Fingerprint Fingerprint is based on mining the text of the persons scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Seasonal Adjustment Mathematics
Seasonality Mathematics
Volatility Mathematics
Economics Mathematics
Macroeconomics Mathematics
Econometrics Mathematics
Stochastic Volatility Mathematics
Time series Mathematics

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Research Output 1988 2016

Frailty models for commercial mortgages

Chen, X., Ghysels, E. & Telfeyan, R. Sep 1 2016 In : Journal of Fixed Income. 26, 2, p. 16-31 16 p.

Research output: Contribution to journalArticle

Default rate
Model simulation
1 Citations

Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference

Ghysels, E. & Tauchen, G. Mar 1 2016 In : Journal of Financial Econometrics. 14, 2, p. 227-228 2 p., nbv009

Research output: Contribution to journalEditorial

Bayesian inference
Moment conditions
7 Citations

Macroeconomics and the reality of mixed frequency data

Ghysels, E. Aug 1 2016 In : Journal of Econometrics. 193, 2, p. 294-314 21 p.

Research output: Contribution to journalArticle

Latent Process
Impulse Response Function
Low Frequency
Impulse response
1 Citations

Mixed frequency data sampling regression models: The R package midasr

Ghysels, E., Kvedaras, V. & Zemlys, V. 2016 In : Journal of Statistical Software. 72

Research output: Contribution to journalArticle

Regression Model
Information Criterion
Autoregressive Model

Skewness in expected macro fundamentals and the predictability of equity returns: Evidence and theory

Colacito, R., Ghysels, E., Meng, J. & Siwasarit, W. Aug 1 2016 In : Review of Financial Studies. 29, 8, p. 2069-2109 41 p.

Research output: Contribution to journalArticle

Equity returns
GDP growth