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Browsing by Author "Ghysels, Eric"

DukeSpace

Browsing by Author "Ghysels, Eric"

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  • Alternative models for stock price dynamics
    Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George (Journal of Econometrics, 2003)
    This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology ...
  • Frontiers of financial econometrics and financial engineering
    Ghysels, Eric; Tauchen, George (Journal of Econometrics, 2003)
    The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest ...
  • A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George (SSRN eLibrary, 1999)
    The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focused primarily on pure jump processes with constant ...
  • Periodic Autoregressive Conditional Heteroskedasticity
    Bollerslev, Tim; Ghysels, Eric (Journal of Business and Economic Statistics, 1996)
    Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive ...