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A simple nonlinear time series model with misleading linear properties
Granger, C. W. J.; Teräsvirta, Timo - In: Economics letters 62 (1999) 2, pp. 161-165
Persistent link: https://www.econbiz.de/10001255471
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Separation in cointegrated systems, long memory components and common stochastic trends
Granger, C. W. J.; Haldrup, Niels - 1995
Persistent link: https://www.econbiz.de/10000930724
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Varieties of long memory models
Granger, C. W. J.; Ding, Zhuanxin - 1993
Persistent link: https://www.econbiz.de/10000862860
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Aspects of modelling nonlinear time series
Teräsvirta, Timo; Tjostheim, Dag; Granger, C. W. J. - 1993
Persistent link: https://www.econbiz.de/10000868348
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Common factors in conditional distributions
Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - 2002
Persistent link: https://www.econbiz.de/10001738076
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Common factors in conditional distributions for bivariate time series
Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - 2003
Persistent link: https://www.econbiz.de/10001778573
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Common factors in conditional distributions
Granger, C. W. J. (contributor);  … - 2002 - [Elektronische Ressource]
The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...
Persistent link: https://www.econbiz.de/10001714617
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Regime-sensitive cointegration with an application to interest-rate parity
Siklos, Pierre L.; Granger, C. W. J. - In: Macroeconomic dynamics 1 (1997) 3, pp. 640-657
Persistent link: https://www.econbiz.de/10001630084
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Essays in econometrics : collected papers of Clive W.J. Granger
Ghysels, Eric (contributor); Granger, C. W. J. (honouree) - 2001
Persistent link: https://www.econbiz.de/10001568987
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Is seasonal adjustment a linear or nonlinear data filtering process?
Ghysels, Eric; Granger, C. W. J.; Siklos, Pierre L. - 1995
Persistent link: https://www.econbiz.de/10001512556