Eric Ghysels


Eric Ghysels 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. He is currently the Faculty Research Director of the
of the .

Biography

Ghysels was born in Brussels, Belgium, as the son of Pierre Ghysels and Anna Janssens. He completed his undergraduate studies in economics 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. In 2019 he was awarded an honorary doctorate by .
Ghysels is a fellow of the American Statistical Association and co-founded with Robert Engle the . He was also editor of the . He is currently co-editor of the .
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.

Research

Ghysels' most recent research focuses on Mixed data sampling 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.