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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

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

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
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