User profiles for Eric Ghysels

Eric Ghysels

Bernstein Distinguished Professor of Economics and Professor of Finance, UNC Chapel Hill
Verified email at unc.edu
Cited by 30373

MIDAS regressions: Further results and new directions

E Ghysels, A Sinko, R Valkanov - Econometric reviews, 2007 - Taylor & Francis
We explore mixed data sampling (henceforth MIDAS) regression models. The regressions
involve time series data sampled at different frequencies. Volatility and related processes are …

Ex ante skewness and expected stock returns

J Conrad, RF Dittmar, E Ghysels - The Journal of Finance, 2013 - Wiley Online Library
We use option prices to estimate ex ante higher moments of the underlying individual securities’
risk‐neutral returns distribution. We find that individual securities’ risk‐neutral volatility, …

Stock market volatility and macroeconomic fundamentals

RF Engle, E Ghysels, B Sohn - Review of Economics and Statistics, 2013 - direct.mit.edu
We revisit the relation between stock market volatility and macroeconomic activity using a
new class of component models that distinguish short-run from long-run movements. We …

Macroeconomics and the reality of mixed frequency data

E Ghysels - Journal of Econometrics, 2016 - Elsevier
Many time series are sampled at different frequencies. When we study co-movements between
such series we usually analyze the joint process sampled at a common low frequency. …

Regression models with mixed sampling frequencies

E Andreou, E Ghysels, A Kourtellos - Journal of Econometrics, 2010 - Elsevier
We study regression models that involve data sampled at different frequencies. We derive the
asymptotic properties of the NLS estimators of such regression models and compare them …

5 Stochastic volatility

E Ghysels, AC Harvey, E Renault - Handbook of statistics, 1996 - Elsevier
Publisher Summary The class of stochastic volatility (SV) models has its roots in both,
mathematical finance and financial econometrics. In fact, several variations of SV models …

There is a risk-return trade-off after all

E Ghysels, P Santa-Clara, R Valkanov - Journal of financial economics, 2005 - Elsevier
This paper studies the intertemporal relation between the conditional mean and the
conditional variance of the aggregate stock market return. We introduce a new estimator that …

Alternative models for stock price dynamics

M Chernov, AR Gallant, E Ghysels, G Tauchen - Journal of Econometrics, 2003 - Elsevier
This paper evaluates the role of various volatility specifications, such as multiple stochastic
volatility (SV) factors and jump components, in appropriate modeling of equity return …

Predicting volatility: getting the most out of return data sampled at different frequencies

E Ghysels, P Santa-Clara, R Valkanov - Journal of Econometrics, 2006 - Elsevier
We consider various mixed data sampling (MIDAS) regressions to predict volatility. The
regressions differ in the specification of regressors (squared returns, absolute returns, realized …

The MIDAS touch: Mixed data sampling regression models

E Ghysels, P Santa-Clara, R Valkanov - 2004 - escholarship.org
We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions
involve time series data sampled at different frequencies. Technically speaking MIDAS …