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Eric Ghysels

Global rank #2786 96%

Institution: University of North Carolina-Chapel-Hill

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.unc.edu/~eghysels

First Publication: 1990

Most Recent: 2004

RePEc ID: pgh7 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 0.00 15.25 2.51 0.00 33.01

Publication Statistics

Raw Publications 18
Coauthorship-Adjusted Count 17.84

Publications (18)

Year Article Journal Tier Authors
2004 Stochastic volatility duration models Journal of Econometrics A 3
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 A 2
2000 Nonparametric estimation of American options' exercise boundaries and call prices Journal of Economic Dynamics and Control B 4
2000 American options with stochastic dividends and volatility: A nonparametric investigation Journal of Econometrics A 4
2000 Econometric methods for derivative securities and risk management Journal of Econometrics A 3
1998 Structural change and asset pricing in emerging markets Journal of International Money and Finance B 2
1998 Predictive tests for structural change with unknown breakpoint Journal of Econometrics A 3
1998 A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure Review of Economics and Statistics A 2
1997 On seasonality and business cycle durations: A nonparametric investigation Journal of Econometrics A 1
1996 Editors' introduction recent developments in the econometrics of structural change Journal of Econometrics A 2
1996 The effect of linear filters on dynamic time series with structural change Journal of Econometrics A 2
1995 Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency. Review of Economics and Statistics A 2
1994 Changes in seasonal patterns : Are they cyclical? Journal of Economic Dynamics and Control B 2
1994 Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation Journal of Econometrics A 3
1993 The effect of seasonal adjustment filters on tests for a unit root Journal of Econometrics A 2
1993 Editor's introduction : Seasonality and econometric models Journal of Econometrics A 1
1990 Are consumption-based intertemporal capital asset pricing models structural? Journal of Econometrics A 2
1990 Testing nonnested Euler conditions with quadrature-based methods of approximation Journal of Econometrics A 2