghysels, A Kourtellos Journal of Business & Economic Statistics 31 (2), 240-251, 2013	375	2013

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