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Details about Eric Ghysels

E-mail:
Homepage:http://www.unc.edu/~eghysels
Workplace:Department of Economics, University of North Carolina-Chapel-Hill, (more information at EDIRC)

Access statistics for papers by Eric Ghysels.

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

Short-id: pgh7


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Working Papers

2009

  1. 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 Downloads View citations (1)

2008

  1. Price Momentum In Stocks: Insights From Victorian Age Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2004

  1. Approximating the Probability Distribution of Functions of Random Variables: A New Approach
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) Downloads View citations (3)
  2. Do Heterogeneous Beliefs Matter for Asset Pricing?
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (2)
  3. Monitoring for Disruptions in Financial Markets
    CIRANO Working Papers, CIRANO Downloads View citations (3)
  4. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
    CIRANO Working Papers, CIRANO Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (11)
  5. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (18)
  6. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
    CIRANO Working Papers, CIRANO Downloads View citations (5)
  7. The MIDAS Touch: Mixed Data Sampling Regression Models
    CIRANO Working Papers, CIRANO Downloads View citations (49)
  8. There is a Risk-Return Tradeoff After All
    CIRANO Working Papers, CIRANO Downloads View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (13)
    CIRANO Working Papers, CIRANO (2003) Downloads View citations (3)

2003

  1. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    CIRANO Working Papers, CIRANO Downloads View citations (8)
  2. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation
    CIRANO Working Papers, CIRANO Downloads
  3. Test for Breaks in the Conditional Co-Movements of Asset Returns
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics Downloads View citations (3)
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (2)

2002

  1. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics Downloads View citations (44)
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (17)

2001

  1. Derivatives Do Affect Mutual Funds Returns: How and When?
    CIRANO Working Papers, CIRANO Downloads
  2. Detecting Multiple Breaks in Financial Market Volatility Dynamics
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics Downloads View citations (2)
    Also in CIRANO Working Papers, CIRANO (2001) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2002)
  3. Let's Get "Real" about Using Economic Data
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (2)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics Downloads

    See also Journal Article in Journal of Empirical Finance (2002)
  4. Testing for Structural Change in the Presence of Auxiliary Models
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal Downloads
    Also in CIRANO Working Papers, CIRANO (2001) Downloads

2000

  1. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
    CIRANO Working Papers, CIRANO Downloads View citations (49)
    See also Journal Article in Journal of Business & Economic Statistics (2002)
  2. The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
    CIRANO Working Papers, CIRANO Downloads View citations (2)

1999

  1. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (17)
  2. Emerging Markets and Trading Costs
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  3. Seasonal Nonstationarity and Near-Nonstationarity
    CIRANO Working Papers, CIRANO Downloads View citations (7)

1998

  1. 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 Downloads View citations (7)
    Also in CIRANO Working Papers, CIRANO (1997) Downloads

    See also Journal Article in The Review of Economics and Statistics (1998)
  2. Monetary Policy Rules with Model and Data Uncertainty
    CIRANO Working Papers, CIRANO Downloads View citations (10)
  3. Structural Change Tests for Simulated Method of Moments
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  4. What Data Should Be Used to Price Options?
    CIRANO Working Papers, CIRANO Downloads View citations (6)
  5. Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
    CIRANO Working Papers, CIRANO Downloads View citations (1)

1997

  1. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
    CIRANO Working Papers, CIRANO Downloads View citations (8)
  2. Nonparametric Methods and Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (5)
  3. Seasonal Adjustment and Volatility Dynamics
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  4. Seasonal Time Series and Autocorrelation Function Estimation
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article in Manchester School (2002)

1996

  1. A Semi-Parametric Factor Model for Interest Rates
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (1)
    Also in CIRANO Working Papers, CIRANO (1996) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)
  2. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
    CIRANO Working Papers, CIRANO Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2000)
  3. Arbitrage Based Pricing When Volatility Is Stochastic
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads View citations (1)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (2)
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996) Downloads
  4. Kernel Autocorrelogram for Time Deformed Processes
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  5. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (2000)
  6. Stochastic Volatility
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (223)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (222)
    CIRANO Working Papers, CIRANO (1995) Downloads View citations (13)
    Working Papers, Toulouse - GREMAQ (1995) View citations (122)
  7. Structural Change and Asset Pricing in Emerging Markets
    CIRANO Working Papers, CIRANO Downloads View citations (6)
    See also Journal Article in Journal of International Money and Finance (1998)

1995

  1. An Empirical Analysis of the Canadian Budget Process
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads
    CIRANO Working Papers, CIRANO (1995) Downloads View citations (2)

    See also Journal Article in Canadian Journal of Economics (1997)
  2. Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)

    See also Journal Article in Journal of Business & Economic Statistics (1996)
  3. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (14)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (16)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (10)
  4. On Periodic Structures and Testing for Seasonal Unit Roots
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (5)
    Also in CIRANO Working Papers, CIRANO (1995) Downloads View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (1)
  5. On Stable Factor Structures in the Pricing of Risk
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
  6. On the Dynamic Specification of International Asset Pricing Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in CIRANO Working Papers, CIRANO (1995) Downloads View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads
  7. Predictive Tests for Structural Change with Unknown Breakpoint
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (1)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (35)

    See also Journal Article in Journal of Econometrics (1998)
  8. Simulation Based Inference in Moving Average Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
    CIRANO Working Papers, CIRANO (1994) Downloads View citations (1)
  9. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (4)
  10. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO Downloads View citations (7)

1994

  1. Bayesian Inference for Periodic Regime-Switching Models
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1998)
  2. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO Downloads
  3. 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) Downloads View citations (1)
  4. Periodic Autoregressive Conditional Heteroskedasticity
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (18)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (8)

    See also Journal Article in Journal of Business & Economic Statistics (1996)
  5. The Effect of Linear Filters on Dynamic Time series with Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994)

    See also Journal Article in Journal of Econometrics (1996)

1993

  1. A Time Series Model with Periodic Stochastic Regime Switching
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (7)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1993) Downloads View citations (4)
  2. 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 (2)
  3. On Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
  4. Seasonal Adjustment and Other Data Transformations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (1997)
  5. The Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ

1992

  1. Changes in Seasonal Patters: Are They Cyclical
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992) View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (1994)
  2. Charistmas, Spring and the Dawning of Economic Recovery
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1992) Downloads View citations (1)
  3. 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 in International Economic Review (1994)
  4. 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)
  5. 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 (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) Downloads View citations (5)

    See also Journal Article in Empirical Economics (1993)
  6. On the Periodic Structure of the Business Cycle
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (1994)

1991

  1. Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (7)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (7)
  2. 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)
  3. Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991)

1990

  1. 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)
  2. ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations (12)
  3. 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)
  4. 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 Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations (2)
  5. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (3)
    See also Journal Article in Journal of Econometrics (1993)

1989

  1. NOMINAL VERSUS REAL SEASONAL ADJUSTMENT
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1988)
  2. 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)
  3. 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)

    See also Journal Article in Canadian Public Policy (1989)

1988

  1. 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 in International Economic Review (1990)

1987

  1. 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 (1)
  2. 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 Downloads
  3. 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 in Journal of Econometrics (1990)
  4. The Political Economy of the Budget and Efficient Information Processing
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
  5. 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

  1. 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)
  2. 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
  3. Kalman Filter Seasonal Extraction Applied to Monetary Targeting
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
  4. Seasonality in Surveys Evidence From the Belgian Business Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
  5. 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 Downloads View citations (44)

2003

  1. Emerging markets and trading costs: lessons from Casablanca
    Journal of Empirical Finance, 2003, 10, (1-2), 169-198 Downloads View citations (12)

2002

  1. Detecting multiple breaks in financial market volatility dynamics
    Journal of Applied Econometrics, 2002, 17, (5), 579-600 Downloads View citations (91)
    See also Working Paper (2001)
  2. Interview with Christopher A. Sims
    Journal of Business & Economic Statistics, 2002, 20, (4), 448-49 View citations (1)
  3. Interview with Lars Peter Hansen
    Journal of Business & Economic Statistics, 2002, 20, (4), 442-47 View citations (3)
  4. Let's get "real" about using economic data
    Journal of Empirical Finance, 2002, 9, (3), 343-360 Downloads View citations (14)
    See also Working Paper (2001)
  5. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results
    Journal of Business & Economic Statistics, 2002, 20, (3), 363-76 View citations (25)
    See also Working Paper (2000)
  6. Seasonal Time Series and Autocorrelation Function Estimation
    Manchester School, 2002, 70, (5), 651-65 Downloads
    See also Working Paper (1997)

2000

  1. 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 Downloads View citations (127)
  2. American options with stochastic dividends and volatility: A nonparametric investigation
    Journal of Econometrics, 2000, 94, (1-2), 53-92 Downloads View citations (17)
    See also Working Paper (1996)
  3. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7 Downloads
  4. Nonparametric estimation of American options' exercise boundaries and call prices
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1829-1857 Downloads View citations (7)
    See also Working Paper (1996)
  5. Some Econometric Recipes for High-Frequency Data Cooking
    Journal of Business & Economic Statistics, 2000, 18, (2), 154-63 View citations (6)

1998

  1. 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 Downloads View citations (7)
    See also Working Paper (1998)
  2. Bayesian inference for periodic regime-switching models
    Journal of Applied Econometrics, 1998, 13, (2), 129-143 Downloads View citations (6)
    See also Working Paper (1994)
  3. New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment
    Journal of Business & Economic Statistics, 1998, 16, (2), 165-67
  4. Predictive tests for structural change with unknown breakpoint
    Journal of Econometrics, 1998, 82, (2), 209-233 Downloads View citations (9)
    See also Working Paper (1995)
  5. Structural change and asset pricing in emerging markets
    Journal of International Money and Finance, 1998, 17, (3), 455-473 Downloads View citations (26)
    See also Working Paper (1996)

1997

  1. An Empirical Analysis of the Canadian Budget Process
    Canadian Journal of Economics, 1997, 30, (3), 553-76 Downloads View citations (2)
    See also Working Paper (1995)
  2. On seasonality and business cycle durations: A nonparametric investigation
    Journal of Econometrics, 1997, 79, (2), 269-290 Downloads View citations (3)
  3. Seasonal Adjustment and Other Data Transformations
    Journal of Business & Economic Statistics, 1997, 15, (4), 410-18 View citations (1)
    See also Working Paper (1993)

1996

  1. Editors' introduction recent developments in the econometrics of structural change
    Journal of Econometrics, 1996, 70, (1), 1-8 Downloads View citations (5)
  2. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
    Journal of Business & Economic Statistics, 1996, 14, (3), 374-86 View citations (23)
    See also Working Paper (1995)
  3. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply
    Journal of Business & Economic Statistics, 1996, 14, (3), 396-97 View citations (7)
  4. Periodic Autoregressive Conditional Heteroscedasticity
    Journal of Business & Economic Statistics, 1996, 14, (2), 139-51 View citations (65)
    See also Working Paper (1994)
  5. The effect of linear filters on dynamic time series with structural change
    Journal of Econometrics, 1996, 70, (1), 69-97 Downloads View citations (11)
    See also Working Paper (1994)

1995

  1. Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency
    The Review of Economics and Statistics, 1995, 77, (1), 17-31 Downloads View citations (15)

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 399-401 View citations (1)
  2. Changes in seasonal patterns: Are they cyclical?
    Journal of Economic Dynamics and Control, 1994, 18, (6), 1143-1171 Downloads View citations (38)
    See also Working Paper (1992)
  3. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    International Economic Review, 1994, 35, (1), 199-229 Downloads View citations (17)
    See also Working Paper (1992)
  4. On the Periodic Structure of the Business Cycle
    Journal of Business & Economic Statistics, 1994, 12, (3), 289-98 View citations (35)
    See also Working Paper (1992)
  5. Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation
    Journal of Econometrics, 1994, 62, (2), 415-442 Downloads View citations (89)

1993

  1. Editor's introduction: Seasonality and econometric models
    Journal of Econometrics, 1993, 55, (1-2), 1-8 Downloads View citations (2)
  2. 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 (7)
    See also Working Paper (1992)
  3. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 Downloads View citations (60)
    See also Working Paper (1990)

1990

  1. 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 Downloads View citations (57)
    See also Working Paper (1988)
  2. Are consumption-based intertemporal capital asset pricing models structural?
    Journal of Econometrics, 1990, 45, (1-2), 121-139 Downloads View citations (42)
  3. Testing nonnested Euler conditions with quadrature-based methods of approximation
    Journal of Econometrics, 1990, 46, (3), 273-308 Downloads View citations (6)
    See also Working Paper (1987)
  4. 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 (14)

1989

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

1987

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