← All authors Éric Ghysels University of North Carolina at Chapel Hill (from arXiv:2212.12981, 2022) · ORCID · OpenAlex
157 papers in scope · 153 published · 11 on the econ.EM arXiv · 15,549 citations · h-index 55 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jonas Striaukas Andrii Babii Ryan T. Ball Luca Barbaglia Anna E. C. Simoni Ines Wilms Marie Ternes Stephan Smeekes Matteo Mogliani Luigi Longo Konstantin Boss Alvaro Ortiz Alain Hecq Sarun Kamolthip Tommaso Tornese Marie Corillon Ingrid Van Keilegom Wolfgang Karl Härdle Andrea Renzetti Jad Beyhum Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (11 of 157)
working paper 2026 · arXiv
On statistical decision-theoretical foundations of quantum measurement with an application to asset pricing models
published 2026 · Journal of Economic Dynamics and Control · 1 citations
with Jack Morgan
Special issue on quantum computing applications in economics and finance – Editor’s introduction
published 2026 · Journal of Economic Dynamics and Control
with Jesús Fernández-Villaverde
published 2026 · Quantitative Economics · 4 citations · first circulated 2020
Three Common Factors
published 2025 · Journal of Financial and Quantitative Analysis · 2 citations · first circulated 2022
with Elena Andreou, Patrick Gagliardini, Mirco Rubin
On Quantum Ambiguity and Potential Exponential Computational Speedups to Solving Dynamic Asset Pricing Models
published 2025 · International Economic Review · 4 citations · first circulated 2024
with Jack Morgan
published 2025 · Journal of Econometrics · 1 citations · first circulated 2022
working paper 2024 · arXiv · 21 citations · first circulated 2023
Comments on: “Bootstrap Inference for Group Factor Models”
published 2024 · Journal of Financial Econometrics
Spanning latent and observable factors
published 2024 · Journal of Econometrics · 7 citations · first circulated 2023
working paper 2024 · arXiv
published 2023 · Journal of Applied Econometrics · 9 citations · first circulated 2022
Real-time Forecasts of State and Local Government Budgets with an Application to the COVID-19 Pandemic
published 2022 · National Tax Journal · 3 citations · first circulated 2020
with Fotis Grigoris, Nazire Özkan
published 2022 · Journal of Econometrics · 35 citations · first circulated 2020
Nowcasting Net Asset Values: The Case of Private Equity
published 2022 · Review of Financial Studies · 27 citations · first circulated 2019
with Gregory W. Brown, Oleg Gredil
published 2022 · Journal of Financial Econometrics · 22 citations · first circulated 2019
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
published 2021 · Econometric Theory · 19 citations
published 2021 · Journal of Business and Economic Statistics · 32 citations · first circulated 2020
published 2020 · Journal of Empirical Finance · 56 citations · first circulated 2019
working paper 2020 · arXiv · 6 citations
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
published 2020 · Journal of Econometrics · 30 citations
Monthly Art Market Returns
published 2020 · Journal of risk and financial management · first circulated 2017
with Fabian Bocart, Christian Hafner
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors
published 2020 · Journal of Econometrics · 21 citations
with Elena Andreou
Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression
published 2020 · Journal of Banking & Finance · 42 citations · first circulated 2017
Liquidity and volatility in the U.S. Treasury market
published 2020 · Journal of Econometrics · 47 citations · first circulated 2012
with Giang Nguyen, Robert F. Engle, Michael J. Fleming, Robert Engle
Mixed-Frequency Macro–Finance Factor Models: Theory and Applications*
published 2020 · Journal of Financial Econometrics · 7 citations
Direct Versus Iterated Multiperiod Volatility Forecasts
published 2019 · Annual Review of Financial Economics · 42 citations
with Alberto Plazzi, Rossen Valkanov, Antonio Rubia, Asad Dossani
Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange
published 2019 · Journal of risk and financial management · 18 citations · first circulated 2018
with Giang Nguyen
ET INTERVIEW: JEAN-PIERRE FLORENS
published 2019 · Econometric Theory
Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty
published 2019 · Journal of Econometrics · 19 citations · first circulated 2018
Big data in dynamic predictive econometric modeling
published 2019 · Journal of Econometrics · 11 citations
Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data
published 2019 · Journal of Financial Econometrics · 1 citations
Inference in Group Factor Models With an Application to Mixed‐Frequency Data
published 2019 · Econometrica · 70 citations
Long-and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
published 2018 · Journal of risk and financial management · 272 citations
with Christian Conrad, Anessa Custovic
Estimating MIDAS regressions via OLS with polynomial parameter profiling
published 2018 · Econometrics and Statistics · 63 citations · first circulated 2016
with Hang Qian
Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability
published 2017 · Review of Financial Studies · 94 citations · first circulated 2012
with Casidhe Horan, Emanuel Moench
Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
published 2017 · Journal of Financial Econometrics · 7 citations · first circulated 2016
A High-Frequency assessment of the ECB Securities Markets Programme
published 2016 · Journal of the European Economic Association · 57 citations · first circulated 2014
with Julien Idier, Simone Manganelli, Olivier Vergote
Frailty Models for Commercial Mortgages
published 2016 · The Journal of Fixed Income · 3 citations
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry
published 2016 · The Journal of Finance · 199 citations
with Alberto Plazzi, Rossen Valkanov
Macroeconomics and the reality of mixed frequency data
published 2016 · Journal of Econometrics · 274 citations · first circulated 2012
The econometric analysis of mixed frequency data sampling
published 2016 · Journal of Econometrics · 10 citations
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory
published 2016 · Review of Financial Studies · 66 citations · first circulated 2012
with Riccardo Colacito, Jinghan Meng, Wasin Siwasarit, Ric Colacito
Mixed Frequency Data Sampling Regression Models: The R Package midasr
published 2016 · Journal of Statistical Software · 82 citations
with Virmantas Kvedaras, Vaidotas Zemlys
Is Industrial Production Still the Dominant Factor for the US Economy
published 2016 · Swiss Finance Institute Research Paper Series · 12 citations
Testing for Granger causality with mixed frequency data
published 2015 · Journal of Econometrics · 45 citations · first circulated 2014
Discount window stigma during the 2007–2008 financial crisis
published 2015 · Journal of Financial Economics · 44 citations
with Olivier Armantier, Asani Sarkar, Jeffrey Shrader
Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach
published 2015 · International Journal of Forecasting · 46 citations
with Nazire Özkan
Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
published 2015 · Journal of Financial Econometrics · 4 citations
with George Tauchen
Editorial Announcement
published 2015 · Journal of Financial Econometrics · 1 citations
Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
published 2015 · Journal of Time Series Analysis · 31 citations · first circulated 2013
with J. Isaac Miller
Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
published 2014 · Journal of Business and Economic Statistics · 65 citations
Rejoinder
published 2014 · Journal of Business and Economic Statistics
Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White
published 2014 · Journal of Financial Econometrics · 27 citations
ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS
published 2014 · Econometric Theory · 63 citations
with Fangfang Wang
Regime switches in the risk–return trade-off
published 2014 · Journal of Empirical Finance · 66 citations
Comment
published 2014 · Journal of Business and Economic Statistics · 2 citations
with Elena Andreou
Moment-Implied Densities: Properties and Applications
published 2013 · Journal of Business and Economic Statistics · 29 citations
with Fangfang Wang
The financial content of inflation risks in the euro area
published 2013 · International Journal of Forecasting · 12 citations
with Philippe Andrade, Valère Fourel, Julien Idier, Vallre Fourel
State Space Models and MIDAS Regressions
published 2013 · Econometric Reviews · 154 citations
with Jennie Bai, Jonathan H. Wright, Jonathan L. Wright
Should Macroeconomic Forecasters Use Daily Financial Data and How?
published 2013 · Journal of Business and Economic Statistics · 341 citations · first circulated 2010
with Elena Andreou, Andros Kourtellos
Ex Ante Skewness and Expected Stock Returns
published 2012 · The Journal of Finance · 805 citations · first circulated 2009
with Jennifer Conrad, Robert F. Dittmar
Discussion of “An approach for identifying and predicting economic recessions in real‐time using time‐frequency functional models”by Holan, Yang, Matteson, and Wikle
published 2012 · Applied Stochastic Models in Business and Industry · 1 citations
with Michael T. Owyang
Stock Market Volatility and Macroeconomic Fundamentals
published 2012 · The Review of Economics and Statistics · 1113 citations
with Robert F. Engle, Bumjean Sohn
THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT
published 2012 · Econometric Theory · first circulated 2011
with Éric Renault, Eric Renaut
A component model for dynamic correlations
published 2011 · Journal of Econometrics · 308 citations · first circulated 2009
with Riccardo Colacito, Robert F. Engle
HYBRID GARCH Models and Intra-Daily Return Periodicity
published 2011 · Journal of Time Series Econometrics · 19 citations
with Xilong Chen, Fangfang Wang
Is There Stigma to Discount Window Borrowing
published 2011 · Liberty Street Economics
with Olivier Armantier, Asani Sarkar, Jeffrey Shrader
no link
Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998
published 2010 · Journal of Futures Markets · 26 citations
with Charles Cao, Frank Hatheway
News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons
published 2010 · Review of Financial Studies · 292 citations · first circulated 2007
with Xilong Chen
Volatility forecasting and microstructure noise
published 2010 · Journal of Econometrics · 104 citations · first circulated 2006
with Arthur Sinko
Regression models with mixed sampling frequencies
published 2010 · Journal of Econometrics · 317 citations · first circulated 2007
with Elena Andreou, Andros Kourtellos
Forecasting Professional Forecasters
published 2009 · Journal of Business and Economic Statistics · 143 citations · first circulated 2006
with Jonathan H. Wright
The impact of risk and uncertainty on expected returns☆
published 2009 · Journal of Financial Economics · 437 citations
with Evan W. Anderson, Jennifer L. Juergens, Evan Anderson
Which power variation predicts volatility well?
published 2009 · Journal of Empirical Finance · 23 citations
with Bumjean Sohn
L’analyse économétrique et la saisonnalité
published 2009 · L Actualité économique · 2 citations
The Normal Inverse Gaussian Distribution and the Pricing of Derivatives
published 2009 · The Journal of Derivatives · 93 citations
with Anders Eriksson, Fangfang Wang
L’intégration des marchés émergents et la modélisation des rendements des actifs risqués
published 2009 · L Actualité économique · 1 citations · first circulated 1997
with Marcel Boyer, Mouna Cherkaoui
Quality control for structural credit risk models
published 2008 · Journal of Econometrics · 4 citations · first circulated 2006
with Elena Andreou
Liquidity and conditional portfolio choice: A nonparametric investigation
published 2008 · Journal of Empirical Finance · 23 citations · first circulated 2003
with João Pedro Pereira
Valuation in US Commercial Real Estate
published 2007 · European Financial Management · 41 citations · first circulated 2006
with Alberto Plazzi, Rossen Valkanov
MIDAS Regressions: Further Results and New Directions
published 2007 · Econometric Reviews · 1003 citations · first circulated 2006
with Arthur Sinko, Rossen Valkanov
Why Do Absolute Returns Predict Volatility So Well?
published 2006 · Journal of Financial Econometrics · 340 citations
with Lars Forsberg
Efficient estimation of general dynamic models with a continuum of moment conditions
published 2006 · Journal of Econometrics · 131 citations · first circulated 2002
Comment
published 2006 · Journal of Business and Economic Statistics · 15 citations
with Arthur Sinko
Monitoring disruptions in financial markets
published 2005 · Journal of Econometrics · 72 citations · first circulated 2004
with Elena Andreou
Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
published 2005 · Journal of Econometrics · 9 citations
The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea
published 2005 · Journal of International Money and Finance · 59 citations · first circulated 2000
with Junghoon Seon
Predicting volatility: getting the most out of return data sampled at different frequencies
published 2005 · Journal of Econometrics · 843 citations · first circulated 2003
with Pedro Santa-Clara, Rossen Valkanov
There is a risk-return trade-off after all
published 2005 · Journal of Financial Economics · 1051 citations
with Pedro Santa-Clara, Rossen Valkanov
Do Heterogeneous Beliefs Matter for Asset Pricing?
published 2005 · Review of Financial Studies · 254 citations · first circulated 2004
with Evan W. Anderson, Jennifer L. Juergens, Evan Anderson
Modeling Marketing Dynamics by Time Series Econometrics
published 2004 · Marketing Letters · 88 citations
with Koen Pauwels, Imran S. Currim, Marnik G. Dekimpe, Dominique M. Hanssens, Natalie Mizik, P. A. Naik
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
published 2004 · Econometric Theory · 5 citations · first circulated 2001
with Alain Guay
Editors' Report 2003
published 2004 · Journal of Business and Economic Statistics
with Alastair R. Hall
Editorial Announcement
published 2004 · Journal of Business and Economic Statistics
with Alastair R. Hall
Editors' Report 2002
published 2003 · Journal of Business and Economic Statistics
with Alastair R. Hall
Stochastic volatility duration models
published 2003 · Journal of Econometrics · 149 citations · first circulated 1997
Structural change tests for simulated method of moments
published 2003 · Journal of Econometrics · 12 citations · first circulated 1998
with Alain Guay
Alternative models for stock price dynamics
published 2003 · Journal of Econometrics · 948 citations · first circulated 2002
with Mikhail Chernov, A. Ronald Gallant, George Tauchen
Frontiers of financial econometrics and financial engineering
published 2003 · Journal of Econometrics · 8 citations
with George Tauchen
Emerging markets and trading costs: lessons from Casablanca
published 2003 · Journal of Empirical Finance · 44 citations · first circulated 1999
with Mouna Cherkaoui
Monetary Policy Rules with Model and Data Uncertainty
published 2002 · Southern Economic Journal · 39 citations
with Norman R. Swanson, Myles Callan
Editors' Introduction to JBES Twentieth Anniversary Issue on the Generalized Method of Moments
published 2002 · Journal of Business and Economic Statistics · 9 citations
with Alastair R. Hall
Editors' Report 2001
published 2002 · Journal of Business and Economic Statistics · 1 citations
with Alastair R. Hall
Detecting multiple breaks in financial market volatility dynamics
published 2002 · Journal of Applied Econometrics · 334 citations
with Elena Andreou
Seasonal Time Series and Autocorrelation Function Estimation
published 2002 · Manchester School · 1 citations · first circulated 1997
with Hahn Shik Lee, William R. Bell
Let's get “real” about using economic data
published 2002 · Journal of Empirical Finance · 43 citations · first circulated 2001
with Peter Christoffersen, Norman R. Swanson
Rolling-Sample Volatility Estimators
published 2002 · Journal of Business and Economic Statistics · 194 citations · first circulated 2000
with Elena Andreou
Editors' Introduction to Twentieth Anniversary Commemorative Issue of the Journal of Business and Economic Statistics
published 2002 · Journal of Business and Economic Statistics · 15 citations
with Alastair R. Hall
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING
published 2001 · Macroeconomic Dynamics · 34 citations · first circulated 1993
with Catherine Bac, Jean-MicheI Chevet
Nonparametric estimation of American options’ exercise boundaries and call prices
published 2000 · Journal of Economic Dynamics and Control · 63 citations · first circulated 1996
with Mark Broadie, Jérôme Detemple, Olivier Torrès
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
published 2000 · Journal of Financial Economics · 605 citations
with Mikhail Chernov
Price Discovery without Trading: Evidence from the Nasdaq Preopening
published 2000 · The Journal of Finance · 244 citations
with Charles Cao, Frank Hatheway
Some Econometric Recipes for High-Frequency Data Cooking
published 2000 · Journal of Business and Economic Statistics · 28 citations
American options with stochastic dividends and volatility: A nonparametric investigation
published 2000 · Journal of Econometrics · 89 citations · first circulated 1996
with Mark Broadie, Jérôme Detemple, Olivier Torrès
Causality between Returns and Traded Volumes
published 2000 · Annals of Economics and Statistics · 8 citations
no link
Econometric methods for derivative securities and risk management
published 2000 · Journal of Econometrics
with René García, Éric Renault
no link
An Introduction to Econometric Theory
published 1998 · Journal of the American Statistical Association · 24 citations
with A. Ronald Gallant
A Semiparametric Factor Model of Interest Rates and Tests of the Affine Term Structure
published 1998 · The Review of Economics and Statistics · 32 citations · first circulated 1997
Structural change and asset pricing in emerging markets
published 1998 · Journal of International Money and Finance · 74 citations · first circulated 1996
with René García
Kernel autocorrelogram for time-deformed processes
published 1998 · Journal of Statistical Planning and Inference · 3 citations · first circulated 1996
On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?
published 1998 · The Journal of Finance · 442 citations
[New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program]: Comment
published 1998 · Journal of Business and Economic Statistics
Comment
published 1998 · Journal of Business and Economic Statistics
Bayesian inference for periodic regime-switching models
published 1998 · Journal of Applied Econometrics · 34 citations · first circulated 1994
Predictive tests for structural change with unknown breakpoint
published 1998 · Journal of Econometrics · 14 citations
with Alain Guay, Alastair R. Hall
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
published 1998 · Studies in Nonlinear Dynamics and Econometrics · 145 citations · first circulated 1997
with Joanna Jasiak
Seasonal Adjustment and Other Data Transformations
published 1997 · Journal of Business and Economic Statistics · 23 citations
On seasonality and business cycle durations: A nonparametric investigation
published 1997 · Journal of Econometrics · 9 citations
An Empirical Analysis of the Canadian Budget Process
published 1997 · Canadian Journal of Economics/Revue canadienne d économique
with Bryan Campbell
On Periodic Structures and Testing for Seasonal Unit Roots
published 1996 · Journal of the American Statistical Association · 3 citations
with Alastair R. Hall, Hahn Shik Lee
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples
published 1996 · Econometric Theory · 6 citations · first circulated 1993
with Offer Lieberman
[Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?]: Reply
published 1996 · Journal of Business and Economic Statistics · 89 citations
with Clive W. J. Granger, Pierre L. Siklos, P. L. Siklos
Reply
published 1996 · Journal of Business and Economic Statistics
with Clive W. J. Granger, Pierre L. Siklos
Periodic Autoregressive Conditional Heteroscedasticity
published 1996 · Journal of Business and Economic Statistics · 353 citations
with Tim Bollerslev
The effect of linear filters on dynamic time series with structural change
published 1996 · Journal of Econometrics · 34 citations · first circulated 1994
Editors' introduction recent developments in the econometrics of structural change
published 1996 · Journal of Econometrics · 20 citations
Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency
published 1995 · The Review of Economics and Statistics · 63 citations
with Bryan Campbell
Changes in seasonal patterns
published 1994 · Journal of Economic Dynamics and Control · 74 citations
with Fabio Canova
[Bayesian Analysis of Stochastic Volatility Models]: Comment
published 1994 · Journal of Business and Economic Statistics · 4 citations
with Joanna Jasiak
Comment
published 1994 · Journal of Business and Economic Statistics
with Joanna Jasiak
On the Periodic Structure of the Business Cycle
published 1994 · Journal of Business and Economic Statistics · 101 citations
Testing for unit roots in seasonal time series
published 1994 · Journal of Econometrics · 210 citations
with Hahn S. Lee, Jaesum Noh
Generalized Predictive Tests and Structural Change Analysis in Econometrics
published 1994 · International Economic Review · 8 citations
On the (mis)specification of seasonality and its consequences: An empirical investigation with US data
published 1993 · Empirical Economics · 33 citations
with Hahn S. Lee, Pierre L. Siklos
On scoring asymmetric periodic probability models of turning‐point forecasts
published 1993 · Journal of Forecasting · 2 citations
The effect of seasonal adjustment filters on tests for a unit root
published 1993 · Journal of Econometrics · 239 citations · first circulated 1990
Professor Marc Nerlove
published 1993 · Econometric Theory · 4 citations
Editor's introduction
published 1993 · Journal of Econometrics · 8 citations
Testing nonnested Euler conditions with quadrature-based methods of approximation
published 1990 · Journal of Econometrics · 21 citations · first circulated 1987
with Alastair R. Hall
Are consumption-based intertemporal capital asset pricing models structural?
published 1990 · Journal of Econometrics · 77 citations
with Alastair R. Hall
A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
published 1990 · International Economic Review · 115 citations · first circulated 1988
with Alastair R. Hall
Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product
published 1990 · Journal of Business and Economic Statistics · 70 citations
Y a-t-il des biais systématiques dans les annonces budgétaires canadiennes?
published 1989 · Canadian Public Policy · 5 citations
with Jean-François David
A Study toward a Dynamic Theory of Seasonality for Economic Time Series
published 1988 · Journal of the American Statistical Association · 79 citations · first circulated 1986
Seasonality in surveys
published 1988 · European Economic Review · 5 citations
with Marc Nerlove
Seasonal Extraction in the Presence of Feedback
published 1987 · Journal of Business and Economic Statistics · 10 citations
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