Mixed Frequencies

 

Ric in 06

Short Bio

Eric Ghysels is the Bernstein Distinguished Professor of Economics at the University of North Carolina - Chapel Hill and Professor of Finance at the Kenan-Flagler Business School. His main research interests are time series econometrics and finance. He obtained his Ph.D. from the Kellogg Graduate School of Management at Northwestern University. He has been a visiting professor or scholar at several major U.S., European and Asian universities. He gave invited lectures, including at the World Congress of the Econometric Society, the American Statistical Association Meetings, several (EC)2 Conferences, among many others. He serves on the editorial boards of several academic journals and was co-editor of  the Journal of Business and Economic Statistics (2000-2003) and is currently co-editor of the Journal of Financial Econometrics. He has published in the leading economics, finance and statistics journals and has published several books. He is a fellow of the American Statistical Association and The Journal of Econometrics. He is also the Founding Co-President of the Society for Financial Econometrics (SoFiE).
 
 

His most recent research focuses on MIDAS (meaning Mi(xed) Da(ta) S(ampling)) regression models and related econometric methods. Examples include MIDAS regression models involving data sampled at different frequencies which are of general interest. In the document link below Matlab and R codes for running such regressions is described based on a framework put forward in recent work by Ghysels, Santa-Clara, and Valkanov (2002), Ghysels, Santa- Clara, and Valkanov (2006) and Andreou, Ghysels, and Kourtellos (2008a), among others (click also 'RESEARCH' - 'Working Papers' for further details).
 

User's Guide Matlab Toolbox for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models   

Matlab Toolbox link Matlab Central       


User's Guide R Toolbox (Midasr) for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models   

R Toolbox (Midasr) for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models   


 
 

Contact information

Department of Economics

University of North Carolina - Chapel Hill, Gardner Hall, CB 3305 Chapel Hill, NC 27599-3305 Phone: (919) 966-5325.

Department of Finance

University of North Carolina - Chapel Hill, Kenan-Flagler Business School, Campus Box 3490, McColl Building, Chapel Hill, NC 27599-3490, Phone: (919) 962-9810

Email: eghysels@unc.edu

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