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Search: "Granger, C. W. J."
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C. W. J. Granger
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Granger, C. W. J.
23
Granger, C W J
6
Engle, R. F.
3
GRANGER, C. W. J.
2
Granger, C.W.J.
2
Hylleberg, S.
2
Newbold, P.
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Timmermann, Allan
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Watson, Mark W.
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DING, Zhuanxin
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1
Elliot, G.
1
Elliott, Graham
1
Engle, Robert F.
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Granger, C. W. J
1
Hallman, J. J.
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ECONIS (ZBW)
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Trygve Haavelmo, James J. Heckman, Daniel L. McFadden, Robert F. Engle and Clive W.J. Granger
Mulhearn, Chris
(
contributor
);
Vane, Howard R.
(
contributor
)
-
2009
This groundbreaking series brings together a critical selection of key papers by the Nobel Memorial Laureates in Economics that have helped shape the development and present state of economics. The editors have organised this comprehensive series by theme and each volume focuses on those...
Persistent link: https://www.econbiz.de/10011852254
Saved in:
2
Nobelpreis in Ökonomie 2003 an Robert Engle und Clive Granger
Kaehler, Jürgen
- In:
Wirtschaftswissenschaftliches Studium : WiSt ; …
33
(
2004
)
1
,
pp. 39-46
Persistent link: https://www.econbiz.de/10001874946
Saved in:
3
Consideration of trends in time series
White, Halbert
;
Granger, C. W. J.
- In:
Journal of time series econometrics
3
(
2011
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10009623246
Saved in:
4
Non-linear models : where do we go next : time varying parameter models?
Granger, C. W. J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
12
(
2008
)
3
,
pp. 1-9
Persistent link: https://www.econbiz.de/10009513629
Saved in:
5
Handbook of economic forecasting ; 1
Elliott, Graham
(
contributor
);
Granger, C. W. J.
(
contributor
)
-
2006
Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models,...
Persistent link: https://www.econbiz.de/10012254692
Saved in:
6
Efficient market hypothesis and forecasting : a political economy approach
Timmermann, Allan
;
Granger, C. W. J.
-
2002
Persistent link: https://www.econbiz.de/10013424161
Saved in:
7
Forecasting with breaks
Clements, Michael P.
;
Hendry, David F.
;
Elliot, G.
; …
-
2006
. (2006). Forecasting with breaks. In: Elliot, G.,
Granger
,
C
.
W
.
J
. & Timmermann, A. (eds.), Handbook of Economic Forecasting …
Persistent link: https://www.econbiz.de/10009441390
Saved in:
8
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
Silvapulle, P.
;
Granger, C. W. J.
- In:
Quantitative Finance
1
(
2001
)
5
,
pp. 542-551
This paper, using daily returns on 30 Dow Jones Industrial stocks for the period 1991-1999, investigates the possibility of portfolio diversification when there are negative large movements in the stock returns (i.e. when the market is bearish). We estimate the quantiles of stock return...
Persistent link: https://www.econbiz.de/10009208221
Saved in:
9
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence
Granger, C. W. J.
;
Siklos, Pierre L.
- In:
Journal of Econometrics
66
(
1995
)
1-2
,
pp. 357-369
Persistent link: https://www.econbiz.de/10005192812
Saved in:
10
Some Properties of Absolute Return: An Alternative Measure of Risk
GRANGER, C. W. J.
;
DING, Zhuanxin
- In:
Annales d'Economie et de Statistique
(
1995
)
40
,
pp. 67-91
The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of ?. Using a long daily stock index series it is found that the...
Persistent link: https://www.econbiz.de/10005065822
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