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Eric Ghysels

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Eric Ghysels
Born1956 (age 67–68)
Brussels, Belgium
SpouseMarianna Matinyan
Academic career
InstitutionUniversity of North Carolina
North Carolina State University
Université catholique de Louvain
FieldFinance
Financial econometrics
Machine Learning
Econometrics
Alma materVrije Universiteit Brussel
Northwestern University
ContributionsMixed-data sampling
Seasonality
AwardsDoctor Honoris Causa
University of Liège
Fulbright Fellow, Belgian American Educational Foundation
Inaugural Emil Gumbel Lecture, Heidelberg University
Fellow American Statistical Association
Fellow, Society for Financial Econometrics
Websiteeghysels.web.unc.edu

Eric Ghysels (born 1956 in Brussels) is a Belgian economist with particular interest in finance and time series econometrics who works in the field of financial econometrics.[1] He is the Edward M. Bernstein Distinguished Professor of Economics at the University of North Carolina [2] and a Professor of Finance at the Kenan-Flagler Business School.[3] He is also the Faculty Research Director of the Rethinc.Labs and the Frank Hawkins Kenan Institute of Private Enterprise.[4]

Early life and education

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 Belgian American Educational Foundation in 1980, and finished his PhD at the Kellogg Graduate School of Management of Northwestern University in 1984. In 2019 he was awarded an honorary doctorate (Doctor Honoris Causa) by HEC University of Liège.[5]


Career

After graduation from the Kellogg School of Management at Northwestern University he took a faculty position at the Université de Montréal in the Departmnent of Economics.[6] In 1996 he became a Professor of Economics[7] at Penn State University and joined the University of North Carolina at Chapel Hill in 2000. He is currently the Edward M. Bernstein Distinguished Professor of Economics at UNC Chapel Hill and a Professor of Finance and the Kenan-Flagler Business School. Since 2018 his the Faculty Research Director, Rethinc.Labs, at the Kenan Institute for Private Enterprise at UNC Chapel Hill. Since 2020 he is also affiliated with the Department of Electrical and Computer Engineering at the North Carolina State University.[8]

Ghysels is a fellow of the American Statistical Association and co-founded with Robert Engle the Society for Financial Econometrics (SoFiE).[9][10] He was editor of the Journal of Business and Economic Statistics (with Alastair R. Hall, 2001-2004) editor of the Journal of Financial Econometrics (2012-2015).[11] He is currently co-editor of the Journal of Applied Econometrics.[12]

In 2008-2009 Ghysels was resident scholar at the Federal Reserve Bank of New York, in 2011 Duisenberg Fellow at the European Central Bank 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.


Books

In 2001, he published a monograph on The Econometric Analysis of Seasonal Time Series together with Denise R. Osborn.[13] In 2018, he published a textbook entitled Applied Economic Forecasting using Time Series Methods together with Massimiliano Mercellino.[14]


Honors and awards

His honors and awards include:


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, machine learning and AI applications in finance, quantum computing applications in finance, 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.

References

  1. ^ Eric Ghysels publications indexed by Google Scholar Edit this at Wikidata
  2. ^ "Eric Ghysels, Department of Economics at UNC Chapel Hill".
  3. ^ "Eric Ghysels, Department of Finance, Kenan-Flagler Business School, UNC Chapel Hill".
  4. ^ "Rethinc.Labs at the Frank Hawkins Kenan Institute of Private Enterprise".
  5. ^ "Docteurs honoris causa facultaires 2019".
  6. ^ "Département de Sciences Economiques, Université de Montréal".
  7. ^ "Department of Economics, Penn State University".
  8. ^ "Supporting Faculty, ECE NCSU".
  9. ^ "ET Interview: Eric Ghysels" (PDF).
  10. ^ "The Society for Financial Econometrics (SoFiE)".
  11. ^ "Journal of Financial Econometrics (JFEC)".
  12. ^ "Editorial Board, Journal of Applied Econometrics".
  13. ^ Eric Ghysels and Denise Osborn (2012). The Econometric Analysis of Seasonal Time Series. Cambridge University Press. ISBN 9780521562607.
  14. ^ Eric Ghysels and Massimiliano Marcellino (2018). Applied Economic Forecasting using Time Series Methods. Oxford University Press. ISBN 9780190622039.
  15. ^ "Fellows ASA".
  16. ^ "Who's Who in Economics, Fourth Edition". ISBN 978 1 84064 992 5.
  17. ^ "Resident Scholar FRBNY".
  18. ^ "Fernand Braudel Fellows".
  19. ^ "Wim Duisenberg Fellows ECB".
  20. ^ https://sofie.stern.nyu.edu/node/520. {{cite web}}: Missing or empty |title= (help)
  21. ^ "CORE Lecture Series".
  22. ^ "Fellows IAAE".

External links

Retrieved from "https://en.wikipedia.org/w/index.php?title=Eric_Ghysels&oldid=1017144331"