Details about Eric Ghysels

Access statistics for papers by Eric Ghysels.

Last updated 2005-04-21. Update your information in the RePEc Author Service.

Short-id: pgh7

Working Papers

2015

1. Backtesting Systemic Risk Measures During Historical Bank Runs
   Working Paper Series, Federal Reserve Bank of Chicago View citations (13)

2014

2. Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences
   Staff Reports, Federal Reserve Bank of New York View citations (66)
3. Momentum Trading, Return Chasing and Predictable Crashes
   Working Paper Series, Federal Reserve Bank of Chicago View citations (12)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (16)

2012

4. Forecasting through the rear-view mirror: data revisions and bond return predictability
   Staff Reports, Federal Reserve Bank of New York View citations (5)
5. Liquidity and volatility in the U.S. treasury market
   Staff Reports, Federal Reserve Bank of New York View citations (10)

2011

6. Discount window stigma during the 2007-2008 financial crisis
   Staff Reports, Federal Reserve Bank of New York View citations (81)
7. Is There Stigma to Discount Window Borrowing?
   Liberty Street Economics, Federal Reserve Bank of New York
8. The low-frequency impact of daily monetary policy shocks
   Working Papers, Federal Reserve Bank of St. Louis View citations (9)

2009

9. Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)

2008

10. Price Momentum In Stocks: Insights From Victorian Age Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)

2006

11. Forecasting professional forecasters
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)

2004

12. Approximating the Probability Distribution of Functions of Random Variables: A New Approach
    CIRANO Working Papers, CIRANO View citations (7)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (8)
13. Do Heterogeneous Beliefs Matter for Asset Pricing?
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (3)
14. Monitoring for Disruptions in Financial Markets
    CIRANO Working Papers, CIRANO View citations (2)
15. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
    CIRANO Working Papers, CIRANO View citations (28)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (18)
16. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO View citations (24)
17. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
    CIRANO Working Papers, CIRANO View citations (14)
18. The MIDAS Touch: Mixed Data Sampling Regression Models
    CIRANO Working Papers, CIRANO View citations (401)
19. There is a Risk-Return Tradeoff After All
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    Also in CIRANO Working Papers, CIRANO (2004) View citations (19)
    CIRANO Working Papers, CIRANO (2003) View citations (4)

2003

20. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    CIRANO Working Papers, CIRANO View citations (7)
21. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation
    CIRANO Working Papers, CIRANO
22. Test for Breaks in the Conditional Co-Movements of Asset Returns
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics View citations (4)
    Also in CIRANO Working Papers, CIRANO (2002) View citations (2)

2002

23. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics View citations (43)
    Also in CIRANO Working Papers, CIRANO (2002) View citations (24)

2001

24. Derivatives Do Affect Mutual Funds Returns: How and When?
    CIRANO Working Papers, CIRANO
25. Detecting Multiple Breaks in Financial Market Volatility Dynamics
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics View citations (2)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (1)
    See also Journal Article Detecting multiple breaks in financial market volatility dynamics, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2002) View citations (187) (2002)
26. Let's Get "Real"" about Using Economic Data"
    CIRANO Working Papers, CIRANO View citations (3)
    Also in EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (2)
    See also Journal Article Let's get "real" about using economic data, Journal of Empirical Finance, Elsevier (2002) View citations (17) (2002)
27. Testing for Structural Change in the Presence of Auxiliary Models
    CIRANO Working Papers, CIRANO
    Also in Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal (2001)

2000

28. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
    CIRANO Working Papers, CIRANO View citations (47)
    See also Journal Article Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (92) (2002)
29. The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
    CIRANO Working Papers, CIRANO View citations (4)

1999

30. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO View citations (32)
31. Emerging Markets and Trading Costs
    CIRANO Working Papers, CIRANO View citations (2)
32. Seasonal Nonstationarity and Near-Nonstationarity
    CIRANO Working Papers, CIRANO View citations (7)

1998

33. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (16)
    Also in CIRANO Working Papers, CIRANO (1997) View citations (1)
    See also Journal Article A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure, The Review of Economics and Statistics, MIT Press (1998) View citations (15) (1998)
34. Monetary Policy Rules with Model and Data Uncertainty
    CIRANO Working Papers, CIRANO View citations (14)
35. Structural Change Tests for Simulated Method of Moments
    CIRANO Working Papers, CIRANO View citations (2)
36. What Data Should Be Used to Price Options?
    CIRANO Working Papers, CIRANO View citations (8)
37. Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
    CIRANO Working Papers, CIRANO View citations (2)

1997

38. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
    CIRANO Working Papers, CIRANO View citations (10)
39. Nonparametric Methods and Option Pricing
    CIRANO Working Papers, CIRANO View citations (9)
40. Seasonal Adjustment and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations (3)
41. Seasonal Time Series and Autocorrelation Function Estimation
    CIRANO Working Papers, CIRANO

1996

42. A Semi-Parametric Factor Model for Interest Rates
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (3)
    CIRANO Working Papers, CIRANO (1996) View citations (3)
43. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
    CIRANO Working Papers, CIRANO View citations (10)
    See also Journal Article American options with stochastic dividends and volatility: A nonparametric investigation, Journal of Econometrics, Elsevier (2000) View citations (36) (2000)
44. Arbitrage Based Pricing When Volatility Is Stochastic
    CIRANO Working Papers, CIRANO View citations (16)
    Also in Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (16)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (17)
45. Kernel Autocorrelogram for Time Deformed Processes
    CIRANO Working Papers, CIRANO View citations (1)
46. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
    CIRANO Working Papers, CIRANO View citations (5)
    See also Journal Article Nonparametric estimation of American options' exercise boundaries and call prices, Journal of Economic Dynamics and Control, Elsevier (2000) View citations (15) (2000)
47. Stochastic Volatility
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (250)
    Also in Working Papers, Toulouse - GREMAQ (1995) View citations (113)
    CIRANO Working Papers, CIRANO (1995) View citations (14)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (252)
48. Structural Change and Asset Pricing in Emerging Markets
    CIRANO Working Papers, CIRANO View citations (8)
    See also Journal Article Structural change and asset pricing in emerging markets, Journal of International Money and Finance, Elsevier (1998) View citations (33) (1998)

1995

49. An Empirical Analysis of the Canadian Budget Process
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (2)
    CIRANO Working Papers, CIRANO (1995) View citations (3)
    See also Journal Article An Empirical Analysis of the Canadian Budget Process, Canadian Journal of Economics, Canadian Economics Association (1997) View citations (11) (1997)
50. Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
    CIRANO Working Papers, CIRANO View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (3)
    See also Journal Article Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (46) (1996)
51. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO View citations (14)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (11)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (22)
52. On Periodic Structures and Testing for Seasonal Unit Roots
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (5)
    CIRANO Working Papers, CIRANO (1995) View citations (3)
53. On Stable Factor Structures in the Pricing of Risk
    CIRANO Working Papers, CIRANO View citations (12)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
54. On the Dynamic Specification of International Asset Pricing Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
    Also in CIRANO Working Papers, CIRANO (1995) View citations (1)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
55. Predictive Tests for Structural Change with Unknown Breakpoint
    CIRANO Working Papers, CIRANO View citations (5)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (47)
    See also Journal Article Predictive tests for structural change with unknown breakpoint, Journal of Econometrics, Elsevier (1998) View citations (9) (1998)
56. Simulation Based Inference in Moving Average Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (5)
    CIRANO Working Papers, CIRANO (1994) View citations (1)
57. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
    CIRANO Working Papers, CIRANO View citations (17)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (22)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (24)
58. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO View citations (15)

1994

59. Bayesian Inference for Periodic Regime-Switching Models
    CIRANO Working Papers, CIRANO View citations (1)
    See also Journal Article Bayesian inference for periodic regime-switching models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1998) View citations (9) (1998)
60. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO View citations (1)
61. On the Analysis of Business Cycles Through the Spectrum of Chronologies
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (1)
62. Periodic Autoregressive Conditional Heteroskedasticity
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (22)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (14)
    See also Journal Article Periodic Autoregressive Conditional Heteroscedasticity, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (181) (1996)
63. The Effect of Linear Filters on Dynamic Time series with Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (2)
    See also Journal Article The effect of linear filters on dynamic time series with structural change, Journal of Econometrics, Elsevier (1996) View citations (24) (1996)

1993

64. A Time Series Model with Periodic Stochastic Regime Switching
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (8)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1993) View citations (9)
65. Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
66. On Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1993) View citations (1)
67. Seasonal Adjustment and Other Data Transformations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (5)
    See also Journal Article Seasonal Adjustment and Other Data Transformations, Journal of Business & Economic Statistics, American Statistical Association (1997) View citations (3) (1997)

1992

68. Changes in Seasonal Patters: Are They Cyclical
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992) View citations (1)
    See also Journal Article Changes in seasonal patterns: Are they cyclical?, Journal of Economic Dynamics and Control, Elsevier (1994) View citations (51) (1994)
69. Charistmas, Spring and the Dawning of Economic Recovery
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1992) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
70. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    See also Journal Article Generalized Predictive Tests and Structural Change Analysis in Econometrics, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1994) View citations (23) (1994)
71. Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
72. On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations (5)
    See also Journal Article On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data, Empirical Economics, Springer (1993) View citations (17) (1993)
73. On the Periodic Structure of the Business Cycle
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
    See also Journal Article On the Periodic Structure of the Business Cycle, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (52) (1994)

1991

74. Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (9)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (9)
75. On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (2)
76. Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (4)

1990

77. AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990)
78. ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations (13)
79. THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations (2)
80. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (6)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations (8)
    See also Journal Article The effect of seasonal adjustment filters on tests for a unit root, Journal of Econometrics, Elsevier (1993) View citations (94) (1993)

1989

81. NOMINAL VERSUS REAL SEASONAL ADJUSTMENT
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1988) View citations (1)
82. ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
83. Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES?
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1988

84. A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    See also Journal Article A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1990) View citations (71) (1990)

1987

85. Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
86. Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
87. Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    See also Journal Article Testing nonnested Euler conditions with quadrature-based methods of approximation, Journal of Econometrics, Elsevier (1990) View citations (6) (1990)
88. The Political Economy of the Budget and Efficient Information Processing
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
89. Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)

1986

90. A Study Towards a Dynamic Theory of Seasonality for Economic Time Series
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (11)
91. Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
92. Kalman Filter Seasonal Extraction Applied to Monetary Targeting
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
93. Seasonality in Surveys Evidence From the Belgian Business Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
94. Seasonality in Surveys a Comparison of Belgian, French and German Business Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)

Journal Articles

2004

1. Stochastic volatility duration models
   Journal of Econometrics, 2004, 119, (2), 413-433 View citations (66)

2003

2. Emerging markets and trading costs: lessons from Casablanca
   Journal of Empirical Finance, 2003, 10, (1-2), 169-198 View citations (17)

2002

3. Detecting multiple breaks in financial market volatility dynamics
   Journal of Applied Econometrics, 2002, 17, (5), 579-600 View citations (187)
   See also Working Paper Detecting Multiple Breaks in Financial Market Volatility Dynamics, University of Cyprus Working Papers in Economics (2001) View citations (2) (2001)
4. Interview with Christopher A. Sims
   Journal of Business & Economic Statistics, 2002, 20, (4), 448-49 View citations (2)
5. Interview with Lars Peter Hansen
   Journal of Business & Economic Statistics, 2002, 20, (4), 442-47 View citations (10)
6. Let's get "real" about using economic data
   Journal of Empirical Finance, 2002, 9, (3), 343-360 View citations (17)
   See also Working Paper Let's Get "Real"" about Using Economic Data", CIRANO Working Papers (2001) View citations (3) (2001)
7. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results
   Journal of Business & Economic Statistics, 2002, 20, (3), 363-76 View citations (92)
   See also Working Paper Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results, CIRANO Working Papers (2000) View citations (47) (2000)

2000

8. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
   Journal of Financial Economics, 2000, 56, (3), 407-458 View citations (260)
9. American options with stochastic dividends and volatility: A nonparametric investigation
   Journal of Econometrics, 2000, 94, (1-2), 53-92 View citations (36)
   See also Working Paper American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation, CIRANO Working Papers (1996) View citations (10) (1996)
10. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7
11. Nonparametric estimation of American options' exercise boundaries and call prices
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1829-1857 View citations (15)
    See also Working Paper Nonparametric Estimation of American Options Exercise Boundaries and Call Prices, CIRANO Working Papers (1996) View citations (5) (1996)
12. Some Econometric Recipes for High-Frequency Data Cooking
    Journal of Business & Economic Statistics, 2000, 18, (2), 154-63 View citations (13)

1998

13. A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure
    The Review of Economics and Statistics, 1998, 80, (4), 535-548 View citations (15)
    See also Working Paper A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure, Boston College Working Papers in Economics (1998) View citations (16) (1998)
14. Bayesian inference for periodic regime-switching models
    Journal of Applied Econometrics, 1998, 13, (2), 129-143 View citations (9)
    See also Working Paper Bayesian Inference for Periodic Regime-Switching Models, CIRANO Working Papers (1994) View citations (1) (1994)
15. New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment
    Journal of Business & Economic Statistics, 1998, 16, (2), 165-67
16. Predictive tests for structural change with unknown breakpoint
    Journal of Econometrics, 1998, 82, (2), 209-233 View citations (9)
    See also Working Paper Predictive Tests for Structural Change with Unknown Breakpoint, CIRANO Working Papers (1995) View citations (5) (1995)
17. Structural change and asset pricing in emerging markets
    Journal of International Money and Finance, 1998, 17, (3), 455-473 View citations (33)
    See also Working Paper Structural Change and Asset Pricing in Emerging Markets, CIRANO Working Papers (1996) View citations (8) (1996)

1997

18. An Empirical Analysis of the Canadian Budget Process
    Canadian Journal of Economics, 1997, 30, (3), 553-76 View citations (11)
    See also Working Paper An Empirical Analysis of the Canadian Budget Process, Cahiers de recherche (1995) View citations (2) (1995)
19. On seasonality and business cycle durations: A nonparametric investigation
    Journal of Econometrics, 1997, 79, (2), 269-290 View citations (3)
20. Seasonal Adjustment and Other Data Transformations
    Journal of Business & Economic Statistics, 1997, 15, (4), 410-18 View citations (3)
    See also Working Paper Seasonal Adjustment and Other Data Transformations, Cahiers de recherche (1993) View citations (5) (1993)

1996

21. Editors' introduction recent developments in the econometrics of structural change
    Journal of Econometrics, 1996, 70, (1), 1-8 View citations (7)
22. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
    Journal of Business & Economic Statistics, 1996, 14, (3), 374-86 View citations (46)
    See also Working Paper Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?, CIRANO Working Papers (1995) View citations (3) (1995)
23. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply
    Journal of Business & Economic Statistics, 1996, 14, (3), 396-97 View citations (41)
24. Periodic Autoregressive Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1996, 14, (2), 139-51 View citations (181)
    See also Working Paper Periodic Autoregressive Conditional Heteroskedasticity, Cahiers de recherche (1994) View citations (22) (1994)
25. The effect of linear filters on dynamic time series with structural change
    Journal of Econometrics, 1996, 70, (1), 69-97 View citations (24)
    See also Working Paper The Effect of Linear Filters on Dynamic Time series with Structural Change, Cahiers de recherche (1994) View citations (2) (1994)

1995

26. Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency
    The Review of Economics and Statistics, 1995, 77, (1), 17-31 View citations (43)

1994

27. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 399-401 View citations (4)
28. Changes in seasonal patterns: Are they cyclical?
    Journal of Economic Dynamics and Control, 1994, 18, (6), 1143-1171 View citations (51)
    See also Working Paper Changes in Seasonal Patters: Are They Cyclical, Cahiers de recherche (1992) (1992)
29. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    International Economic Review, 1994, 35, (1), 199-229 View citations (23)
    See also Working Paper Generalized Predictive Tests and Structural Change Analysis in Econometrics, Cahiers de recherche (1992) View citations (3) (1992)
30. On the Periodic Structure of the Business Cycle
    Journal of Business & Economic Statistics, 1994, 12, (3), 289-98 View citations (52)
    See also Working Paper On the Periodic Structure of the Business Cycle, Cowles Foundation Discussion Papers (1992) View citations (5) (1992)
31. Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation
    Journal of Econometrics, 1994, 62, (2), 415-442 View citations (111)

1993

32. Editor's introduction: Seasonality and econometric models
    Journal of Econometrics, 1993, 55, (1-2), 1-8 View citations (5)
33. On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data
    Empirical Economics, 1993, 18, (4), 747-60 View citations (17)
    See also Working Paper On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data, Cahiers de recherche (1992) View citations (2) (1992)
34. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 View citations (94)
    See also Working Paper THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT, Cahiers de recherche (1990) View citations (1) (1990)

1990

35. A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator
    International Economic Review, 1990, 31, (2), 355-64 View citations (71)
    See also Working Paper A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS, Cahiers de recherche (1988) (1988)
36. Are consumption-based intertemporal capital asset pricing models structural?
    Journal of Econometrics, 1990, 45, (1-2), 121-139 View citations (46)
37. Testing nonnested Euler conditions with quadrature-based methods of approximation
    Journal of Econometrics, 1990, 46, (3), 273-308 View citations (6)
    See also Working Paper Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation, Cahiers de recherche (1987) (1987)
38. Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product
    Journal of Business & Economic Statistics, 1990, 8, (2), 145-52 View citations (37)

1989

39. Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.)
    Canadian Public Policy, 1989, 15, (3), 313-321

1987

40. Seasonal Extraction in the Presence of Feedback
    Journal of Business & Economic Statistics, 1987, 5, (2), 191-94 View citations (3)