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

2008

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

2004

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

2003

10. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    CIRANO Working Papers, CIRANO View citations
11. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation
    CIRANO Working Papers, CIRANO
12. 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
    Also in CIRANO Working Papers, CIRANO (2002) View citations

2002

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

2001

14. Derivatives Do Affect Mutual Funds Returns: How and When?
    CIRANO Working Papers, CIRANO
15. Detecting Multiple Breaks in Financial Market Volatility Dynamics
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics View citations
    Also in CIRANO Working Papers, CIRANO (2001)
    See also Journal Article in Journal of Applied Econometrics (2002)
16. Let's Get "Real" about Using Economic Data
    CIRANO Working Papers, CIRANO
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics
    See also Journal Article in Journal of Empirical Finance (2002)
17. Testing for Structural Change in the Presence of Auxiliary Models
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal
    Also in CIRANO Working Papers, CIRANO (2001)

2000

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

1999

20. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO View citations
21. Emerging Markets and Trading Costs
    CIRANO Working Papers, CIRANO
22. Seasonal Nonstationarity and Near-Nonstationarity
    CIRANO Working Papers, CIRANO View citations

1998

23. 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
    Also in CIRANO Working Papers, CIRANO (1997)
    See also Journal Article in The Review of Economics and Statistics (1998)
24. Monetary Policy Rules with Model and Data Uncertainty
    CIRANO Working Papers, CIRANO View citations
25. Structural Change Tests for Simulated Method of Moments
    CIRANO Working Papers, CIRANO View citations
26. What Data Should Be Used to Price Options?
    CIRANO Working Papers, CIRANO View citations
27. Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
    CIRANO Working Papers, CIRANO

1997

28. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
    CIRANO Working Papers, CIRANO
29. Nonparametric Methods and Option Pricing
    CIRANO Working Papers, CIRANO View citations
30. Seasonal Adjustment and Volatility Dynamics
    CIRANO Working Papers, CIRANO View citations
31. Seasonal Time Series and Autocorrelation Function Estimation
    CIRANO Working Papers, CIRANO
    See also Journal Article in Manchester School (2002)

1996

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

1995

39. 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)
    CIRANO Working Papers, CIRANO (1995)
    See also Journal Article in Canadian Journal of Economics (1997)
40. Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
    See also Journal Article in Journal of Business & Economic Statistics (1996)
41. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
42. On Periodic Structures and Testing for Seasonal Unit Roots
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in CIRANO Working Papers, CIRANO (1995)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
43. On Stable Factor Structures in the Pricing of Risk
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
44. 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)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
45. Predictive Tests for Structural Change with Unknown Breakpoint
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    See also Journal Article in Journal of Econometrics (1998)
46. Simulation Based Inference in Moving Average Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    CIRANO Working Papers, CIRANO (1994) View citations
47. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
48. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO View citations

1994

49. Bayesian Inference for Periodic Regime-Switching Models
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Applied Econometrics (1998)
50. On Periodic Autogressive Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO
51. On the Analysis of Business Cycles Through the Spectrum of Chronologies
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
52. Periodic Autoregressive Conditional Heteroskedasticity
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1996)
53. The Effect of Linear Filters on Dynamic Time series with Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994)
    See also Journal Article in Journal of Econometrics (1996)

1993

54. A Time Series Model with Periodic Stochastic Regime Switching
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1993) View citations
55. 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
56. On Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
57. Seasonal Adjustment and Other Data Transformations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    See also Journal Article in Journal of Business & Economic Statistics (1997)
58. The Periodic Time Series and Testing the Unit Root Hypothesis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ

1992

59. 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)
    See also Journal Article in Journal of Economic Dynamics and Control (1994)
60. Charistmas, Spring and the Dawning of Economic Recovery
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1992) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1992)
61. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    See also Journal Article in International Economic Review (1994)
62. 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
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
63. 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
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992) View citations
    See also Journal Article in Empirical Economics (1993)
64. On the Periodic Structure of the Business Cycle
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See also Journal Article in Journal of Business & Economic Statistics (1994)

1991

65. Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations
66. On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations
67. 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

68. 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)
69. 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
70. THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations
71. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1990) View citations
72. THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations
    See also Journal Article in Journal of Econometrics (1993)

1989

73. 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)
74. 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)
75. 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
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
    See also Journal Article in Canadian Public Policy (1989)

1988

76. 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 View citations
    See also Journal Article in International Economic Review (1990)

1987

77. Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
78. 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
79. Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    See also Journal Article in Journal of Econometrics (1990)
80. The Political Economy of the Budget and Efficient Information Processing
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
81. 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

1986

82. A Study Towards a Dynamic Theory of Seasonality for Economic Time Series
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
83. 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
84. Kalman Filter Seasonal Extraction Applied to Monetary Targeting
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
85. Seasonality in Surveys Evidence From the Belgian Business Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
86. Seasonality in Surveys a Comparison of Belgian, French and German Business Tests
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques

Journal Articles

2004

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

2003

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

2002

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

2000

9. 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
10. American options with stochastic dividends and volatility: A nonparametric investigation
    Journal of Econometrics, 2000, 94, (1-2), 53-92 View citations
    See also Working Paper (1996)
11. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7
12. Nonparametric estimation of American options' exercise boundaries and call prices
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1829-1857 View citations
    See also Working Paper (1996)
13. Some Econometric Recipes for High-Frequency Data Cooking
    Journal of Business & Economic Statistics, 2000, 18, (2), 154-63 View citations

1998

14. 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
    See also Working Paper (1998)
15. Bayesian inference for periodic regime-switching models
    Journal of Applied Econometrics, 1998, 13, (2), 129-143 View citations
    See also Working Paper (1994)
16. New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment
    Journal of Business & Economic Statistics, 1998, 16, (2), 165-67
17. Predictive tests for structural change with unknown breakpoint
    Journal of Econometrics, 1998, 82, (2), 209-233 View citations
    See also Working Paper (1995)
18. Structural change and asset pricing in emerging markets
    Journal of International Money and Finance, 1998, 17, (3), 455-473 View citations
    See also Working Paper (1996)

1997

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

1996

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

1995

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

1994

28. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 399-401
29. Changes in seasonal patterns: Are they cyclical?
    Journal of Economic Dynamics and Control, 1994, 18, (6), 1143-1171 View citations
    See also Working Paper (1992)
30. Generalized Predictive Tests and Structural Change Analysis in Econometrics
    International Economic Review, 1994, 35, (1), 199-229 View citations
    See also Working Paper (1992)
31. On the Periodic Structure of the Business Cycle
    Journal of Business & Economic Statistics, 1994, 12, (3), 289-98 View citations
    See also Working Paper (1992)
32. 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

1993

33. Editor's introduction: Seasonality and econometric models
    Journal of Econometrics, 1993, 55, (1-2), 1-8
34. On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data
    Empirical Economics, 1993, 18, (4), 747-60
    See also Working Paper (1992)
35. The effect of seasonal adjustment filters on tests for a unit root
    Journal of Econometrics, 1993, 55, (1-2), 57-98 View citations
    See also Working Paper (1990)

1990

36. 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
    See also Working Paper (1988)
37. Are consumption-based intertemporal capital asset pricing models structural?
    Journal of Econometrics, 1990, 45, (1-2), 121-139 View citations
38. Testing nonnested Euler conditions with quadrature-based methods of approximation
    Journal of Econometrics, 1990, 46, (3), 273-308 View citations
    See also Working Paper (1987)
39. 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

1989

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

1987

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