Eric Ghysels

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

Eric Ghysels is the Edward Bernstein Distinguished Professor of Economics and a finance professor at UNC Kenan-Flagler.

His main research interests are time series econometrics and finance.

He teaches empirical finance and time series PhD courses. He has published in the leading economics, finance and statistics journals. He served on the editorial boards of several academic journals and is co-editor of the Journal of Business and Economic Statistics.

Dr. Ghysels, who speaks French, Dutch and German, has been a visiting professor or scholar at several major U.S., European and Asian universities.

He is an amateur piano player.

He received his PhD and MA from Northwestern University and his BA from the University of Brussels.

Recent Publications

March 22, 2021

A term originated in meteorology, nowcasting pertains to the prediction of the present and very near future. Nowcasting applications in economics and finance are intrinsically a mixed frequency data problem as the object of interest is a low-frequency data series (e.g., quarterly), whereas the information is real-time high frequency (e.g., daily, weekly, or monthly).

Eric Ghysels

December 10, 2020

The cryptocurrency industry has evolved significantly over the last five years. It is no longer purely speculative; use cases that add real value are emerging, and with them, significant institutional interest. Rethinc. Fintech Labs Faculty Director and Professor of Finance Eric Ghysels recently sat down with Zoe Cruz, former co-president of Morgan Stanley, to discuss the impact of adding cryptocurrencies to a traditional portfolio.

Donghwa ShinEric Ghysels

November 7, 2020

The financial industry has eagerly adopted machine learning algorithms to improve on traditional predictive models. In this paper we caution against blindly applying such techniques. We compare forecasting ability of machine learning methods in evaluating future payoffs on synthetic variance swaps. Standard machine learning methods tend to identify contracts which are illiquid, and hard to trade.

Eric Ghysels

October 16, 2020

The importance of asymmetries in prediction problems arising in economics has been recognized for a long time. In this paper, we focus on binary choice problems in a data-rich environment with general loss functions.

Eric Ghysels

May 28, 2020

Traditional contact tracing, where workers query patients about their interactions to see who else might have been infected — and perhaps to find out where they got the infection — is being widely used. But for the first time, many public health authorities are considering, or have implemented, smart phone apps to partially automate and scale contact tracing.

Eric Ghysels

July 6, 2019

Artificial intelligence, or AI, enhancements are increasingly shaping our daily lives. Financial decision-making is no exception to this. We introduce the notion of AI Alter Egos, which are shadow robo-investors, and use a unique data set covering brokerage accounts for a large cross-section of investors over a sample from January 2003 to March 2012, which includes the 2008 financial crisis, to assess the benefits of robo-investing.

Eric Ghysels