• 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
Profiling
Regression
Polynomial
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
Macroeconomics
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
Endogeneity
Deterioration
Simultaneity

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
Sampling

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

Frailty
Mortgages
Factors
Default rate
Model simulation