Publication Type
Working Paper
Version
publishedVersion
Publication Date
10-2010
Abstract
Eric Ghysels is the Bernstein Distinguished Professor of Economics and Professor of Finance at University of North Carolina at Chapel Hill. In 2008, Eric Ghysels and Robert Engle (2003 Nobel co-Laureate in Economic Science with Clive Granger) founded the Society for Financial Econometrics (SoFiE), establishing a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. In June 2010, Eric visited the Centre for Financial Econometrics (CoFiE) and the Sim Kee Boon Institute (SKBI) of Financial Economics at Singapore Management University. During his visit we conversed with him about SoFiE and the growing toolroom of financial econometric research, what it has to offer industry practice, and how it might assist central banks and regulators in their daunting task of surveillance of financial markets following the turbulence of the last three years.
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
12
Publisher
SMU Economics and Statistics Working Paper Series, No. 15-2010
City or Country
Singapore
Citation
PHILLIPS, Peter C. B. and YU, Jun.
A Conversation with Eric Ghysels. (2010). 1-12.
Available at: https://ink.library.smu.edu.sg/soe_research/1234
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in Econometric Theory, 2012, https://doi.org/10.1017/S026646661100017X