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Zeitabhängige Volatilität und instationäre Zeitreihen : zum Nobelpreis an Robert F. Engle und Clive W. J. Granger

Hassler, Uwe - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 83 (2003) 12, pp. 811-816

Persistent link: https://www.econbiz.de/10001858207

Long-Run Economic Relationships: Readings in Cointegration

Engle, R. F. (contributor); Granger, C. W. J. (contributor) - Oxford University Press

This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was...

Persistent link: https://www.econbiz.de/10008920806

The Japanese consumption function

Engle, R. F.; Granger, C. W. J.; Hylleberg, S.; Lee, H. S. - In: Journal of Econometrics 55 (1993) 1-2, pp. 275-298

Persistent link: https://www.econbiz.de/10005285503

Seasonal integration and cointegration

Hylleberg, S.; Engle, R. F.; Granger, C. W. J.; Yoo, B. S. - In: Journal of Econometrics 44 (1990) 1-2, pp. 215-238

Persistent link: https://www.econbiz.de/10005203969

Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting

Engle, R. F.; Granger, C. W. J.; Hallman, J. J. - In: Journal of Econometrics 40 (1989) 1, pp. 45-62

Persistent link: https://www.econbiz.de/10005052812

A long memory property of stock market returns and a new model

Ding, Zhuanxin; Granger, C. W. J.; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841643

Wholesale and retail prices : bivariate time-series modeling with forecastable error variances

Granger, C. W. J. - In: Model reliability, (pp. 1-17). 1986

Persistent link: https://www.econbiz.de/10001274970

Co-integration and error correction : representation, estimation, and testing

Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 2, pp. 251-275

Persistent link: https://www.econbiz.de/10001021003

A long memory property of stock market returns and a new model

Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10001146683

Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger

Engle, Robert F. (ed.); Granger, C. W. J. (honouree); … - 1999

Persistent link: https://www.econbiz.de/10013479794

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