World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
76
Citations
27444
World Ranking
335
National Ranking
240

Research.com Recognitions

  • 2001 - Fellow of the American Statistical Association (ASA)

Overview

Eric Ghysels is affiliated with the University of North Carolina at Chapel Hill in the United States. Their research primarily focuses on the fields of economics, econometrics, and finance, with a total of 67 publications within these areas. Their work spans several subfields, including finance, economics and econometrics, general economics, econometrics and finance, statistics and probability, and artificial intelligence.

The main topics covered by Eric Ghysels' research include financial markets and investment strategies, monetary policy and economic impact, complex systems and time series analysis, stochastic processes and financial applications, statistical methods and inference, financial risk and volatility modeling, and market dynamics and volatility.

They have contributed extensively to several frequent publication venues such as the SSRN Electronic Journal, arXiv (Cornell University), Journal of Econometrics, UNC Libraries, and the Journal of Financial Econometrics.

Eric Ghysels has collaborated with a number of frequent co-authors, including:

  • Andrii Babii
  • Jonas Striaukas
  • Jack Morgan
  • Ryan T. Ball
  • Mirco Rubin

Recent notable papers authored or co-authored by Eric Ghysels include:

  • Artificial Intelligence Alter Egos: Who might benefit from robo-investing? (2020, Journal of Empirical Finance)
  • Liquidity and volatility in the U.S. Treasury market (2020, Journal of Econometrics)
  • Machine Learning Time Series Regressions With an Application to Nowcasting (2021, Journal of Business and Economic Statistics)
  • Machine learning panel data regressions with heavy-tailed dependent data: Theory and application (2022, Journal of Econometrics)
  • Nowcasting Net Asset Values: The Case of Private Equity (2022, Review of Financial Studies)

In recognition of their contributions, Eric Ghysels was named a Fellow of the American Statistical Association (ASA) in 2001.

Best Publications

  • 5 Stochastic volatility

    Eric Ghysels;Andrew C. Harvey;Eric Renault

  • There is a risk-return trade-off after all ☆

    Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov

  • MIDAS regressions: Further results and new directions

    Eric Ghysels;Arthur Sinko;Rossen Valkanov

  • Stock Market Volatility and Macroeconomic Fundamentals

    Robert F. Engle;Eric Ghysels;Bumjean Sohn

  • Alternative models for stock price dynamics

    Mikhail Chernov;A. Ronald Gallant;Eric Ghysels;George Tauchen

  • Predicting volatility: getting the most out of return data sampled at different frequencies

    Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov

  • Ex Ante Skewness and Expected Stock Returns

    Jennifer Conrad;Robert F. Dittmar;Eric Ghysels

  • The MIDAS Touch: Mixed Data Sampling Regression Models

    Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov

  • A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

    Mikhail Chernov;Eric Ghysels;Eric Ghysels

  • On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?

    Eric Ghysels

  • The impact of risk and uncertainty on expected returns.

    Evan W. Anderson;Eric Ghysels;Eric Ghysels;Jennifer L. Juergens

  • Periodic Autoregressive Conditional Heteroscedasticity

    Tim Bollerslev;Tim Bollerslev;Eric Ghysels

  • Detecting multiple breaks in financial market volatility dynamics

    Elena Andreou;Eric Ghysels

  • Why Do Absolute Returns Predict Volatility So Well

    Lars Forsberg;Eric Ghysels

  • Regression models with mixed sampling frequencies

    Elena Andreou;Eric Ghysels;Andros Kourtellos

  • A component model for dynamic correlations

    Riccardo Colacito;Robert F. Engle;Eric Ghysels

  • The Econometric Analysis of Seasonal Time Series

    Eric Ghysels;Denise Osborn

  • Should Macroeconomic Forecasters Use Daily Financial Data and How

    Elena Andreou;Eric Ghysels;Andros Kourtellos

  • Macroeconomics and the reality of mixed frequency data

    Eric Ghysels;Eric Ghysels

  • Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation

    Eric Ghysels;Hahn S. Lee;Jaesum Noh

  • There is a Risk-Return Tradeoff after All

    Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Eric Ghysels;Rossen I. Valkanov

Frequent Co-Authors

Norman R. Swanson
Norman R. Swanson Rutgers, The State University of New Jersey
Mark W. Watson
Mark W. Watson Princeton University
Clive W. J. Granger
Clive W. J. Granger University of California, San Diego
Rossen I. Valkanov
Rossen I. Valkanov University of California, San Diego
Denise R. Osborn
Denise R. Osborn University of Manchester
Eric Renault
Eric Renault University of Warwick
René Garcia
René Garcia University of Montreal
Mikhail Chernov
Mikhail Chernov University of California, Los Angeles
Robert F. Engle
Robert F. Engle New York University
Christian Gourieroux
Christian Gourieroux Toulouse School of Economics

If you think any of the details on this page are incorrect, let us know.

Report an issue

We appreciate your kind effort to assist us to improve this page, it would be helpful providing us with as much detail as possible in the text box below:

Related Online Degrees & Career Pathways

Advancing your career in economics and finance can be made easier with accessible online degree options tailored to various interests and goals. Students looking to build expertise in data analysis and interpretation may consider a business analytics and intelligence online masters program, which equips graduates with critical skills for decision-making roles across finance and business sectors.

For those seeking flexibility and broader management knowledge without standardized test hurdles, there are several flexible mba no gmat programs available online. These options remove GMAT or GRE requirements, helping professionals balance their studies with work commitments.

Controlling educational costs is another priority. Completing a quality MBA can be affordable, especially with programs recognized as the best mba under 30k, providing valuable credentials without overwhelming student debt.

Additionally, for those interested in combining economics, finance, and digital marketing, pursuing an online social media marketing degree program can open doors to careers in digital strategy, brand management, and communications.

Best Scientists Citing Eric Ghysels

Trending Scientists

Recently Published Articles