Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par auteur·e "Ghysels, Eric"
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Arbitrage-Based Pricing when Volatility is Stochastic
Bossaerts, P.; Ghysels, Eric; Gourieroux, C. (Université de Montréal. Département de sciences économiques., 1996)The paper investigates the pricing of derivative securities with calendar-time maturities. -
Changes in Seasonal Patters: Are They Cyclical?
Ghysels, Eric; CANOVA, F. (Université de Montréal. Département de sciences économiques., 1992) -
Dynamic Regression and Filtered Data Series: a Laplace Approximation to the Effects of Filtering in Small Samples
Ghysels, Eric; Lieberman, O. (Université de Montréal. Département de sciences économiques., 1993) -
The Effect of Linear Filters on Dynamic Time series with Structural Change
Perron, Pierre; Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1994) -
An Empirical Analysis of the Canadian Budget Process
Campbell, Bryan; Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1995) -
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process
Ghysels, Eric; Granger, C.W.J.; Siklos, Pierre L. (Université de Montréal. Département de sciences économiques., 1995) -
Market Time and Asset Price Movements: Theory and Estimation
Ghysels, Eric; Gourieroux, C.; Jasiak, J. (Université de Montréal. Département de sciences économiques., 1995) -
On Periodic Structures and Testing for Seasonal Unit Roots
Ghysels, Eric; Hall, A.; Lee, Hahn S. (Université de Montréal. Département de sciences économiques., 1995) -
On Periodic Time Series and Testing the Unit Root Hypothesis
Ghysels, Eric; Hall, A. (Université de Montréal. Département de sciences économiques., 1993) -
On Stable Factor Structurs in the Pricing of Risk
Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1995) -
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data
Ghysels, Eric; Siklos, Pierre L.; Lee, Hahn S. (Université de Montréal. Département de sciences économiques., 1992) -
On the Analysis of Business Cycles Through the Spectrum of Chronologies
Ghysels, Eric; Sarlan, H. (Université de Montréal. Département de sciences économiques., 1994) -
On the Dynamic Specification of International Asset Pricing Models
Kichian, Maral; Garcia, René; Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1995) -
Periodic Autoregressive Conditional Heteroskedasticity
Bollerslev, T.; Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1994) -
The Periodic Time Series and Testing the Unit Root Hypothesis
Ghysels, Eric; Hall, A. (Université de Montréal. Département de sciences économiques., 1993) -
Predictive Tests for Structural Change with Unknown Breakpoint
Ghysels, Eric; Guay, Alain; Hall, Alastair (Université de Montréal. Département de sciences économiques., 1995) -
A Semi-Parametric Factor Model for Interest Rates
Ghysels, Eric; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows ... -
Simulation Based Inference in Moving Average Models
Ghysels, Eric; Khalaf, Lynda; Vodounou, C. (Université de Montréal. Département de sciences économiques., 1995) -
Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory
Ghysels, Eric; HALL, A. (Université de Montréal. Département de sciences économiques., 1987)In This Paper Several Additional Gmm Specification Tests Are Studied. a First Test Is a Chow-Type Test for Structural Parameter Stability of Gmm Estimates. the Test Is Inspired by the Fact That \"Taste and Technology\" Parameters Are Uncovered. the ... -
Stochastic Volatility
Ghysels, Eric; Harvey, Andrew; Renault, Éric (Université de Montréal. Département de sciences économiques., 1996)This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, ...