Research – Frank Hawkins Kenan Institute of Private Enterprise

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Market-Based Solutions to Vital Economic Issues

Research

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

Profile

2019 Frontiers of Entrepreneurship Conference

  • Conference Proceeding

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

  • Article

Ex Ante Skewness and the Cross­-Section of Stock Returns

  • Article

Estimating Undetected COVID-19 Infections

  • Article

Nowcasting Net Asset Values: The Case of Private Equity

Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium

  • Working Paper

The Econometrics Of Option Pricing

  • Book Chapter

Alternative Models Of Stock Price Dynamics

  • Article

Inference in Group Factor Models with an Application to Mixed Frequency Data

  • Working Paper

Applied Economic Forecasting Using Time Series Methods

  • Book

Macroeconomics and the Reality of Mixed Frequency Data

  • Article

Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White

  • Article

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

  • Working Paper

Structural Change Tests For Simulated Method Of Moments

  • Article

On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests

  • Article

Predicting the VIX and the Volatility Risk Premium: What’s Credit and Commodity Volatility Risk Got to Do with It?

  • Working Paper

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?

  • Working Paper

Testing for Granger Causality with Mixed Frequency Data

  • Article

Moment-Implied Densities: Properties and Applications

  • Article

Stochastic Volatility Duration Models

  • Article

Real-Time Predictions of the U.S. Federal Government Budget: Expenditures, Revenues and Deficits

  • Working Paper

Artificial Intelligence Alter Egos: Who benefits from Robo-investing?

  • Working Paper

Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability

  • Working Paper

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

  • Article

The Financial Content of Inflation Risks in the Euro Area

  • Article

Inference for High-Dimensional Regressions With Heteroskedasticity and Auto-correlation

  • Working Paper

Simulation Based Inference In Moving Average Models

  • Article

Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling

  • Working Paper

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

  • Working Paper

Discount Window Stigma During the 2007-2008 Financial Crisis

  • Article

Stock Market Volatility and Macroeconomic Fundamentals

  • Article

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

Seasonal Time Series And Autocorrelation Function Estimation

  • Article

Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality

  • Working Paper

Direct Versus Iterated Multi-Period Volatility Forecasts: Why MIDAS Is King

  • Working Paper

A High Frequency Assessment of the Ecb Securities Markets Programme

  • Article

HYBRID-GARCH: A Generic Class of Models for Volatility Predictions Using High Frequency Data

  • Article

Should Macroeconomic Forecasters Use Daily Financial Data and How?

  • Article

Monetary Policy Rules With Model And Data Uncertainty

  • Article

Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty

  • Article

Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

  • Working Paper

Frailty Models for Commercial Mortgages

  • Article

Econometric Analysis of Volatility Component Models

  • Article

State Space Models and MIDAS Regressions

  • Article

Estimation and HAC-based Inference for Machine Learning Time Series Regressions

Emerging Markets And Trading Costs: Lessons From Casablanca

  • Article

Liquidity and Volatility in the U.S. Treasury Market

  • Working Paper

Monthly Art Market Returns

  • Working Paper

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

  • Article

Regime Switches in the Risk-Return Trade-off

  • Article