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

Model Mathematics
Sampling Business & Economics
Economics Mathematics
Testing Business & Economics
Volatility Mathematics
Seasonality Business & Economics
Filter Business & Economics
Seasonal adjustment Business & Economics

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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: Research - peer-reviewArticle

Frailty
Mortgages
Factors
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: Research - peer-reviewEditorial

Bayesian inference
Moment conditions
6 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: Research - peer-reviewArticle

Macroeconomics
Mixed frequency data
Model
VAR model
Low Frequency
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: Research - peer-reviewArticle

Regression Model
Sampling
Mixed frequency data
Regression model
Regression

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: Research - peer-reviewArticle

Equity returns
Equity
Skewness
Predictability
GDP growth