Research Output per year

## 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.

- 1 Similar Profiles

Seasonal Adjustment
Mathematics

Seasonality
Mathematics

Volatility
Mathematics

Economics
Mathematics

Macroeconomics
Mathematics

Econometrics
Mathematics

Stochastic Volatility
Mathematics

Time series
Mathematics

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Network
Recent external collaboration on country level. Dive into details by clicking on the dots.

## 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 journal › Article

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 journal › Article

Return predictability

Macroeconomics

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 journal › Article

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 journal › Article

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., nbv009Research output: Contribution to journal › Editorial

Bayesian inference

Moment conditions