• 4419 Citations
  • 34 h-Index
1988 …2018
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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 2018

1 Citations

Estimating MIDAS regressions via OLS with polynomial parameter profiling

Ghysels, E. & Qian, H. Jan 1 2018 (Accepted/In press) In : Econometrics and Statistics.

Research output: Contribution to journalArticle

Profile Likelihood
Nonlinear Least Squares

Forecasting through the rearview mirror: Data revisions and bond return predictability

Ghysels, E., Horan, C. & Moench, E., Jan 1 2018, In : Review of Financial Studies. 31, 2, p. 678-714 37 p.

Research output: Contribution to journalArticle

Return predictability
Data revisions
Bond returns
Predictive power
4 Citations

A high-frequency assessment of the ECB Securities Markets Programme

Ghysels, E., Idier, J., Manganelli, S. & Vergote, O., Feb 1 2017, In : Journal of the European Economic Association. 15, 1, p. 218-243 26 p.

Research output: Contribution to journalArticle

European Central Bank
Securities market

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, P., Ghysels, E. & Rubin, M., Jan 1 2017, In : Journal of Financial Econometrics. 15, 4, p. 509-560 52 p.

Research output: Contribution to journalArticle

Indirect inference
Autoregressive conditional heteroscedasticity
State-space model
Stochastic volatility

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