Eric Ghysels

The Econometric Analysis of Seasonal Time Series

Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic tim...

Applied Economic Forecasting Using Time Series Methods

Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-wo...

Forecasting Professional Forecasters

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Changes in Seasonal Patterns

Are They Cyclical?

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Special Issue on "Multivariate Volatility Models"

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An Extension of Quadrature-based Methods for Solving Euler Conditions

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On the (mis)specification of Seasonality and Its Consequences : an Empirical Investigation with U.S. Data

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Kalman Filter Seasonal Extraction Applied to Monetary Targeting

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Predicitng Volatility

Getting the Most Out of Return Data Sampled at Different Frequencies

We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared...

Is the Outcome of the Federal Budget Process Unbiased and Efficient? : a Nonparametric Assessment

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Asset Prices in an Economy with Latent Technological Shocks : Econometric Implications of a Discrete Time General Equilibrium Model

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Arbitrage-based Pricing when Volatility is Stochastic

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The Effect of Seasonal Adjustment Filters on Tests for a Unit Root

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The Political Economy of the Budget and Efficient Information Processing

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On Scoring Asymmetric Periodic Probability Models of Turning-point Forecasts

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Are Business Cycle Turning Points Uniformly Distributed Throughout the Year?

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Christmas, Spring and the Dawning of Economic Recovery

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Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment : the Case of U.S. Post-war Real GNP

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Seasonality in Surveys Evidence from the Belgian Business Tests

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On the Economics and Econometrics of Seasonality

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A Time Series Model with Periodic Stochastic Regime Switching

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Predictive Tests for Structural Change with Unknown Breakpoint

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A Study Towards a Dynamic Theory of Seasonality for Economic Time Series

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The Business Cycle, the Seasonal Cycle Or Just Any Cycle

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An Empirical Analysis of the Canadian Budget Process

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Stochastic Volatility and Time Deformation : an Application of Trading Volume and Leverage Effects

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Testing for Unit Roots in Seasonal Time Series : Some Theoretical Extensions and a Monte Carlo Investigation

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The Effect of Linear Filters on Dynamic Time Series with Structural Change

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"Nominal" Versus "real" Seasonal Adjustment

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