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
alberto plazziUniversita' della Svizzera italiana and Swiss Finance InstituteVerified email at usi.ch
Andros KourtellosUniversity of CyprusVerified email at ucy.ac.cy
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
A. Ronald GallantProfessor of Economics, Penn State UniversityVerified email at psu.edu
Norman R. SwansonDistinguished Professor of Economics, Rutgers UniversityVerified email at econ.rutgers.edu
Bumjean SohnAssociate Professor of Finance, Korea UniversityVerified email at korea.ac.kr
Jonathan B. HillDept. of Economics, University of North Carolina at Chapel HillVerified email at email.unc.edu
Denise OsbornEmeritus Professor of Econometrics, University of ManchesterVerified email at manchester.ac.uk
Ravi JagannathanKellogg School of Management, Northwestern UniversityVerified email at kellogg.northwestern.edu
Ric ColacitoProfessor of Finance and Economics, UNC Chapel Hill; National Bureau of Economic ResearchVerified email at unc.edu
Joann JasiakYork UniversityVerified email at yorku.ca
Jeffrey ShraderColumbia UniversityVerified email at columbia.edu
Pierre PerronDepartment of Economics, Boston UniversityVerified email at bu.edu
Massimiliano MarcellinoUniversità BocconiVerified email at unibocconi.it
Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaVerified email at usi.ch
Giang NguyenSmeal College of Business, Penn State UniversityVerified email at psu.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 Fintech Nowcasting


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	1364	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	1209	2005
Alternative models for stock price dynamics M Chernov, AR Gallant, E Ghysels, G Tauchen Journal of Econometrics 116 (1-2), 225-257, 2003	1098	2003
MIDAS regressions: Further results and new directions E Ghysels, A Sinko, R Valkanov Econometric reviews 26 (1), 53-90, 2007	994	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	928	2006
Ex ante skewness and expected stock returns J Conrad, RF Dittmar, E Ghysels The Journal of Finance 68 (1), 85-124, 2013	850	2013
Ex ante skewness and expected stock returns J Conrad, RF Dittmar, E Ghysels The Journal of Finance 68 (1), 85-124, 2013	850	2013
Stock market volatility and macroeconomic fundamentals RF Engle, E Ghysels, B Sohn Review of Economics and Statistics 95 (3), 776-797, 2013	836	2013
The MIDAS touch: Mixed data sampling regression models E Ghysels, P Santa-Clara, R Valkanov	814	2004
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	738	2000
Invited review combining forecasts—twenty years later CWJ Granger Journal of forecasting 8 (3), 167-173, 1989	563	1989
Semiparametric regression for the applied econometrician A Yatchew Cambridge University Press, 2003	541	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	520	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 Cambridge University Press, 2001	463	2001
Detecting multiple breaks in financial market volatility dynamics E Andreou, E Ghysels Journal of Applied Econometrics 17 (5), 579-600, 2002	428	2002
Handbook of economic forecasting G Elliott, A Timmermann Elsevier, 2013	426	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	422	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	420	2013
Prediction with a generalized cost of error function CWJ Granger Journal of the Operational Research Society 20 (2), 199-207, 1969	415	1969

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