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Research

21
Eric Ghysels

Eric Ghysels, Edward Bernstein Distinguished Professor of Economics and Professor of Finance, Faculty Director of Rethinc. Labs

Profile

Estimating Undetected COVID-19 Infections

  • Article

Nowcasting Net Asset Values: The Case of Private Equity

Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors

  • Working Paper

Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality

  • Working Paper

Monthly Art Market Returns

  • Working Paper

Liquidity and Volatility in the U.S. Treasury Market

  • Working Paper

Machine Learning Time Series Regressions With an Application to Nowcasting

  • Article

Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data

  • Article

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications

  • Article

Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application

High-Dimensional Granger Causality Tests with an Application to VIX and News

Real-time Forecasts of State and Local Government Budgets with an Application to COVID-19

  • Article

Tensor Principal Component Analysis

  • Working Paper

Spanning Latent and Observable Factors

  • Working Paper

Panel Data Nowcasting in a Data-Rich Environment: The Case of Price-Earnings Ratios

Econometrics of Machine Learning Methods in Economic Forecasting

  • Working Paper

Quantum Computational Algorithms for Derivative Pricing and Credit Risk in a Regime Switching Economy

On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models

  • Working Paper

Nowcasting and Aggregation: Why Small Euro Area Countries Matter

  • Working Paper

An Enhanced Hybrid HHL Algorithm

  • Working Paper

2019 Frontiers of Entrepreneurship Conference

  • Conference Proceeding