5 Stochastic volatility E Ghysels, AC Harvey, E Renault Handbook of statistics 14, 119-191, 1996 | 1412 | 1996 |
There is a risk-return trade-off after all E Ghysels, P Santa-Clara, R Valkanov Journal of financial economics 76 (3), 509-548, 2005 | 1355 | 2005 |
MIDAS regressions: Further results and new directions E Ghysels, A Sinko, R Valkanov Econometric reviews 26 (1), 53-90, 2007 | 1222 | 2007 |
Alternative models for stock price dynamics M Chernov, AR Gallant, E Ghysels, G Tauchen Journal of Econometrics 116 (1-2), 225-257, 2003 | 1156 | 2003 |
Stock market volatility and macroeconomic fundamentals RF Engle, E Ghysels, B Sohn Review of Economics and Statistics 95 (3), 776-797, 2013 | 1126 | 2013 |
Predicting volatility: getting the most out of return data sampled at different frequencies E Ghysels, P Santa-Clara, R Valkanov Journal of Econometrics 131 (1-2), 59-95, 2006 | 1070 | 2006 |
Ex ante skewness and expected stock returns J Conrad, RF Dittmar, E Ghysels The Journal of Finance 68 (1), 85-124, 2013 | 999 | 2013 |
The MIDAS touch: Mixed data sampling regression models E Ghysels, P Santa-Clara, R Valkanov | 975 | 2004 |
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation M Chernov, E Ghysels Journal of financial economics 56 (3), 407-458, 2000 | 748 | 2000 |
Invited review combining forecasts—twenty years later CWJ Granger Journal of forecasting 8 (3), 167-173, 1989 | 591 | 1989 |
Semiparametric regression for the applied econometrician A Yatchew Cambridge University Press, 2003 | 567 | 2003 |
On stable factor structures in the pricing of risk: do time‐varying betas help or hurt? E Ghysels The Journal of Finance 53 (2), 549-573, 1998 | 541 | 1998 |
Periodic autoregressive conditional heteroscedasticity T Bollerslev, E Ghysels Journal of Business & Economic Statistics 14 (2), 139-151, 1996 | 513 | 1996 |
Time series modelling and interpretation CWJ Granger, MJ Morris Journal of the Royal Statistical Society Series A: Statistics in Society 139 …, 1976 | 512 | 1976 |
The econometric analysis of seasonal time series E Ghysels, DR Osborn Cambridge University Press, 2001 | 508 | 2001 |
Handbook of economic forecasting G Elliott, A Timmermann Elsevier, 2013 | 490 | 2013 |
Should macroeconomic forecasters use daily financial data and how? E Andreou, E Ghysels, A Kourtellos Journal of Business & Economic Statistics 31 (2), 240-251, 2013 | 475 | 2013 |
The impact of risk and uncertainty on expected returns EW Anderson, E Ghysels, JL Juergens Journal of Financial Economics 94 (2), 233-263, 2009 | 470 | 2009 |
Why do absolute returns predict volatility so well? L Forsberg, E Ghysels Journal of Financial Econometrics 5 (1), 31-67, 2007 | 452 | 2007 |
Detecting multiple breaks in financial market volatility dynamics E Andreou, E Ghysels Journal of applied Econometrics 17 (5), 579-600, 2002 | 450 | 2002 |