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Publications by Eric Ghysels

Liquidity and Volatility in the U.S. Treasury Market

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

On the Size Distortion From Linearly Interpolating Low-Frequency Series for Cointegration Tests

Advances in Econometrics

English

Macroeconomics and the Reality of Mixed Frequency Data

SSRN Electronic Journal

English

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

Journal of Risk and Financial Management

English

Momentum Trading, Return Chasing and Predictable Crashes

SSRN Electronic Journal

English

Momentum Trading, Return Chasing, and Predictable Crashes

English

Do Heterogeneous Beliefs Matter for Asset Pricing?

Review of Financial Studies

English

Bayesian Inference for Periodic Regime-Switching Models

Journal of Applied Econometrics

Social Sciences

English

Nonparametric Estimation of American Options’ Exercise Boundaries and Call Prices

Journal of Economic Dynamics and Control

Applied Mathematics

English

Ex Ante Skewness and Expected Stock Returns

SSRN Electronic Journal

English