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Eric Ghysels
Born 1956
Brussels, Belgium
Education Ph.D. from Kellogg Graduate School of Management
Occupation Edward M. Bernstein Distinguished Professor of Economics and a Professor of Finance

Eric Ghysels is the Edward M. Bernstein Distinguished Professor of Economics at the University of North Carolina and a Professor of Finance at the Kenan-Flagler Business School . He received his Ph.D. from Kellogg Graduate School of Management.

Ghysels is a time series econometrician with particular interest in empirical asset pricing. He has published in leading economics, finance and statistics academic journals. His most recent research focuses on Mixed data sampling regression models and filtering methods with applications in finance and other fields. He has also worked on diverse topics such as seasonality in economic times series, Generalized Method of Moment estimation and testing of asset pricing models, time varying betas, estimation of risk neutral and objective probability measures for the purpose of option pricing, among many other topics.

He has published several books, including a monograph with Denise Osborn (University of Manchester) on the Econometric Analysis of Seasonal Time Series.

He is a fellow of the American Statistical Association and co-editor of the Journal of Financial Econometrics.

The Society for Financial Econometrics (SoFiE) was co-founded by Robert Engle and Eric Ghysels.

His recent work includes regression models and filtering using data sampled at different frequencies. Recent work on Mixed data sampling (MIDAS) includes:

Ghysels, E. and J. Wright (2009), Forecasting Professional Forecasters, Journal of Business and Economic Statistics (forthcoming)

Anderson, E., Ghysels, E. and J. Juergens (2009) The Impact of Risk and Uncertainty on Expected Returns, Journal of Financial Economics (forthcoming)

Ghysels, E. and B. Sohn (2009) Which Power Variation Predicts Volatility Well? Journal of Empirical Finance, (forthcoming)

Andreou, E, Ghysels, E. and A. Kourtellos (2007) Regression Models With Mixed Sampling Frequencies, Journal of Econometrics (forthcoming)

Ghysels, E., Santa-Clara, P. and Valkanov, R. (2005), There is a Risk-return Trade-off After All, Journal of Financial Economics, 76, 509-548.

Ghysels, E., Santa-Clara, P. and Valkanov, R. (2006) Predicting volatility: How to get most out of returns data sampled at different frequencies Journal of Econometrics 131, 59-95

Ghysels, E., Sinko, A., Valkanov, R. (2007) MIDAS Regressions: Further Results and New Directions. Econometric Reviews, 26 (1), 53–90


Representative set of other publications:

Ghysels, E. (1988) A Study Towards a Dynamic Theory of Seasonality for Economic Time Series, Journal of the American Statistical Association. Reprinted in Modelling Seasonality, S. Hylleberg (ed.), Oxford University Press, 181-192.

Ghysels, E. and A. Hall, (1990), Are Consumption-Based Intertemporal Capital Asset Pricing Models Structural?, Journal of Econometrics 45, 121-139.

Ghysels, E. and A. Hall, (1990), A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator, International Economic Review 31, 355-364.

Ghysels, E. (1994), On the Economics and Econometrics of Seasonality.” Invited paper, 1990 World Congress of the Econometric Society, August 1990, in Advances in Econometrics I, C.A. Sims (ed.), Cambridge University Press, 257-316.

Ghysels, E., C.W.J. Granger and P. Siklos (1995), Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Transformation? Invited JBES paper, [[Journal of Business and Economic Statistics]] 14, 139-152. Reprinted in Newbold, P. and S.J. Leybourne (2003) Recent Developments in Time Series, Edward Elgar. Reprinted in Essays in Econometrics: collected Papers of Clive W.J. Granger: Vol. I, Cambridge University Press

Ghysels, E., A. Harvey and E. Renault, (1995), Stochastic Volatility, in Handbook of Statistics 14, Statistical Methods in Finance, G.S. Maddala and C.R. Rao (eds.), North Holland, Amsterdam.

Ghysels, E. (1998), On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt? Journal of Finance 53, 549-573.

Cao, C., Ghysels, E. and F. Hatheway, (2000), Price Discovery without Trading: The Case of the Nasdaq Pre-opening (NYSE Best Paper Award – Western Finance Association Meetings 1999, Santa Monica), Journal of Finance 55, 1339-1366.

Chernov, M. and E. Ghysels, (2000), 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 56, 407-458, Reprinted in Stochastic Volatility: Selected Readings, N. Shephard (ed.), Oxford University Press, 398-448, (All-Star JFE paper selection based on average yearly citations).

Andreou, E. and E. Ghysels, (2002) Detecting multiple breaks in financial market volatility dynamics, Journal of Applied Econometrics 17, 579-600.

Anderson, E., E. Ghysels and J. Juergens (2005), Do Heterogeneous Beliefs Matter for Asset Pricing?, Review of Financial Studies, 18, 875-924.

Eriksson, A., E. Ghysels and F. Wang (2009), The Normal Inverse Gaussian Distribution and the Pricing of Derivatives, Journal of Derivatives, Spring

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