Similar Search Results - EconBiz

The distributional properties of shocks to a fractional I (d) process having a marginal exponential distribution

Granger, C. W. J.; Jeon, Yongil - In: Applied financial economics 11 (2001) 5, pp. 469-474

Persistent link: https://www.econbiz.de/10001621591

Structurally-induced volatility clustering

Granger, C. W. J.; Machina, Mark J. - 2002

Persistent link: https://www.econbiz.de/10001711705

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

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

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

Forecasting volatility in financial markets : a review

Poon, Ser-Huang; Granger, C. W. J. - In: Journal of economic literature 41 (2003) 2, pp. 478-539

Persistent link: https://www.econbiz.de/10001783912

The correlogram of a long memory process plus a simple noise

Granger, C. W. J.; Mármol, Francesc - 1997

Persistent link: https://www.econbiz.de/10000978188

Measuring lag structure in forecasting models : the introduction of time distance

Granger, C. W. J.; Jeon, Yongil - 1997

Persistent link: https://www.econbiz.de/10000979041

Forecasting from non-linear models in practice

Lin, Jin-lung - In: Journal of forecasting 13 (1994) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001154805

The impact of the use of forecasts in information sets

Gallo, Giampiero M.; Granger, C. W. J.; Jeon, Yongil - 1999

Persistent link: https://www.econbiz.de/10001429362

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