Eric Ghysels

Eric Ghysels
Born 1956
Brussels, Belgium
Nationality  Belgium
Education Ph.D. from Kellogg Graduate School of Management
Occupation Edward M. Bernstein Distinguished Professor of Economics and a Professor of Finance

Eric Ghysels (born in 1956 in Brussels) is a Belgian economist with particular interest in finance and time series econometrics who works in the field of financial econometrics, and is currently the Edward M. Bernstein Distinguished Professor of Economics at the University of North Carolina and a Professor of Finance at the Kenan-Flagler Business School .

Biography

Ghysels was born in Brussels, Belgium, as the son of Pierre Ghysels (a civil servant) and Anna Janssens (a homemaker). He completed his undergraduate studies in economics (Supra Cum Laude) at the Vrije Universiteit Brussel in 1979. He obtained a Fulbright Fellowship from the Hoover Foundation, Belgian American Educational Foundation in 1980, and finished his PhD at the Kellogg Graduate School of Management of Northwestern University in 1984.

Ghysels is a fellow of the American Statistical Association and co-founded with Robert Engle the Society for Financial Econometrics (SoFiE). He is also co-editor of the Journal of Financial Econometrics.

In 2008-2009 Ghysels was resident scholar at the Federal Reserve Bank of New York, and has since been a regular visitor of the bank as well as several other central bank institutions around the world working mostly on topics pertaining to Mixed data sampling regression models and filtering methods.

Ghysels is also a research fellow at CIRANO, Extramural Fellow at CentER - Tilburg University, research affiliate at the Volatility Institute - New York University Stern School of Business and in 2011 Fernand Braudel Senior Fellow at European University Institute, Florence, Italy.

Research

Ghysels' most recent research focuses on Mixed data sampling (MIDAS) regression models and filtering methods with applications in finance and other fields. He has also worked on diverse topics such as seasonality in economic times series, Generalized Method of Moment estimation and testing of asset pricing models, time varying betas, estimation of risk neutral and objective probability measures for the purpose of option pricing, among many other topics.

Mixed data sampling or MIDAS regressions are econometric regression models can be viewed in some cases as substitutes for the Kalman filter when applied in the context of mixed frequency data.

Publications

Recent work on Mixed data sampling (MIDAS) includes:

He has also published several books, including a monograph with Denise Osborn (University of Manchester) on the Econometric Analysis of Seasonal Time Series.

Representative set of other publications:

External links

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