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Citations of
Clive W. J. Granger

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Clive Granger, 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series 2004-02, Department of Economics, UC San Diego. [Downloadable!]
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    1. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," UNU-MERIT Working Paper Series 012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
    2. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," UNU-MERIT Working Paper Series 016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]

  2. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
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    1. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    2. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
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    3. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics. [Downloadable!]
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    4. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90. [Downloadable!]
    5. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics. [Downloadable!]
    6. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation, Yale University, revised Nov 2006. [Downloadable!]
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    7. Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    8. C. Stéphan & S. Skander, 2003. "Statistical analysis of financial time series under the assuption of local stationarity," THEMA Working Papers 2003-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    9. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics 0516, Faculty of Economics, University of Cambridge. [Downloadable!]
    10. Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, EconWPA. [Downloadable!]
    11. Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics. [Downloadable!]
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    12. Jörg Polzehl & Vladimir Spokoiny & Catalin Starica, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers SFB649DP2006-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  3. Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group. [Downloadable!] (restricted)
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    1. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
    2. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336_v1, HAL. [Downloadable!]
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    3. Dominique Guegan & Cyril Caillault, 2008. "Forecasting VaR and Expected shortfall using dynamical Systems : a risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185374_v1, HAL. [Downloadable!]
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    4. Dominique Guegan & Jing Zhang, 2009. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368334_v1, HAL. [Downloadable!]
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    5. Param Silvapulle & Xibin Zhang, 2006. "Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures," Monash Econometrics and Business Statistics Working Papers 9/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    6. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]

  4. Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics. [Downloadable!]
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    1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada. [Downloadable!]
    2. Frédérick Demers & David Dupuis, 2005. "Forecasting Canadian GDP: Region-Specific versus Countrywide Information," Working Papers 05-31, Bank of Canada. [Downloadable!]
    3. Kamarianakis, Yiannis & Prastacos, Poulicos, 2002. "Space-time modeling of traffic flow," ERSA conference papers ersa02p141, European Regional Science Association. [Downloadable!]
    4. Arnab Bhattacharjee & Chris Jensen-Butler, 2005. "Estimation of Spatial Weights Matrix in a Spatial Error Model, with an Application to Diffusion in Housing Demand," CRIEFF Discussion Papers 0519, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    5. Paelinck, J. & Mur, J. & Trívez, J., 2004. "Econometría espacial: más luces que sombras," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-19, Diciembre. [Downloadable!] (restricted)
    6. Juan de Dios Tena & Antoni Espasa & Gabriel Pino, 2008. "Forecasting Spanish inflation using information from different sectors and geographical areas," Statistics and Econometrics Working Papers ws080101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    7. Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
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    8. Rubén Hernández-Murillo & Michael T. Owyang, 2004. "The information content of regional employment data for forecasting aggregate conditions," Working Papers 2004-005, Federal Reserve Bank of St. Louis. [Downloadable!]
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    9. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria. [Downloadable!]
    10. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]
    11. Youri Davydov & Vygantas Paulauskas, 2008. "On estimation of parameters for spatial autoregressive model," Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 237-247, October. [Downloadable!] (restricted)
    12. Maximilian Auffhammer & Richard Carson, 2007. "Forecasting the Path of China's CO2 Emissions Using Province Level Information," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series 971, Department of Agricultural & Resource Economics, UC Berkeley. [Downloadable!]
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    13. Trívez Bielsa, F.J., 2004. "Economía espacial: Una disciplina en auge," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-18, Diciembre. [Downloadable!] (restricted)
    14. Arnab Bhattacharjee & Chris Jensen-Butler, 2005. "A Model of Regional Housing Markets in England and Wales," CRIEFF Discussion Papers 0508, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    15. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
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    16. Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
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  5. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    1. Park, Cheol-Ho & Irwin, Scott H., 2005. "The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test," AgMAS Project Research Reports 14771, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
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    2. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2008. "How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37620, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
    3. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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  6. Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society. [Downloadable!]
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    1. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155. [Downloadable!]
    2. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    3. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Cahiers du Département d'Econométrie 2002.03, Département d'Econométrie, Université de Genève. [Downloadable!]

  7. Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
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    1. Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Working Papers 0226, Department of Economics, Vanderbilt University, revised Oct 2004. [Downloadable!]
    2. Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2002. "Efficient Estimation of Semiparametric Multivariate Copula Models," Working Papers 0420, Department of Economics, Vanderbilt University, revised Sep 2004. [Downloadable!]
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    3. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society. [Downloadable!]
    4. Manner, Hans, 2007. "Estimation and Model Selection of Copulas with an Application to Exchange Rates," Research Memoranda 056, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    5. Jesus Gonzalo & Jose Olmo, 2005. "Contagion Versus Flight To Quality In Financial Markets," Economics Working Papers we051810, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    6. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memoranda 052, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    7. Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Working Papers 0419, Department of Economics, Vanderbilt University, revised Sep 2004. [Downloadable!]

  8. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001. "Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets," Econometrics Working Papers Archive wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
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    1. Cameron A. Shelton, 2007. "The Information Content of Elections and Varieties of the Partisan Political Business Cycle," Wesleyan Economics Working Papers 2007-003, Wesleyan University, Department of Economics. [Downloadable!]
    2. Jonas Dovern & Ulrich Fritsche, 2008. "Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts," Discussion Papers of DIW Berlin 787, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    3. Jordi Pons-Novell, 2004. "Behavioural biases among interest rate forecasters?," Applied Economics Letters, Taylor and Francis Journals, vol. 11(5), pages 319-321, April. [Downloadable!] (restricted)
    4. Michael Groemling, 2005. "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers 123, University of Goettingen, Department of Economics. [Downloadable!]
    5. Stefan Günnel & Karl-Heinz Tödter, 2009. "Does Benford’s Law hold in economic research and forecasting?," Empirica, Springer, vol. 36(3), pages 273-292, August. [Downloadable!] (restricted)
    6. Kajal Lahiri & Gultekin Isiklar & Prakash Loungani, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 703-725. [Downloadable!]

  9. Clive Granger & GAWON YOON, 2001. "Self-Generating Variables in a Cointegrated VAR Framework," University of California at San Diego, Economics Working Paper Series 2001-04, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Dept. SEGeS. [Downloadable!]
    2. Cubadda, Gianluca, 2004. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp04022, University of Molise, Dept. SEGeS. [Downloadable!]
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    3. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]

  10. Ingolf Dittmann & Clive W.J. Granger, 2000. "Properties of Nonlinear Transformations of Fractionally Integrated Processes," University of California at San Diego, Economics Working Paper Series 2000-07, Department of Economics, UC San Diego. [Downloadable!]
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    1. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics. [Downloadable!]
    2. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers 04-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    4. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April. [Downloadable!] (restricted)
    5. Marco Avarucci & Domenico Marinucci, 2005. "Polynomial Cointegration Among Stationary Processes With Long Memory," Economics Working Papers we055123, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    6. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
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  11. Clive W.J. Granger & Chor-yiu Sin, 1999. "Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 99-12, Department of Economics, UC San Diego. [Downloadable!]
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    1. Helinä Laakkonen, 2007. "The Impact of Macroeconomic News on Exchange Rate Volatility," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 23-40, Spring. [Downloadable!]
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    2. Jeannette H.C. Woerner, 2002. "Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models," OFRC Working Papers Series 2002mf05, Oxford Financial Research Centre. [Downloadable!]
    3. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril. [Downloadable!] (restricted)
    4. Jeannette H.C. Woerner, 2003. "Estimation of Integrated Volatility in Stochastic Volatility Models," OFRC Working Papers Series 2003mf05, Oxford Financial Research Centre. [Downloadable!]
    5. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge. [Downloadable!]
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    6. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method," Research Discussion Papers 23/2007, Bank of Finland. [Downloadable!]

  12. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
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    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    2. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Ibmec São Paulo. [Downloadable!]
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    3. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
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    4. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    5. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
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    6. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
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    7. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
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    8. Christos Christodoulou-Volos & Fotios M. Siokis, 2006. "Long range dependence in stock market returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(18), pages 1331-1338, December. [Downloadable!] (restricted)
    9. Willert, Juliane, 2009. "Mean Shift detection under long-range dependencies with ART," MPRA Paper 17874, University Library of Munich, Germany. [Downloadable!]
    10. Helena Veiga, 2006. "Are Feedback Factors Important In Modelling Financial Data?," Statistics and Econometrics Working Papers ws060101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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    11. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 375-383, March. [Downloadable!] (restricted)
    12. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(4), pages 461-471, December. [Downloadable!] (restricted)
    13. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    14. Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, Bank of Finland. [Downloadable!]
    15. Michel Beine & Sebastien Laurent, 2000. "Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates," Econometric Society World Congress 2000 Contributed Papers 0312, Econometric Society. [Downloadable!]
    16. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
    17. Luis Alberiko Gil-Alana, . "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    18. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269_v1, HAL. [Downloadable!]
    19. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    20. Ivan Paya & David A. Peel, 2005. "A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994," Working Papers. Serie AD 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    21. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]
    22. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO. [Downloadable!]
    23. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    24. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 601-616. [Downloadable!]
    25. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    26. Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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    27. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
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    28. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    29. Luis A. Gil-Alana, 2003. "Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]

  13. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]

    Cited by:

    1. Laura Bojke & Karl Claxton & Stephen Palmer & Mark Sculpher, 2006. "Defining and characterising structural uncertainty in decision analytic models," Working Papers 009cherp, Centre for Health Economics, University of York. [Downloadable!]
    2. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0617, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
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    3. Vladislav Kargin, 2003. "Value Investing in Emerging Markets: Risks and Benefits," International Finance 0309005, EconWPA. [Downloadable!]
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    4. Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004 101, Money Macro and Finance Research Group. [Downloadable!]
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    5. David Hendry & Michael Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 078, University of Oxford, Department of Economics. [Downloadable!]
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    6. Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    7. Anthony Garratt & Shaun P Vahey, 2005. "UK Real-Time Macro Data Characteristics," Birkbeck Working Papers in Economics and Finance 0502, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
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    8. Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics. [Downloadable!]
    9. Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    10. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society. [Downloadable!]
      Other versions:
    11. Danilov, D. & Magnus, J.R., 2002. "Forecast accuracy after pretesting with an application to the stock market," Discussion Paper 76, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    12. Pesaran, M. Hashem & Timmermann, Allan, 2004. "Real Time Econometrics," IZA Discussion Papers 1108, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    13. May, Gary J. & Lawrence, John D., 2002. "A Decision Model to Assess Fed Cattle Price Risk," Staff General Research Papers 2100, Iowa State University, Department of Economics. [Downloadable!]
    14. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    15. Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    16. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
    17. Clive G. Bowsher & Roland Meeks, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
    18. Kajal Lahiri & Wenxiong Yao & Peg Young, 2003. "Cycles in the Transportation Sector and the Aggregate Economy," Discussion Papers 03-14, University at Albany, SUNY, Department of Economics. [Downloadable!]
    19. Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers 13/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    20. Anthony Garratt & Kevin Lee, 2006. "Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan," Birkbeck Working Papers in Economics and Finance 0616, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    21. Carlos Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," University of California at San Diego, Economics Working Paper Series 2005-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    22. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society. [Downloadable!]
    23. Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]
    24. Hashem Pesaran & Allan Timmermann, 1999. "Model Instability and Choice of Observation Window," University of California at San Diego, Economics Working Paper Series 1999-19, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:

  14. Clive W.J. Granger & Bwo-Nung Huang & Chin Wei Yang, 1998. "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu," University of California at San Diego, Economics Working Paper Series 98-09, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Azman-Saini, W.N.W. & Habibullah, M.S. & Law, Siong Hook & Dayang-Afizzah, A.M., 2006. "Stock prices, exchange rates and causality in Malaysia: a note," MPRA Paper 656, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    2. Huzaimi Hussain & Venus Khim-Sen Liew, 2004. "Causal Relationships Between Exchange Rates And Stock Prices In Malaysia And Thailand During The 1997 Currency Crisis Turmoil," International Finance 0405015, EconWPA. [Downloadable!]
    3. Mete Feridun, 2006. "ISE and Exchange Market Pressure," Discussion Paper Series 2006_22, Department of Economics, Loughborough University, revised Dec 2006. [Downloadable!]
    4. R. Smyth & M. Nandha, 2003. "Bivariate causality between exchange rates and stock prices in South Asia," Applied Economics Letters, Taylor and Francis Journals, vol. 10(11), pages 699-704, September. [Downloadable!] (restricted)
    5. Wong Keung-Wing & Habibullah Khan & Jun Du, 2006. "Money, Interest Rate and Stock Prices: New Evidence from Singapore and The United States," Departmental Working Papers wp0601, National University of Singapore, Department of Economics. [Downloadable!]
    6. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
    7. Abdul Qayyum & A. R. Kemal, 2006. "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," PIDE-Working Papers 2006:7, Pakistan Institute of Development Economics. [Downloadable!]
    8. Jan P.A.M. Jacobs & Gerard H. Kuper & Lestano, 2004. "Currency crises in Asia: A multivariate logit approach," International Finance 0409005, EconWPA. [Downloadable!]
      Other versions:
    9. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    10. Wing-Keung Wong & Aman Agarwal & Jun Du, 2005. "Financial Integration for India Stock Market, a Fractional Cointegration Approach," Departmental Working Papers wp0501, National University of Singapore, Department of Economics. [Downloadable!]
    11. Simon J. Broome & Morley, B., 2003. "Stock Prices as a leading indicator of the East Asian Financial Crisis," Economics, Finance and Accounting Department Working Paper Series n1311103, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
      Other versions:
    12. Heng Chen & Bento J. Lobo & Wing-Keung Wong, 2006. "Links between the Indian, U.S. and Chinese Stock Markets," Departmental Working Papers wp0602, National University of Singapore, Department of Economics. [Downloadable!]
    13. Stavarek, Daniel, 2004. "Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions," MPRA Paper 7297, University Library of Munich, Germany. [Downloadable!]
    14. Daniel Stavarek, 2004. "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance 0406006, EconWPA. [Downloadable!]
    15. Chien-Liang Chiu & Yen-Hsien Lee, 2007. "The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan," Economics Bulletin, Economics Bulletin, vol. 3(22), pages 1-10. [Downloadable!]
    16. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 539-546, May. [Downloadable!] (restricted)
    17. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    18. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119. [Downloadable!]
    19. Naeem Muhammad & Abdul Rasheed, 2002. "Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(4), pages 535-550. [Downloadable!]

  15. Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
    Published as:

    Cited by:

    1. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008. "Nonlinearity and Temporal Dependence," Working Papers 48, Yale University, Department of Economics. [Downloadable!]
      Other versions:
    2. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Ibmec São Paulo. [Downloadable!]
      Other versions:
    3. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
    4. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    5. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
      Other versions:
    6. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-425, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    7. David Peel & David Byers & Dennis Thomas, 2005. "Habit, aggregation and long memory: evidence from television audience data," Working Papers 002500, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    8. Silvestro Di Sanzo, 2007. "Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach," Working Papers 2007_03, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    9. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    10. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    11. Yi-Ting Chen, 2002. "On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study," Economics Bulletin, Economics Bulletin, vol. 3(17), pages 1-10. [Downloadable!]
    12. Alfarano, Simone & Lux, Thomas, 2005. "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    13. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 375-383, March. [Downloadable!] (restricted)
    14. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2006,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    15. Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute. [Downloadable!]
      Other versions:
    16. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP. [Downloadable!]
      Other versions:
    17. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
    18. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    19. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    20. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. D.J.C. Van Dijk & P.H. Franses & R. Paap, 2000. "A nonlinear long memory model for US unemployment," Econometric Institute Report 204, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    22. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]

  16. Clive W.J. Granger, 1998. "Extracting Information from Mega-Panels and High-Frequency Data," University of California at San Diego, Economics Working Paper Series 98-01, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Jacob A. Bikker & Laura Spierdijk & Paul Finnie, 2006. "The Impact of Bank Size on Market Power," DNB Working Papers 120, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    3. Jacob Bikker & Laura Spierdijk & Paul Finnie, 2006. "Misspecifiation of the Panzar-Rosse Model: Assessing Competition in the Banking Industry," DNB Working Papers 114, Netherlands Central Bank, Research Department. [Downloadable!]
    4. M. Cramer & P.H.B.F. Franses & E. Slagter, 1999. "Censored regression analysis in large samples with many zero observations," Econometric Institute Report 169, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  17. Clive W.J. Granger & Namwon Hyung & Yongil Jeon, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series 98-25, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Richard Beil & George Ford & John Jackson, 2005. "On the relationship between telecommunications investment and economic growth in the United States," International Economic Journal, Korean International Economic Association, vol. 19(1), pages 3-9, March. [Downloadable!] (restricted)
    2. Travaglini, Guido, 2008. "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper 7108, University Library of Munich, Germany. [Downloadable!]
    3. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007. [Downloadable!]
    4. Antonio E. Noriega & Daniel Ventosa-Santaularia, . "Spurious Regression and Trending Variables," School of Economics Working Papers EM200701, Universidad de Guanajuato. [Downloadable!]
      Other versions:
    5. Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005. "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005 186, Society for Computational Economics. [Downloadable!]
      Other versions:
    6. Antonio E. Noriega & Daniel Ventosa-Santaularia, . "Spurious regression under deterministic and stochastic trends," School of Economics Working Papers EM200503, Universidad de Guanajuato. [Downloadable!]

  18. Clive W.J. Granger & Ling-ling Huang, 1997. "Evaluation of Panel Data Models: Some Suggestions from Time Series," University of California at San Diego, Economics Working Paper Series 97-10, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Jose A. Lopez & Marc R. Saidenberg, 1999. "Evaluating credit risk models," Working Papers in Applied Economic Theory 99-06, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    2. Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
      Other versions:

  19. Clive W.J. Granger & Francesc Marmol, 1997. "The Correlogram of a Long Memory Process Plus a Simple Noise," University of California at San Diego, Economics Working Paper Series 97-29, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    2. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    3. Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    4. Miguel Arranz & Francesc Marmol, 2001. "Out-of-sample forecast errors in misspecific perturbed long memory processes," Statistical Papers, Springer, vol. 42(4), pages 423-436, October. [Downloadable!] (restricted)
    5. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

  20. Clive W.J. Granger & Yongil Jeon, 1997. "Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance," University of California at San Diego, Economics Working Paper Series 97-24, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Didier Sornette & Wei-Xing Zhou, 2005. "Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path’ method," Quantitative Finance, Taylor and Francis Journals, vol. 5(6), pages 577-591, December. [Downloadable!] (restricted)
    2. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal. [Downloadable!]

  21. Siklos, P.L. & Granger, C.W.J., 1997. "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers 97-5, Wilfrid Laurier University, Department of Economics.
    Published as:

    Cited by:

    1. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    2. Aleš Bulir, 2004. "Liberalized Markets Have More Stable Exchange Rates: Short-Run Evidence from Four Transition Countries," IMF Working Papers 04/35, International Monetary Fund. [Downloadable!]
      Other versions:
    3. Ihle, Rico & Cramon-Taubadel, Stephan von, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
    4. Goodwin, Barry K. & Piggott, Nicholas E., 1999. "Spatial Market Integration In The Presence Of Threshold Effects," 1999 Annual meeting, August 8-11, Nashville, TN 21489, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    5. Hugo Oliveros & Luisa Fernanda Silva, . "La Demanda por Importaciones en Colombia," Borradores de Economia 187, Banco de la Republica de Colombia. [Downloadable!]
    6. Costas Milas & Jesus Otero, 2000. "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach," BORRADORES DE INVESTIGACIÓN 003231, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
      Other versions:
    7. Harper, Daniel C. & Goodwin, Barry K., 1999. "Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector," 1999 Annual meeting, August 8-11, Nashville, TN 21666, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    8. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    9. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88. [Downloadable!]
    10. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Cahiers du Département d'Econométrie 2002.03, Département d'Econométrie, Université de Genève. [Downloadable!]
    11. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2). [Downloadable!]
    12. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
      Other versions:
    13. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
    14. Ales Bulir, 2003. "Some Exchange Rates Are More Stable than Others; Short-Run Evidence from Transition Countries," Working Papers 2003/05, Czech National Bank, Research Department. [Downloadable!]
    15. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October. [Downloadable!] (restricted)
    16. Jesus Otero & Costas Milas, 2000. "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach (Corrected version)," BORRADORES DE INVESTIGACIÓN 003232, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    17. Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    18. Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

  22. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO. [Downloadable!]

    Cited by:

    1. Élise Cormier & Jean-Marc Suret, 1997. "Le régime d'épargne-actions du Québec : Vue d'ensemble et évaluation," CIRANO Working Papers 97s-16, CIRANO. [Downloadable!]

  23. Walter Enders & C. W.J. Granger, 1996. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," University of California at San Diego, Economics Working Paper Series 96-27, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

    Cited by:

    1. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society. [Downloadable!]
    2. Guneratne Banda Wickremasinghe & Param Silvapulle, 2004. "Exchange Rate Pass-Through to Manufactured Import Prices: The Case of Japan," International Trade 0406006, EconWPA. [Downloadable!]
    3. Michael Ye & John Zyren & Joanne Shore & Michael Burdette, 2005. "Regional Comparisons, Spatial Aggregation, and Asymmetry of Price Pass-Through in U.S. Gasoline Markets," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(2), pages 179-192, June. [Downloadable!] (restricted)
    4. Kleimeier,Stefanie & Sander,Harald, 2004. "Expected versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Eurozone Retail Banking," Research Memoranda 001, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    5. Richard Harris & Brian Silverstone, 2000. "Asymmetric Adjustment of Unemployment and Output in New Zealand: Rediscovering Okun's Law," Working Papers in Economics 00/02, University of Waikato, Department of Economics. [Downloadable!]
    6. Steven Cook, 2001. "Asymmetric unit root tests in the presence of structural breaks under the null," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-10. [Downloadable!]
    7. ben Kaabia, Monia & Gil, Jose M., 2005. "Asymetric Price Transmission in the Spanish Lamb Sector," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24631, European Association of Agricultural Economists. [Downloadable!]
    8. Matt Lewis, 2004. "Asymmetric Price Adjustment and Consumer Search: An Examination of the Retail Gasoline Market," Industrial Organization 0407010, EconWPA. [Downloadable!]
    9. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    10. Luis Gil-Alana, 2009. "Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling," International Advances in Economic Research, Springer, vol. 15(2), pages 143-155, May. [Downloadable!] (restricted)
    11. Steve Cook, 2003. "The properties of asymmetric unit root tests in the presence of mis-specified asymmetry," Economics Bulletin, Economics Bulletin, vol. 3(10), pages 1-10. [Downloadable!]
    12. Kurmas Akdogan & Yunus Aksoy, 2007. "Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?," Working Papers 0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
      Other versions:
    13. He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," Working Paper Series in Economics and Finance 580, Stockholm School of Economics. [Downloadable!]
    14. Yoon Jung & Dong Shin & Man-Suk Oh, 2005. "Bayesian analysis of panel data using an MTAR model," Journal of Applied Statistics, Taylor and Francis Journals, vol. 32(8), pages 841-854, October. [Downloadable!] (restricted)
    15. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    16. Juan Carlos Cuestas, 2007. "Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities," Working Papers. Serie AD 2007-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    17. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002. [Downloadable!]
    18. Luciana Juvenal & Mark P. Taylor, 2007. "The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics," Money Macro and Finance (MMF) Research Group Conference 2006 80, Money Macro and Finance Research Group. [Downloadable!]
    19. Ben-Kaabia, M. & Gil, Jose Maria. & Boshnjaku, L., 2002. "Price Transmission Asymmetries in the Spanish Lamb Sector," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24908, European Association of Agricultural Economists. [Downloadable!]
    20. Offermanns, Christian J. & Nautz, Dieter, 2006. "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies 2006,01, Deutsche Bundesbank, Research Centre. [Downloadable!]
    21. Dimitris Christopoulos, 2004. "Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests," Macroeconomics 0406002, EconWPA. [Downloadable!]
    22. Steven Cook, 2004. "A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence," The International Journal of Applied Economics, Department of General Business, Southeastern Louisiana University, vol. 1(1), pages 46-54, September. [Downloadable!]
    23. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Report 278, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    24. James Payne & Hassan Mohammadi, 2006. "Are Adjustments in the U.S. Budget Deficit Asymmetric? Another Look at Sustainability," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(1), pages 15-22, March. [Downloadable!] (restricted)
    25. Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers (in Progress) 22009, South Dakota State University, Department of Economics. [Downloadable!]
    26. Gonzales, F. & Guillotreau, P. & Le Grel, L. & Simioni, M., 2003. "Asymmetry of price transmission within the french value chain of seafood products," Economics Working Paper Archive (Toulouse) 49, French Institute for Agronomy Research (INRA), Economics Laboratory in Toulouse (ESR Toulouse). [Downloadable!]
    27. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    28. Carsten TRENKLER & Nikolaus WOLF, 2003. "Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)," Economics Working Papers ECO2003/05, European University Institute. [Downloadable!]
    29. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    30. Dubois, P., 2001. "Multitask moral hazard, incentive contracts and land value," Economics Working Paper Archive (Toulouse) 21, French Institute for Agronomy Research (INRA), Economics Laboratory in Toulouse (ESR Toulouse). [Downloadable!]
    31. Bentzen, Jan & Smith, Valdemar, 2004. "Short-run and long-run relationships in the consumption of alcohol in the Scandinavian countries," Working Papers 04-14, University of Aarhus, Aarhus School of Business, Department of Economics. [Downloadable!]
    32. Alex Luiz Ferreira & Miguel León-Ledesma, 2003. "Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets," Studies in Economics 0301, Department of Economics, University of Kent. [Downloadable!]
      Other versions:
    33. Christopher Adam & Michael Goujon & Sylviane Guillaumont Jeanneney, 2004. "The transactions demand for money in the presence of currency substitution: evidence from Vietnam," Applied Economics, Taylor and Francis Journals, vol. 36(13), pages 1461-1470, July. [Downloadable!] (restricted)
      Other versions:
    34. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages C125-C139, March. [Downloadable!] (restricted)
      Other versions:
    35. Paul Mizen & Boris Hofmann, . "Base rate pass-through: evidence from banks' and building societies' retail rates," Bank of England working papers 170, Bank of England. [Downloadable!]
    36. Chi-Wei Su & Hsu-Ling Chang & Yahn-Shir Chen, 2007. "Stock Prices and Dividends in Taiwan's Stock Market: Evidence Based on Time-Varying Present Value Model," Economics Bulletin, Economics Bulletin, vol. 7(4), pages 1-12. [Downloadable!]
    37. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    38. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    39. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor and Francis Journals, vol. 29(5), pages 771-789, July. [Downloadable!] (restricted)
    40. Pedro Pablo Alvarez Lois, 2000. "Endogenous capacity utilization and the asymmetric effects of monetary policy," UFAE and IAE Working Papers 469.00, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    41. Richard E. Baldwin & Robert Anderton & Daria Taglioni, 2003. "The impact of monetary union on trade prices," Working Paper Series 238, European Central Bank. [Downloadable!]
      Other versions:
    42. Pascalau, Razvan, 2007. "Productivity Shocks, Unemployment Persistence, and the Adjustment of Real Wages in OECD Countries," MPRA Paper 7222, University Library of Munich, Germany. [Downloadable!]
    43. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Cahiers du Département d'Econométrie 2002.03, Département d'Econométrie, Université de Genève. [Downloadable!]
    44. Kleimeier,Stefanie & Sander,Harald, 2002. "European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market," Research Memoranda 060, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    45. George Kapetanios & Yongcheol Shin, 2004. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," ESE Discussion Papers 108, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    46. R.P. Berben & D. van Dijk, 1999. "Unit roots and asymetric adjustment - a reassessment," Econometric Institute Report 101, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    47. Pedro Gouveia & Paulo Rodrigues, 2004. "Threshold Cointegration and the PPP Hypothesis," Journal of Applied Statistics, Taylor and Francis Journals, vol. 31(1), pages 115-127, January. [Downloadable!] (restricted)
    48. Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," Working Paper Series in Economics and Finance 547, Stockholm School of Economics. [Downloadable!]
    49. Luis Eduardo Arango & Yanneth R.Betancourth, . "A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt," Borradores de Economia 216, Banco de la Republica de Colombia. [Downloadable!]
    50. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society. [Downloadable!]
    51. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49. [Downloadable!]
    52. Atanu Ghoshray, 2008. "Asymmetric price adjustment of Ukrainian feed wheat export prices in relation to U.S. maize exports: A Note," Economics Bulletin, Economics Bulletin, vol. 17(2), pages 1-8. [Downloadable!]
    53. Philip Rothman, 1999. "Time Series Evidence on Whether Adjustment to Long-Run Equilibrium is Asymmetric," Working Papers 9904, East Carolina University, Department of Economics. [Downloadable!]
    54. Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group. [Downloadable!]
    55. Park, Joon Y. & Whang, Yoon-Jae, 2004. "A Test of the Martingale Hypothesis," Working Papers 2004-11, Rice University, Department of Economics. [Downloadable!]
    56. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies. [Downloadable!]
    57. Steven Cook & Neil Manning, 2003. "The power of asymmetric unit root tests under threshold and consistent-threshold estimation," Applied Economics, Taylor and Francis Journals, vol. 35(14), pages 1543-1550, September. [Downloadable!] (restricted)
    58. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
      Other versions:
    59. Luis E. Arango & Yanneth R. Betancourt, 2005. "A signal of imperfect portfolio capital adjustments from the domestic and foreign Colombian debt," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 587-597, June. [Downloadable!] (restricted)
    60. Steven Cook, 2005. "Detecting long-run relationships in regional house prices in the UK," International Review of Applied Economics, Taylor and Francis Journals, vol. 19(1), pages 107-118, January. [Downloadable!] (restricted)
    61. George Kapetanios & Yongcheol Shin, 2004. "Unit Root Tests in Three-Regime SETAR Models," ESE Discussion Papers 104, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    62. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February. [Downloadable!] (restricted)
    63. Hannu Koskinen, 2004. "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, vol. 17(2), pages 63-72, Autumn. [Downloadable!]
    64. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer, vol. 31(1), pages 77-94, February. [Downloadable!] (restricted)
    65. Teresa Serra & Barry K. Goodwin, 2003. "Price transmission and asymmetric adjustment in the Spanish dairy sector," Applied Economics, Taylor and Francis Journals, vol. 35(18), pages 1889-1899, December. [Downloadable!] (restricted)
    66. Andy Snell & George Kapetanios & Yongcheol Shin, 2004. "Testing for nonlinear cointegration between stock prices and dividends," Money Macro and Finance (MMF) Research Group Conference 2003 90, Money Macro and Finance Research Group. [Downloadable!]
    67. Sander,Harald & Kleimeier,Stefanie, 2003. "Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    68. Nunes, Mauricio & Da Silva, Sergio, 2007. "Rational bubbles in emerging stockmarkets," MPRA Paper 4641, University Library of Munich, Germany. [Downloadable!]

  24. Granger, C.W.J. & Pesaran, H., 1996. "A Decision_Theoretic Approach to Forecast Evaluation," Cambridge Working Papers in Economics 9618, Faculty of Economics, University of Cambridge.
    Other versions:

    Cited by:

    1. RUGE-MURCIA, Francisco J., 2002. "Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence," Cahiers de recherche 2002-07, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    2. Francisco J. Ruge-Murcia, 2001. "Inflation Targeting Under Asymmetric Preferences," Banco de España Working Papers 0106, Banco de España. [Downloadable!]
      Other versions:
    3. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society. [Downloadable!]
      Other versions:
    4. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17. [Downloadable!]
      Other versions:
    5. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," IMF Working Papers 03/111, International Monetary Fund. [Downloadable!]
    6. David Hendry & Michael Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 078, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    7. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    8. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    9. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]
    10. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Staff Reports 33, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    11. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    12. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
    13. Clive W.J. Granger, 1998. "Extracting Information from Mega-Panels and High-Frequency Data," University of California at San Diego, Economics Working Paper Series 98-01, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:

  25. Shoshana Grossbard-Shechtman & Clive W.J. Granger, 1996. "Women's Jobs and Marriage -- Baby-Boom Versus Baby-Bust," University of California at San Diego, Economics Working Paper Series 96-03, Department of Economics, UC San Diego.

    Cited by:

    1. Shoshana Grossbard & Catalina Amuedo-Dorantes, 2007. "Cohort-Level Sex Ratio Effects on Women’s Labor Force Participation," IZA Discussion Papers 2722, Institute for the Study of Labor (IZA). [Downloadable!]
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    2. Olivia Ekert-Jaffe & Shoshana Grossbard, 2007. "Does Community Property Discourage Unpartnered Births?," IZA Discussion Papers 2816, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:

  26. Pierre L. Siklos & Clive W.J. Granger, 1996. "Temporary Cointegration With an Application to Interest Rate Parity," University of California at San Diego, Economics Working Paper Series 96-11, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA. [Downloadable!]
    2. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  27. Alvaro Escribano & Clive W.J. Granger, 1996. "Investigating the Relationship between Gold and Silver Prices," University of California at San Diego, Economics Working Paper Series 96-38, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," BORRADORES DE INVESTIGACIÓN 002737, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
      Other versions:
    2. Mark J. Holmes & Theodore Panagiotidis, 2009. "Cointegration and asymmetric adjustment: Some new evidence concerning the behaviour of the US current account," Discussion Paper Series 2009_11, Department of Economics, University of Macedonia, revised May 2009. [Downloadable!]
      Other versions:
    3. Michael Arghyrou & Christopher Martin & Costas Milas, 2003. "Non-linear Inflationary Dynamics: Evidence from the UK," Public Policy Discussion Papers 03-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    4. David McMillan, 2008. "Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates," Empirical Economics, Springer, vol. 35(3), pages 591-606, November. [Downloadable!] (restricted)
    5. Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    6. Isabella Procidano & Margherita Gerolimetto & Silio Rigatti Luchini, 2006. "Dynamic cointegration and relevant vector machine: the relationship between gold and silver," Computing in Economics and Finance 2006 380, Society for Computational Economics. [Downloadable!]
    7. Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January. [Downloadable!] (restricted)
    8. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155. [Downloadable!]
    9. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," BORRADORES DE INVESTIGACIÓN 003296, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    10. Gabriella Legrenzi & Costas Milas, 2005. "Non-linear adjustments in fiscal policy," Keele Economics Research Papers KERP 2005/04, Centre for Economic Research, Keele University. [Downloadable!]
      Other versions:
    11. Gabriella Legrenzi & Costas Milas, 2002. "Asymmetric and non-linear adjustment in the revenue-expenditure models," Public Policy Discussion Papers 02-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    12. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
      Other versions:
    13. Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group. [Downloadable!]
    14. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    15. Michael Arghyrou, 2009. "Monetary policy before and after the euro: evidence from Greece," Empirical Economics, Springer, vol. 36(3), pages 621-643, June. [Downloadable!] (restricted)
      Other versions:
    16. Brian M. Lucey & Edel Tully, 2006. "The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 47-53, January. [Downloadable!] (restricted)
    17. Gabriella Deborah Legrenzi, 2009. "Asymmetric and Non-Linear Adjustments in Local Fiscal Policy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    18. Álvaro Escribano, 1999. "Predicción y análisis de funciones de exportación e importación en España," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 55-94, January. [Downloadable!]
    19. Minoas Koukouritakis, 2005. "EU Accession Effects on the Demand for Manufactures: the Case of Greece," Working Papers 0506, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    20. Christopher Martin & Michael Arghyrou & Costas Milas, 2004. "Nonlinear inflation dynamics: evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2003 59, Money Macro and Finance Research Group. [Downloadable!]
    21. Gabriella Legrenzi, 2005. "Asymmetries in the Growth of Governments," Keele Economics Research Papers KERP 2005/03, Centre for Economic Research, Keele University. [Downloadable!]

  28. Clive W.J. Granger & Norman Swanson, 1995. "Further Developments in the Study of Cointegrated Variables," University of California at San Diego, Economics Working Paper Series 95-11, Department of Economics, UC San Diego.
    Other versions:

    Cited by:

    1. Peter Hans Matthews, 2004. "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series 0416, Middlebury College, Department of Economics. [Downloadable!]
      Other versions:
    2. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    3. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

  29. Clive W.J. Granger, 1995. "Can We Improve the Perceived Quality of Economic Forecasts?," University of California at San Diego, Economics Working Paper Series 95-27, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. John W. Galbraith & Greg Tkacz, 2007. "Forecast Content And Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2007-01, McGill University, Department of Economics. [Downloadable!]
      Other versions:
    2. Giampiero Gallo & Clive Granger & Yongil Jeon, 1999. "The Impact of the Use of Forecasts in Information Sets," University of California at San Diego, Economics Working Paper Series 1999-18, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    3. Jan Babecky & Jiri Podpiera, 2008. "Inflation Forecasts Errors in the Czech Republic: Evidence from a Panel of Institutions," Occasional Publications - Chapters in Edited Volumes, in: Katerina Smidkova (ed.), Evaluation of the Fulfilment of the CNB's Inflation Targets 1998-2007, chapter 6, pages 77-85 Czech National Bank, Research Department. [Downloadable!]
    4. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15. [Downloadable!]
    5. Thomas M Fullerton Jr, 2005. "Borderplex Bridge and Air Econometric Forecast Accuracy," Urban/Regional 0501005, EconWPA. [Downloadable!]
    6. Thomas M Fullerton Jr, 2004. "Specification of a Borderplex Econometric Forecasting Model," Urban/Regional 0405006, EconWPA. [Downloadable!]
    7. Barot, Bharat, 2007. "Empirical Studies in Consumption, House Prices and the Accuracy of European Growth and Inflation Forecasts," Working Paper 98, National Institute of Economic Research. [Downloadable!]
    8. Thomas M Fullerton Jr & David A Schauer, 2004. "Regional Econometric Assessment of Aggregate Water Consumption Trends," Urban/Regional 0407006, EconWPA. [Downloadable!]
    9. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research. [Downloadable!]
      Other versions:
    11. John G. Galbraith & Greg Tkacz, 2006. "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2006-13, McGill University, Department of Economics. [Downloadable!]
    12. Ling He & Chenyi Hu, 2009. "Impacts of Interval Computing on Stock Market Variability Forecasting," Computational Economics, Springer, vol. 33(3), pages 263-276, April. [Downloadable!] (restricted)
    13. Jef Vuchelen & Maria-Isabel Gutierrez, 2005. "Do the OECD 24 month horizon growth forecasts for the G7--countries contain information?," Applied Economics, Taylor and Francis Journals, vol. 37(8), pages 855-862, May. [Downloadable!] (restricted)
    14. Clive W.J. Granger & Yongil Jeon, 1997. "Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance," University of California at San Diego, Economics Working Paper Series 97-24, Department of Economics, UC San Diego. [Downloadable!]
    15. Marcelle Chauvet, 2000. "Leading Indicators of Inflation for Brazil," Working Papers Series 7, Central Bank of Brazil, Research Department. [Downloadable!]
    16. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001. "Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets," Econometrics Working Papers Archive wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    17. Kappler, Marcus, 2007. "Projecting the Medium-Term: Outcomes and Errors for GDP Growth," ZEW Discussion Papers 07-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]

  30. F. M. Aparicio Acosta & Clive W.J. Granger, 1995. "A Linearity Test for Near-Unit Root Time Series," University of California at San Diego, Economics Working Paper Series 95-12, Department of Economics, UC San Diego.

    Cited by:

    1. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:

  31. F. M. Aparicio Acosta & Clive W.J. Granger, 1995. "Nonlinear Cointegration and Some New Tests for Comovements," University of California at San Diego, Economics Working Paper Series 95-15, Department of Economics, UC San Diego.

    Cited by:

    1. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

  32. Lykke E. Andersen & Clive W.J. Granger, 1995. "A Random Coefficient VAR Transition Model of the Changes in Land Use in the Brazilian Amazon," University of California at San Diego, Economics Working Paper Series 95-35, Department of Economics, UC San Diego.

    Cited by:

    1. Alessandro Rebucci, 2003. "On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications," IMF Working Papers 03/73, International Monetary Fund. [Downloadable!]

  33. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
      Other versions:
    2. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
    3. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289. [Downloadable!]
      Other versions:
    4. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278. [Downloadable!]
      Other versions:
    5. James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. R. Tschernig, . "Nonlinearities in German Unemployment Rates: A Nonparametric Analysis," Sonderforschungsbereich 373 1996-45, Humboldt Universitaet Berlin.
    8. Antonio Matas Mir & Denise R Osborn, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank. [Downloadable!]
      Other versions:
    9. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 201-216. [Downloadable!] (restricted)
    10. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO. [Downloadable!]

  34. Swanson, N.R. & Granger, C.W.J., 1994. "Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions," Papers 9-94-1, Pennsylvania State - Department of Economics.

    Cited by:

    1. Myeong-Soo Kim & Coulson N. Edward, 1999. "Sources Of Fluctuations In The Housing Market," International Economic Journal, Korean International Economic Association, vol. 13(1), pages 57-70, April. [Downloadable!] (restricted)
    2. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:

  35. C. W.J. Granger & Zhuanxin Ding, 1994. "Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets," University of California at San Diego, Economics Working Paper Series 94-19, Department of Economics, UC San Diego.

    Cited by:

    1. Jean-Philippe Bouchaud & Marc Potters, 1998. "Back to basics: historical option pricing revisited," Science & Finance (CFM) working paper archive 500036, Science & Finance, Capital Fund Management. [Downloadable!]
    2. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    3. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

  36. Zhuanxin Ding & Clive W.J. Granger, 1994. "Modeling Volatility Persistence of Speculative Returns: A New Approach," University of California at San Diego, Economics Working Paper Series 94-05, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183. [Downloadable!]
    2. Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
    3. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    4. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
      Other versions:
    5. L. Giraitis & P. Kokoszka & R. Leipus & G. Teyssiere, . "Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity," Sonderforschungsbereich 373 1999-81, Humboldt Universitaet Berlin.
    6. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    7. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    8. Alfonso Mendoza, 2004. "Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets," Econometrics 0410004, EconWPA. [Downloadable!]
      Other versions:
    9. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Marsh, Terry A. & Takao Kobayashi, 1998. ""The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy"," CIRJE F-Series 98-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    11. Peter M Robinson, 2001. "The Memory of Stochastic Volatility Models," STICERD - Econometrics Paper Series /2001/410, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    12. Sylvia Gottschalk & Stephen Hall, 2008. "Foreign direct investment and exchange rate uncertainty in South-East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 349-359. [Downloadable!]
    13. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Quantitative Finance Papers cond-mat/0109410, arXiv.org. [Downloadable!]
    14. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, School of Economics and Management, University of Aarhus. [Downloadable!]
    15. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series /2001/416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    16. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    17. Dmitri Koulikov, 2002. "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series 493, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    18. Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series /1998/357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    19. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
      Other versions:
    20. D. Sornette & Y. Malevergne & J. F. Muzy, 2002. "Volatility fingerprints of large shocks: Endogeneous versus exogeneous," Quantitative Finance Papers cond-mat/0204626, arXiv.org. [Downloadable!]
    21. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September. [Downloadable!] (restricted)
    22. Laurini, M. P. & Portugal, M. S., 2003. "Long Memory int the R$/US$ Exchange Rate: A Robust Analysis," Finance Lab Working Papers flwp_50, Finance Lab, Ibmec São Paulo. [Downloadable!]
    23. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
    24. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA. [Downloadable!]
    25. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
    26. Michael D. McKenzie, Heather Mitchell, Robert D. Brooks, Robert W. Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 22-38, March. [Downloadable!] (restricted)
      Other versions:
    27. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics. [Downloadable!]
    28. Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society. [Downloadable!]
    29. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    30. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge. [Downloadable!]
    31. S. Lardic & V. Mignon, 2002. "Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries," THEMA Working Papers 2002-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    32. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    33. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    34. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    35. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    36. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]
    37. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group. [Downloadable!]
    38. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers 0513, Florida International University, Department of Economics. [Downloadable!]
    39. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    40. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    41. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    42. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    43. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    44. Liudas Giraitis & Peter M Robinson & Donatas Surgailis, 2000. "A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)," STICERD - Econometrics Paper Series /2000/382, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    45. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics. [Downloadable!]
    46. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany. [Downloadable!]
    47. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series /2003/460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    48. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001. [Downloadable!]
      Other versions:
    49. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
    50. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    51. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007. [Downloadable!]
      Other versions:
    52. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    53. Sandrine Lardic & Valérie Mignon, 1999. "Prévision ARFIMA des taux de change : les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?," Annales d'Economie et de Statistique, ADRES, issue 54, pages 03, Avril-Jui. [Downloadable!]
    54. Luisa Bisaglia & Silvano Bordignon, 2002. "Mean square prediction error for long-memory processes," Statistical Papers, Springer, vol. 43(2), pages 161-175, April. [Downloadable!] (restricted)
    55. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    56. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland. [Downloadable!]
    57. Claudio Morana & Nuno Cassola, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank. [Downloadable!]
    58. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series /2005/495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    59. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    60. Liudas Giraitis & Piotr Kokoszka & Remigijus Leipus & Gilles Teyssière, 2000. "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 113-128, January. [Downloadable!] (restricted)
    61. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007. "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers 2007-29, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    62. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
      Other versions:
    63. Menelaos Karanasos, . "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York. [Downloadable!]
      Other versions:
    64. S. Lardic & V. Mignon, 2002. "Modeling long-range dependence in European time-varying term premia," THEMA Working Papers 2002-27, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    65. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]
    66. Josu Arteche, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 200202, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
      Other versions:
    67. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "How accurate is the asymptotic approximation to the distribution of realised volatility?," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  37. Clive W.J. Granger & Norman R. Swanson, 1994. "An Introduction to Stochastic Unit Root Processes," University of California at San Diego, Economics Working Paper Series 92-53r, Department of Economics, UC San Diego.
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    Published as:

    Cited by:

    1. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer, vol. 33(4), pages 393-409, October. [Downloadable!] (restricted)
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "The Stochastic Unit Root Model And Fractional Integration: An Extension To The Seasonal Case," Public Policy Discussion Papers 04-15, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    3. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002. [Downloadable!]
    4. Clive Granger & Namwon Hyung & Yongil Jeon, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series 1998-25, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    5. Chowdhury, Khorshed & Mallik, Girijasankar, 2007. "SPair-Wise Output Convergence in East Asia and the Pacific: An Application of Stochastic Unit Root Test," Economics Working Papers wp07-07, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    6. Piergiorgio Alessandri, 2006. "Bubbles and fads in the stock market: another look at the experience of the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 195-203. [Downloadable!]
    7. Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics. [Downloadable!]
      Other versions:
    8. Robert Engle & Aaron Smith, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series 1998-03, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    9. Magdalena Osińska & Aleksandra Matuszewska, 2006. "Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate," International Advances in Economic Research, Springer, vol. 12(3), pages 327-341, August. [Downloadable!] (restricted)
    10. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    11. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA. [Downloadable!]
    12. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November. [Downloadable!] (restricted)
    13. Charemza W.W. & M. Lifshits & S. Makarova, 2002. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002 251, Society for Computational Economics. [Downloadable!]
      Other versions:
    14. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299. [Downloadable!]
    15. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA. [Downloadable!]
    16. B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003. "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers 16/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    17. González Gómez, Andrés, 2004. "A smooth permanent surge process," Working Paper Series in Economics and Finance 572, Stockholm School of Economics. [Downloadable!]

  38. Clive Granger & Zhuanxin Ding, 1993. "Varieties of Long Memory Models," University of California at San Diego, Economics Working Paper Series 93-02, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October. [Downloadable!] (restricted)
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers 04-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    4. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    5. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
    6. Smith, Aaron, 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics. [Downloadable!]
      Other versions:
    7. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    8. Peter M Robinson, 2001. "The Memory of Stochastic Volatility Models," STICERD - Econometrics Paper Series /2001/410, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    9. John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998. "Fractional Monetary Dynamics," Boston College Working Papers in Economics 321., Boston College Department of Economics. [Downloadable!]
      Other versions:
    10. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    11. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    12. Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," UmeÃ¥ Economic Studies 675, Umeå University, Department of Economics. [Downloadable!]
    13. John Geweke & Gianni Amisano, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank. [Downloadable!]
      Other versions:
    14. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
      Other versions:
    15. D. Sornette & Y. Malevergne & J. F. Muzy, 2002. "Volatility fingerprints of large shocks: Endogeneous versus exogeneous," Quantitative Finance Papers cond-mat/0204626, arXiv.org. [Downloadable!]
    16. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
      Other versions:
    17. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September. [Downloadable!] (restricted)
    18. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    19. Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper 07-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    20. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics. [Downloadable!]
      Other versions:
    21. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA. [Downloadable!]
    22. Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    23. Gaunersdorfer, A. & Hommes, C.H.,, 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    24. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    25. Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    26. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
      Other versions:
    27. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    28. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    29. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    30. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 375-383, March. [Downloadable!] (restricted)
    31. Ibrahim Onour, . "North Africa Stock Markets: Analysis of Unit Root and Long Memory Process," API-Working Paper Series 0906, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    32. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    33. Pesaran, M. H., 1999. "On Aggregation of Linear Dynamic Models," Cambridge Working Papers in Economics 9919, Faculty of Economics, University of Cambridge. [Downloadable!]
    34. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    35. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    36. Emma M. Iglesias & Garry D. A. Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 95-106, January. [Downloadable!] (restricted)
    37. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    38. Quoreshi, Shahiduzzaman, 2006. "LongMemory, Count Data, Time Series Modelling for Financial Application," UmeÃ¥ Economic Studies 673, Umeå University, Department of Economics. [Downloadable!]
    39. Thierry Ané & Loredana Ureche-Rangau, 2004. "Does trading volume really explain stock returns volatility?," Working Papers 2004-FIN-02, IESEG School of Management. [Downloadable!]
    40. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-410, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    41. Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers UWEC-2008-20, University of Washington, Department of Economics. [Downloadable!]
    42. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer, vol. 22(2), pages 187-212, October. [Downloadable!] (restricted)
    43. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    44. Claudio Morana & Nuno Cassola, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank. [Downloadable!]
    45. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007. "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers 2007-29, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    46. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics. [Downloadable!]
    47. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    48. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    49. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]

  39. Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
    Published as:

    Cited by:

    1. David Aadland, 2002. "Detrending Time-Aggregated Data," Working Papers 2002-05, Utah State University, Department of Economics. [Downloadable!]
      Other versions:
    2. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," BORRADORES DE ECONOMIA 002591, BANCO DE LA REPÚBLICA. [Downloadable!]
    3. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
      Other versions:
    4. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2006. "Data Aggregation and Vertical Price Transmission: An Experiment with German Food Prices," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25291, International Association of Agricultural Economists. [Downloadable!]
    5. Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Temporal Aggregation, Causality Distortions, and a Sign Rule," Departmental Working Papers wp0406, National University of Singapore, Department of Economics. [Downloadable!]
      Other versions:
    6. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2003. "The Impact Of Data Aggregation On The Measurement Of Vertical Price Transmission: Evidence From German Food Prices," 2003 Annual meeting, July 27-30, Montreal, Canada 21987, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    7. Hugo Oliveros, . "Estacionalidad y Pruebas de Raíces Unitarias:Algunas Consideraciones Generales," Borradores de Economia 040, Banco de la Republica de Colombia. [Downloadable!]
    8. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
    9. Byeongchan Seong & Sung K. Ahn & Peter A. Zadrozny, 2007. "Cointegration Analysis with Mixed-Frequency Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    10. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society. [Downloadable!]
    11. Dikaios Tserkezos & Maria Nikoloudaki, 2005. "Temporal Aggregation Effects In Choosing The Optimal Lag Order In Stable Arma Models. Some Monte Carlo Results," Working Papers 0822, University of Crete, Department of Economics. [Downloadable!]
    12. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(2), pages 191-209, 03. [Downloadable!] (restricted)
    13. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    14. Rotger, Gabriel Pons, . "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, School of Economics and Management, University of Aarhus. [Downloadable!]
    15. C. Müller, . "On the Effects of Aggregating Cointegrated Variables over Time," Sonderforschungsbereich 373 2002-9, Humboldt Universitaet Berlin.
    16. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile. [Downloadable!]
      Other versions:

  40. C. W.J. Granger & Zhuanxin Ding, 1993. "Some Properties of Absolute Return: An Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 93-38, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

    Cited by:

    1. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    2. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    3. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
    4. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
    5. Peter M Robinson, 2001. "The Memory of Stochastic Volatility Models," STICERD - Econometrics Paper Series /2001/410, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    6. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    7. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    8. Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    9. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    10. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
      Other versions:
    11. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-13. [Downloadable!]
    12. Liudas Giraitis & Peter M Robinson & Donatas Surgailis, 2000. "A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)," STICERD - Econometrics Paper Series /2000/382, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    13. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
      Other versions:
    14. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 255-275, September. [Downloadable!] (restricted)
    15. Cotter, John & Bredin, Don, 2005. "Volatility and Irish Exports," MPRA Paper 3522, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    16. Robert DiSario & Hakan Saraoglu & Joseph McCarthy & H. Li, 2008. "An investigation of long memory in various measures of stock market volatility, using wavelets and aggregate series," Journal of Economics and Finance, Springer, vol. 32(2), pages 136-147, April. [Downloadable!] (restricted)

  41. C. W.J. Granger, 1993. "Modelling Non-Linear Relationships Between Long-Memory Variables," University of California at San Diego, Economics Working Paper Series 93-48, Department of Economics, UC San Diego.

    Cited by:

    1. G. Pfann & P. Schotman & R. Tschernig, . "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," Sonderforschungsbereich 373 1994-43, Humboldt Universitaet Berlin.
      Other versions:

  42. Clive Granger & Maxwell L. King & Halbert White, 1992. "Comments on Testing Economic Theories and the Use of Model Selection Criteria," University of California at San Diego, Economics Working Paper Series 92-18, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    3. Gernot Doppelhofer & Xavier Sala I Martin & Melvyn Weeks, 2005. "Jointness of Determinants of Economics Growth," Money Macro and Finance (MMF) Research Group Conference 2005 54, Money Macro and Finance Research Group. [Downloadable!]
    4. Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2001. "The Composite Index of Leading Economic Indicators: How to Make It More Timely," NBER Working Papers 8430, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Sumon Bhaumik & Suchismita Bose, 2007. "Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India," William Davidson Institute Working Papers Series wp863, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    6. Paul McNelis & Peter McAdam, 2004. "Forecasting inflation with thick models and neural networks," Working Paper Series 352, European Central Bank. [Downloadable!]
      Other versions:
    7. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, EconWPA, revised 30 Sep 1998. [Downloadable!]
    8. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88. [Downloadable!]
    9. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    10. Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods qf04025, Department of Economics, University of Insubria. [Downloadable!]
      Other versions:
    11. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    12. Todd E. Clark, 2000. "Can out-of-sample forecast comparisons help prevent overfitting?," Research Working Paper RWP 00-05, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    13. GianCarlo Moschini, 2000. "Flexible Multistage Demand System Based on Indirect Separability, A," Center for Agricultural and Rural Development (CARD) Publications 00-wp265, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
      Other versions:
    14. Kala Krishna & Ataman Ozyildirim & Norman R. Swanson, 1998. "Trade, Investment, and Growth: Nexus, Analysis, and Prognosis," NBER Working Papers 6861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. Bryant, Henry L. & Davis, George C., 2003. "Information Based Model Averaging And Internal Metanalysis In Seemingly Unrelated Regressions With An Application To A Demand System," 2003 Annual meeting, July 27-30, Montreal, Canada 21918, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    16. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    17. Badi H. Baltagi & Zijun Wang, 2006. "Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets," Center for Policy Research Working Papers 83, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
      Other versions:
    18. Vahid, Farshid & Issler, João Victor, 2001. "The Importance of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Economics Working Papers (Ensaios Economicos da EPGE) 417, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    19. Christian Haefke & Christian Helmenstein, . "Forecasting Stock Market Averages to Enhance Profitable Trading Strategies," Computing in Economics and Finance 1996 _023, Society for Computational Economics. [Downloadable!]
      Other versions:
    20. Randal J. Verbrugge, 1998. "Cross-Sectional and Longitudinal Inflation Asymmetries," Macroeconomics 9809018, EconWPA. [Downloadable!]
    21. Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    22. M. Genius & Elisabetta Strazzera, 2000. "Evaluation of likelihood based tests for non-nested dichotomus choice contingent valuation models," Working Paper CRENoS 200012, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    23. Doppelhofer, G. & Weeks, M., 2005. "Jointness of Growth Determinants," Cambridge Working Papers in Economics 0542, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    24. Michael J. Hicks, 2007. "Hierarchical delays as a source of nominal price rigidities: evidence from the microcomputer industry," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 28(7), pages 803-815. [Downloadable!]
    25. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, Economics Bulletin, vol. 3(38), pages 1-17. [Downloadable!]

  43. Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
      Other versions:
    2. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics. [Downloadable!]
      Other versions:
    3. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    4. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183. [Downloadable!]
    5. Lux, Thomas, 2004. "The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility," Economics Working Papers 2004,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    6. Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
    7. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The non- and semiparametric analysis of MS models : some applications," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]
    8. Antonio Rubia & Trino-Manuel Ñíguez, 2003. "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD 2003-34, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    9. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    10. Lux, Thomas, 2003. "The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting," Economics Working Papers 2003,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    11. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, . "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Department of Economics, University of Glasgow. [Downloadable!]
    12. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    13. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    14. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
    15. Matti Vir, 2000. "Analysing long memory and asymmetries," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 240-258, June. [Downloadable!] (restricted)
    16. Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University. [Downloadable!]
      Other versions:
    17. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    18. Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economia Mexicana NUEVA EPOCA, , vol. 0(1), pages 103-134, January-J. [Downloadable!]
    19. J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
    20. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    21. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
      Other versions:
    22. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics. [Downloadable!]
    23. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    24. Campos, Nauro F. & Karanasos, Menelaos G. & Tan, Bin, 2008. "Two to Tangle: Financial Development, Political Instability and Economic Growth in Argentina (1896–2000)," IZA Discussion Papers 3752, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    25. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
    26. Keith Freeland & Brendan McCabe & Gael Martin, 2004. "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings 313, Econometric Society. [Downloadable!]
      Other versions:
    27. Andersson, Michael K. & Gredenhoff, Mikael P., 1998. "Robust Testing for Fractional Integration Using the Bootstrap," Working Paper Series in Economics and Finance 218, Stockholm School of Economics. [Downloadable!]
    28. Marsh, Terry A. & Takao Kobayashi, 1998. ""The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy"," CIRJE F-Series 98-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    29. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    30. Giot,Pierre & Laurent,Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    31. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
    32. Pollard, Stephen K. & Sapra, Sunil K. & Canarella, Giorgio, 2007. "Asymmetry and Spillover Effects in the North American Equity Markets," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(12), pages 1-52. [Downloadable!]
      Other versions:
    33. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
      Other versions:
    34. Peter M Robinson, 2001. "The Memory of Stochastic Volatility Models," STICERD - Econometrics Paper Series /2001/410, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    35. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO. [Downloadable!]
    36. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    37. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The econometric analysis of microscopic simulation models," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    38. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    39. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research Department. [Downloadable!]
    40. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    41. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Quantitative Finance Papers cond-mat/0109410, arXiv.org. [Downloadable!]
    42. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    43. Hwai-Chung Ho, 2007. "Estimation errors of the Sharpe ratio for long-memory stochastic volatility models," Quantitative Finance Papers math/0702812, arXiv.org. [Downloadable!]
    44. Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge. [Downloadable!]
    45. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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    46. John Geweke & Gianni Amisano, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank. [Downloadable!]
      Other versions:
    47. Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series /1998/357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    48. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
      Other versions:
    49. Christoph Hartz & Stefan Mittnik & Marc S. Paolella, 2006. "Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model," CFS Working Paper Series 2006/23, Center for Financial Studies. [Downloadable!]
    50. Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO. [Downloadable!]
    51. Jeannette H.C. Woerner, 2002. "Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models," OFRC Working Papers Series 2002mf05, Oxford Financial Research Centre. [Downloadable!]
    52. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
      Other versions:
    53. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril. [Downloadable!] (restricted)
    54. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004. [Downloadable!]
    55. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    56. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
      Other versions:
    57. D. Sornette & Y. Malevergne & J. F. Muzy, 2002. "Volatility fingerprints of large shocks: Endogeneous versus exogeneous," Quantitative Finance Papers cond-mat/0204626, arXiv.org. [Downloadable!]
    58. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
      Other versions:
    59. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    60. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September. [Downloadable!] (restricted)
    61. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    62. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York. [Downloadable!]
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    63. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies. [Downloadable!]
      Other versions:
    64. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336_v1, HAL. [Downloadable!]
      Other versions:
    65. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market : the advantage of long memory models," Economics Working Papers 2004,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    66. Casas, Isabel & Gao, Jiti, 2006. "Econometric estimation in long-range dependent volatility models: Theory and practice," MPRA Paper 11981, University Library of Munich, Germany, revised Aug 2007. [Downloadable!]
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    67. Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2002/434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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    68. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor and Francis Journals, vol. 20(4), pages 385-424. [Downloadable!] (restricted)
    69. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
    70. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics. [Downloadable!]
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    71. Dima Bogda & Pirtea Marilen & Murgea Aurora & Mura Petru Ovidiu, 2008. "Recent Changes On Romanian Capital Market’S Volatility In The Framework Of A Component Garch Model," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(10), pages 25. [Downloadable!]
    72. Jeannette H.C. Woerner, 2003. "Estimation of Integrated Volatility in Stochastic Volatility Models," OFRC Working Papers Series 2003mf05, Oxford Financial Research Centre. [Downloadable!]
    73. S. M. Duarte Queirós, 2005. "On non-Gaussianity and dependence in financial time series: a nonextensive approach," Quantitative Finance, Taylor and Francis Journals, vol. 5(5), pages 475-487, October. [Downloadable!] (restricted)
    74. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany. [Downloadable!]
    75. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, EconWPA. [Downloadable!]
    76. Peter Hans Matthews, 2004. "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series 0416, Middlebury College, Department of Economics. [Downloadable!]
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    77. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    78. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics. [Downloadable!]
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    79. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
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    80. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA. [Downloadable!]
    81. Jan Beran & Dirk Ocker, 1999. "Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models," CoFE Discussion Paper 99-14, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    82. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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    83. Julio Rodríguez & Esther Ruiz, 2003. "A Powerful Test For Conditional Heteroscedasticity For Financial Time Series With Highly Persistent Volatilities," Statistics and Econometrics Working Papers ws036716, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    84. Michael D. McKenzie, Heather Mitchell, Robert D. Brooks, Robert W. Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 22-38, March. [Downloadable!] (restricted)
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    85. Robert Tompkins, 2006. "Why Smiles Exist in Foreign Exchange Options Markets: Isolating Components of the Risk Neutral Process," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 583-603, October. [Downloadable!] (restricted)
    86. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    87. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO. [Downloadable!]
    88. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
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    89. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University. [Downloadable!]
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    90. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    91. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1333-1342, December. [Downloadable!] (restricted)
    92. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
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    93. Jin, Hyun-Joung, 2008. "A Long Memory Conditional Variance Model for International Grain Markets," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 31(2), May. [Downloadable!]
    94. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics. [Downloadable!]
    95. Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society. [Downloadable!]
    96. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Quantitative Finance Papers 0808.1538, arXiv.org. [Downloadable!]
    97. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics. [Downloadable!]
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    98. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
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    99. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge. [Downloadable!]
    100. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
    101. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
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    102. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics. [Downloadable!]
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    103. Melvin J. Hinich & Terence T.L. Chong, 2007. "A Class Test for Fractional Integration," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    104. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    105. Helena Veiga, 2006. "A Two Factor Long Memory Stochastic Volatility Model," Statistics and Econometrics Working Papers ws061303, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    106. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," CORE Discussion Papers 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    107. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    108. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics. [Downloadable!]
    109. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    110. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    111. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    112. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group. [Downloadable!]
    113. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers 0513, Florida International University, Department of Economics. [Downloadable!]
    114. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999. [Downloadable!]
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    115. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H.H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers 889, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    116. Ardia, David, 2003. "Analysis of dependencies in low frequency financial data sets," MPRA Paper 12682, University Library of Munich, Germany. [Downloadable!]
    117. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    118. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]
    119. He, Changli & Teräsvirta, Timo, 1999. "Higher-order dependence in the general Power ARCH process and a special case," Working Paper Series in Economics and Finance 315, Stockholm School of Economics. [Downloadable!]
    120. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    121. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    122. Menelaos Karanasosa & Stefanie Schurer, 2007. "Is the Relationship Between Inflation and its Uncertainty Linear?," Ruhr Economic Papers 0018, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    123. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996. [Downloadable!]
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    124. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    125. Jin-Chuan Duan & Peter Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Paper 0619, Federal Reserve Bank of Cleveland. [Downloadable!]
    126. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    127. Cifter, Atilla & Ozun, Alper, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," MPRA Paper 2489, University Library of Munich, Germany. [Downloadable!]
    128. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    129. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008. "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers 2008-29, School of Economics and Management, University of Aarhus. [Downloadable!]
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    130. Rehim Kili&art1;, 2004. "On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 915-922, September. [Downloadable!] (restricted)
    131. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
    132. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    133. C. W.J. Granger & Zhuanxin Ding, 1993. "Some Properties of Absolute Return: An Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 93-38, Department of Economics, UC San Diego. [Downloadable!]
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    134. Liudas Giraitis & Peter M Robinson & Donatas Surgailis, 2000. "A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)," STICERD - Econometrics Paper Series /2000/382, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    135. María José Rodríguez & Esther Ruiz, 2009. "GARCH models with leverage effect : differences and similarities," Statistics and Econometrics Working Papers ws090302, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    136. Adam Clements & Scott White, 2005. "Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model," School of Economics and Finance Discussion Papers and Working Papers Series 191, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    137. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
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    138. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO. [Downloadable!]
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    139. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics. [Downloadable!]
    140. Thierry Ané & Loredana Ureche-Rangau, 2004. "Does trading volume really explain stock returns volatility?," Working Papers 2004-FIN-02, IESEG School of Management. [Downloadable!]
    141. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    142. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    143. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy. [Downloadable!]
    144. Abdou Kâ Diongue & Dominique Guegan, 2007. "The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179275_v1, HAL. [Downloadable!]
      Other versions:
    145. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics. [Downloadable!]
    146. Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany. [Downloadable!]
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    147. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research. [Downloadable!]
    148. Mika Meitz & Pentti Saikkonen, 2008. "Parameter Estimation in Nonlinear AR-GARCH Models," Economics Working Papers ECO2008/25, European University Institute. [Downloadable!]
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    149. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269_v1, HAL. [Downloadable!]
    150. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany. [Downloadable!]
    151. Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers UWEC-2008-20, University of Washington, Department of Economics. [Downloadable!]
    152. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer, vol. 22(2), pages 187-212, October. [Downloadable!] (restricted)
    153. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August. [Downloadable!] (restricted)
    154. Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks," Econometrics 0509006, EconWPA. [Downloadable!]
    155. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA. [Downloadable!]
    156. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research. [Downloadable!]
    157. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 255-275, September. [Downloadable!] (restricted)
    158. Cotter, John & Bredin, Don, 2005. "Volatility and Irish Exports," MPRA Paper 3522, University Library of Munich, Germany. [Downloadable!]
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    159. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Quantitative Finance Papers 0706.1836, arXiv.org. [Downloadable!]
    160. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    161. Ah-Boon Sim, Ralf Zurbruegg, 2001. "Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 269-283, September. [Downloadable!] (restricted)
    162. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    163. Esther Ruiz & Helena Veiga, 2006. "Modelling Long-Memory Volatilities With Leverage Effect: Almsv Versus Fiegarch," Statistics and Econometrics Working Papers ws066016, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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    164. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, School of Economics and Management, University of Aarhus. [Downloadable!]
    165. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus. [Downloadable!]
    166. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]
    167. GIOT, Pierre & LAURENT, SŽbastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    168. Clive Granger & Chor-yiu Sin, 1999. "Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 1999-12, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    169. Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002. "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive wp2002_06, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    170. Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, EconWPA. [Downloadable!]
    171. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    172. Daal, Elton & Naka, Atsuyuki & Sanchez, Benito, 2004. "Re-examining inflation and inflation uncertainty in developed and emerging countries," Working Papers 2004-06, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    173. Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department. [Downloadable!]
      Other versions:
    174. Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006. "Comparing Value-at-Risk Methodologies," Economics Working Papers (Ensaios Economicos da EPGE) 629, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    175. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    176. Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930. [Downloadable!]
      Other versions:
    177. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland. [Downloadable!]
    178. Lux, Thomas, 2006. "Financial power laws : empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    179. Melike Bildirici & Sadiye Oktay, 2009. "Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test," Working Papers 0010, Yildiz Technical University, Department of Economics, revised Apr 2009. [Downloadable!]
    180. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO. [Downloadable!]
    181. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    182. Mendes, Rui Vilela & Oliveira, Maria J., 2008. "A Data-Reconstructed Fractional Volatility Model," Economics Discussion Papers 2008-22, Kiel Institute for the World Economy. [Downloadable!]
    183. Claudio Morana & Nuno Cassola, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank. [Downloadable!]
    184. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series /2005/495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    185. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    186. Albert K. Tsui & Kin-Yip Ho, 2004. "Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 637-642. [Downloadable!]
    187. Tapas K. Mishra, 2006. "A Further Look into the Demography-based GDP Forecasting Method," Working Papers of BETA 2006-17, Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg. [Downloadable!]
    188. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund. [Downloadable!]
    189. Yacine Ait-Sahalia, 2003. "Disentangling Volatility from Jumps," NBER Working Papers 9915, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    190. Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.10, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
      Other versions:
    191. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 601-616. [Downloadable!]
    192. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    193. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February. [Downloadable!] (restricted)
    194. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    195. Viviana Fernandez & Brian M Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," Documentos de Trabajo 219, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
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    196. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    197. Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, Economics Bulletin, vol. 3(67), pages 1-10. [Downloadable!]
    198. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    199. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society. [Downloadable!]
    200. Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    201. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics. [Downloadable!]
    202. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society. [Downloadable!]
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    203. Michele Pasquini & Maurizio Serva, 1999. "Indeterminacy in foreign exchange market," Quantitative Finance Papers cond-mat/9906343, arXiv.org. [Downloadable!]
    204. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003. [Downloadable!]
    205. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136. [Downloadable!]
    206. Menelaos Karanasos, . "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York. [Downloadable!]
      Other versions:
    207. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]
    208. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2003. "Markov Switching Garch Models of Currency Crises in Southeast Asia," PIER Working Paper Archive 03-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    209. Jan Beran & Yuanhua.Feng, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    210. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    211. Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002. "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften dp0212, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    212. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534. [Downloadable!]
    213. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society. [Downloadable!]
    214. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management. [Downloadable!]
    215. Helen Higgs & Andrew C Worthington, 2004. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," School of Economics and Finance Discussion Papers and Working Papers Series 186, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    216. D. Guégan & L. Mercier, 2005. "Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 137-150, April. [Downloadable!] (restricted)
    217. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Banco de España Working Papers 0812, Banco de España. [Downloadable!]
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    218. Fabio Fornari, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank. [Downloadable!]
    219. Josu Arteche, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 200202, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
      Other versions:

  44. Norman R. Swanson & C. W.J. Granger, 1992. "Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions," University of California at San Diego, Economics Working Paper Series 92-50, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Alessio Moneta, 2003. "Graphical Models for Structural Vector Autoregressions," LEM Papers Series 2003/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    2. Park, Moonsoo & Jin, Yanhong H & Bessler, David A., 2008. "The Impacts of Animal Disease Crises on the Korean Meat Market," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6365, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
      Other versions:
    3. Babula, Ronald A. & Bessler, David A. & Rogowsky, Robert A., 2005. "Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs," Working Paper ID Series 15880, United States International Trade Commission, Office of Industries. [Downloadable!]
    4. Alessio Moneta, 2005. "Causality in macroeconometrics: some considerations about reductionism and realism," Journal of Economic Methodology, Taylor and Francis Journals, vol. 12(3), pages 433-453, September. [Downloadable!] (restricted)
    5. Titus O. Awokuse, 2005. "Export-led growth and the Japanese economy: evidence from VAR and directed acyclic graphs," Applied Economics Letters, Taylor and Francis Journals, vol. 12(14), pages 849-858, November. [Downloadable!] (restricted)
      Other versions:
    6. Jin Zhang & David A. Bessler & David J. Leatham, 2006. "Does consumer debt cause economic recession? Evidence using directed acyclic graphs," Applied Economics Letters, Taylor and Francis Journals, vol. 13(7), pages 401-407, June. [Downloadable!] (restricted)
    7. Bessler, David & Leatham, David J. & Yang, Juan, 2005. "In Search of the "Bank Lending Channel": Causality Analysis for the Transmission Mechanism of U.S. Monetary Policy," 2005 Annual meeting, July 24-27, Providence, RI 19558, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    8. Yu, Tun-Hsiang Edward & Bessler, David A. & Fuller, Stephen W., 2004. "Analysis Of Dynamic Interrelationships Between Transportation Rates And Grain Prices," 2004 Annual meeting, August 1-4, Denver, CO 20339, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    9. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2006. "Disproving Causal Relationships Using Observational Data," 2006 Annual meeting, July 23-26, Long Beach, CA 21166, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
      Other versions:
    10. Duke, Joshua M. & Awokuse, Titus O., 2004. "The Causal Structure Of Land Price Determinants," 2004 Annual meeting, August 1-4, Denver, CO 20324, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
      Other versions:
    11. Lee, Andrew C. & Kim, Man-Keun, 2004. "Causality Among Fed Cattle Market Variables: Directed Acyclic Graphs Analysis Of Captive Supply," 2004 Annual meeting, August 1-4, Denver, CO 20124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    12. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March. [Downloadable!]
    13. Alessio Moneta & Peter Spirtes, 2005. "Graph-Based Search Procedure for Vector Autoregressive Models," LEM Papers Series 2005/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    14. Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, EconWPA. [Downloadable!]
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    15. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers 28574, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    16. Vitale, Jeffrey & Bessler, David, 2006. "The 2004 Niger Food Crisis: What Role Can Price Discovery Play in Famine Early Warning Systems?," 2006 Annual meeting, July 23-26, Long Beach, CA 21316, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]

  45. Robert Engle & Clive Granger & Ramu Ramanathan & Farshid Vahid-Araghi & Casey Brace, 1992. "Short-Run Forecasts of Electricity Loads and Peaks," University of California at San Diego, Economics Working Paper Series 92-49, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Rob J Hyndman & Shu Fan, 2008. "Density forecasting for long-term peak electricity demand," Monash Econometrics and Business Statistics Working Papers 6/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    2. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    3. T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research. [Downloadable!]
    4. Jose Ramon Cancelo & Antoni Espasa & Rosemarie Grafe, 2007. "Forecasting from one day to one week ahead for the Spanish system operator," Statistics and Econometrics Working Papers ws078418, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    5. Matteo Manera & Angelo Marzullo, 2003. "Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components," Working Papers 2003.95, Fondazione Eni Enrico Mattei. [Downloadable!]
    6. Andreas V. Stokke, Gerard L. Doorman, Torgeir Ericson, 2009. "An Analysis of a Demand Charge Electricity Grid Tariff in the Residential Sector," Discussion Papers 574, Research Department of Statistics Norway. [Downloadable!]
    7. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    8. V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute. [Downloadable!]
      Other versions:

  46. Toru Konishi & Clive Granger, 1992. "Separation in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series 92-51, Department of Economics, UC San Diego.

    Cited by:

    1. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 273-307. [Downloadable!] (restricted)
      Other versions:
    2. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Dept. SEGeS. [Downloadable!]
    3. Norman Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    4. Sharon Kozicki & P.A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    5. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    6. Claudio Morana, 2006. "The price stability oriented monetary policy of the ECB: an assessment," Applied Economics, Taylor and Francis Journals, vol. 38(17), pages 2007-2020, September. [Downloadable!] (restricted)
    7. Toru Konishi & Valerie A. Ramey, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Rela Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Lucio Picci, 1995. "International Business Cycles: Does Trade Matter?," Working Papers 232, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]

  47. Clive Granger, 1992. "What are we Learning about the Long Run?," University of California at San Diego, Economics Working Paper Series 92-22, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Martin, Will & Mitra, Devashish, 1999. "Productivity growth and convergence in agriculture and manufacturing," Policy Research Working Paper Series 2171, The World Bank. [Downloadable!]
    2. Charles Perrings & David Stern, 2000. "Modelling Loss of Resilience in Agroecosystems: Rangelands in Botswana," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 16(2), pages 185-210, June. [Downloadable!] (restricted)

  48. Tung Liu & Clive Granger & Walter P. Heller, 1991. "Using the Correlation Exponent to Decide if an Economic Series is Chaotic," University of California at San Diego, Economics Working Paper Series 91-21, Department of Economics, UC San Diego.

    Cited by:

    1. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May. [Downloadable!]

  49. Timo TerŠsvirta & Chien-Fu Lin & Clive W.J. Granger, 1991. "Power of the Neural Network Linearity Test," University of California at San Diego, Economics Working Paper Series 91-01, Department of Economics, UC San Diego.

    Cited by:

    1. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research. [Downloadable!]
    2. Heather M. Anderson, 2002. "Choosing Lag Lengths in Nonlinear Dynamic Models," Monash Econometrics and Business Statistics Working Papers 21/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    3. Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 04 Nov 2004.
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  50. Clive W. J. Granger & Melinda Deutsch, 1991. "Comments on the evaluation of policy models," International Finance Discussion Papers 413, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

    Cited by:

    1. Heerde, H.J. van & Dekimpe, M.G. & Putsis Jr, W.P., 2004. "Marketing Models and the Lucas Critique," Research Paper ERS-2004-080-MKT Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. Clive W.J. Granger & Ling-ling Huang, 1997. "Evaluation of Panel Data Models: Some Suggestions from Time Series," University of California at San Diego, Economics Working Paper Series 97-10, Department of Economics, UC San Diego. [Downloadable!]
    3. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    4. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    5. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO. [Downloadable!]
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    6. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    7. Carlos Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," University of California at San Diego, Economics Working Paper Series 2005-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:

  51. Luigi Ermini & Clive W.J. Granger, 1991. "Some Generalizations on the Algebra of I(1) Processes," Working Papers 199113, University of Hawaii at Manoa, Department of Economics.
    Published as:

    Cited by:

    1. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics. [Downloadable!]
      Other versions:
    2. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    3. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation, Yale University. [Downloadable!]
    4. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Cahiers du Département d'Econométrie 2002.03, Département d'Econométrie, Université de Genève. [Downloadable!]
    5. Luigi Ermini, 1993. "Testing For Population Bias in California Warming," Working Papers 199306, University of Hawaii at Manoa, Department of Economics. [Downloadable!]

  52. Jesus Gonzalo & Clive W.J. Granger, 1991. "Estimation of Common Long-Memory Components in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series 91-33, Department of Economics, UC San Diego.
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    Published as:

    Cited by:

    1. Westerlund, Joakim, 2005. "Testing for Panel Cointegration with Multiple Structural Breaks," Working Papers 2005:12, Lund University, Department of Economics.
    2. Minoas Koukouritakis & Leo Michelis, 2006. "The Term Structure of Interest Rates in the European Union," Working Papers 0611, University of Crete, Department of Economics. [Downloadable!]
    3. Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The Univeristy of Manchester. [Downloadable!]
    4. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics. [Downloadable!]
    5. Jian Yang & David A. Bessler & Hung-Gay Fung, 2004. "The informational role of open interest in futures markets," Applied Economics Letters, Taylor and Francis Journals, vol. 11(9), pages 569-573, January. [Downloadable!] (restricted)
    6. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Dept. SEGeS. [Downloadable!]
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    7. Michael Funke & Jörg Rahn, 2005. "Just how Undervalued is the Chinese Renminbi," Quantitative Macroeconomics Working Papers 20504, Hamburg University, Department of Economics. [Downloadable!]
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    8. Martin D. Evans & Karen K. Lewis, 1992. "Trends in Expected Returns in Currency and Bond Markets," NBER Working Papers 4116, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 675-689, December. [Downloadable!] (restricted)
    10. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles : why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    11. Peter A. Tinsley & Reva Krieger, . "Asymmetric Adjustments of Price and Output," Computing in Economics and Finance 1996 _059, Society for Computational Economics. [Downloadable!]
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    12. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June. [Downloadable!] (restricted)
      Other versions:
    13. Nikolaos Giannellis & Athanasios Papadopoulos, 2005. "Estimating the Equilibrium Effective Exchange Rate for Potential EMU members," Working Papers 0719, University of Crete, Department of Economics, revised 08 Mar 2007. [Downloadable!]
      Other versions:
    14. Kate Phylaktis & Gikas Manalis, 2005. "Price transmission dynamics between informationally linked securities," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 187-201, February. [Downloadable!] (restricted)
    15. David I. Harvey & Terence C. Mills, 2005. "Evidence for common features in G7 macroeconomic time series," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 165-175, February. [Downloadable!] (restricted)
    16. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 273-307. [Downloadable!] (restricted)
      Other versions:
    17. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
      Other versions:
    18. Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 303-323, November. [Downloadable!]
    19. Horvath, Roman & Komarek, Lubos, 2006. "Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?," MPRA Paper 1180, University Library of Munich, Germany. [Downloadable!]
    20. Claudio Morana, 2000. "Measuring core inflation in the Euro area," Working Paper Series 36, European Central Bank. [Downloadable!]
    21. Anthony Garratt & Donald Robertson & Stephen Wright, 2005. "Permanent vs Transitory Components and Economic Fundamentals," Birkbeck Working Papers in Economics and Finance 0501, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
      Other versions:
    22. Charalambos G. Tsangarides & Yasser Abdih, 2006. "FEER for the CFA Franc," IMF Working Papers 06/236, International Monetary Fund. [Downloadable!]
    23. Balázs Égert, & László Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," William Davidson Institute Working Papers Series wp793, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
      Other versions:
    24. Paolo Paesani & Rolf Strauch & Manfred Kremer, 2006. "Public debt and long-term interest rates - the case of Germany, Italy and the USA," Working Paper Series 656, European Central Bank. [Downloadable!]
    25. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    26. Rebecca L Driver & Peter F Westaway, . "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England. [Downloadable!]
    27. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    28. Shehu Usman Rano, Aliyu, 2007. "Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria," MPRA Paper 10376, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    29. N. Kundan Kishor, 2007. "Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth? If So, Why?," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 427-448, November. [Downloadable!] (restricted)
    30. Cliff L.F. Attfield & Jonathan R.W. Temple, 2003. "Measuring trend output: how useful are the Great Ratios?," Bristol Economics Discussion Papers 03/555, Department of Economics, University of Bristol, UK. [Downloadable!]
      Other versions:
    31. Michael Funke & Jorg Rahn, 2004. "By How Much Is The Chinese Renminbi Undervalued?," Money Macro and Finance (MMF) Research Group Conference 2004 40, Money Macro and Finance Research Group. [Downloadable!]
    32. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
    33. Erik Theissen, 2001. "Price Discovery in Floor and Screen Trading Systems," Bonn Econ Discussion Papers bgse35_2001, University of Bonn, Germany. [Downloadable!]
      Other versions:
    34. Yoon Sook Kim & Jorge A. Chan-Lau, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 04/27, International Monetary Fund. [Downloadable!]
    35. Martin B. Schmidt, 2003. "The relative adjustment of wages and prices: direct tests within a multiple-equation system," Applied Economics, Taylor and Francis Journals, vol. 35(8), pages 985-997, January. [Downloadable!] (restricted)
    36. Naohiko Baba & Masakazu Inada, 2007. "Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS," IMES Discussion Paper Series 07-E-06, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    37. Norman Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    38. Roman Hotvath, 2005. "Real Equilibrium Exchange Rate Estimates: To What Extent Applicable for Setting the Central Parity?," International Finance 0509006, EconWPA. [Downloadable!]
    39. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    40. Jörg Rahn, 2003. "Bilateral Equilibrium Exchange Rates of the EU Accession Countries against the Euro," Quantitative Macroeconomics Working Papers 20306, Hamburg University, Department of Economics. [Downloadable!]
    41. Gerald Carlino & Keith Sill, 1998. "The cyclical behavior of regional per capita incomes in the postwar period," Working Papers 98-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
    42. Minoas Koukouritakis & Leo Michelis, 2003. "EU Enlargement: Are the New Countries Ready to Join the EMU? ," University of Cyprus Working Papers in Economics 6-2003, University of Cyprus Department of Economics. [Downloadable!]
    43. Gabriel Di Bella & Aurelie Martin & Mark Lewis, 2007. "Assessing Competitiveness and Real Exchange Rate Misalignment in Low-Income Countries," IMF Working Papers 07/201, International Monetary Fund. [Downloadable!]
    44. Mathias Hoffmann, 2005. "Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns," Computing in Economics and Finance 2005 229, Society for Computational Economics. [Downloadable!]
      Other versions:
    45. Lars Norden & Martin Weber, 2004. "The comovement of credit default swap, bond and stock markets: an empirical analysis," CFS Working Paper Series 2004/20, Center for Financial Studies. [Downloadable!]
    46. Johan Mathisen, 2003. "Estimation of the Equilibrium Real Exchange Rate for Malawi," IMF Working Papers 03/104, International Monetary Fund. [Downloadable!]
    47. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]
    48. Mathias Hoffmann & Ronald MacDonald, 2003. "A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    49. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007. [Downloadable!]
    50. Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, . "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers 185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    51. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York. [Downloadable!]
    52. J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005. "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers 0507, Department of Economics, University of Missouri, revised 18 Aug 2005. [Downloadable!]
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    53. Sergio Restrepo & Jesús Vazquez, 2003. "Cyclical Features of Uzawa-Lucas Endogenous Growth Model," DFAEII Working Papers 200230, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    54. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    55. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics. [Downloadable!]
    56. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society. [Downloadable!]
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    57. Consuelo Gámez Amián & Amalia Morales Zumaquero., 2002. "Complete or Partial Inflation Convergence in the EU?," Economic Working Papers at Centro de Estudios Andaluces E2002/09, Centro de Estudios Andaluces. [Downloadable!]
    58. Pham Van Ha & Tom Kompas, 2008. "Productivity and Exchange Rate Dynamics: Supporting the Harrod-Balassa-Samuelson Hypothesis through an ‘Errors in Variables’ Analysis," International and Development Economics Working Papers idec08-03, International and Development Economics. [Downloadable!]
    59. Minoas Koukouritakis & Leo Michelis, 2005. "Enlargement and Eurozone: Convergence or Divergence," Working Papers 0504, University of Crete, Department of Economics. [Downloadable!]
    60. A. F. Darrat & D. A. Yousef, 2004. "Fertility, human capital, and macroeconomic performance: long-term interactions and short-run dynamics," Applied Financial Economics, Taylor and Francis Journals, vol. 14(8), pages 537-554, May. [Downloadable!] (restricted)
    61. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
      Other versions:
    62. Frait, Jan & Komarek, Lubos & Meleck, Martin, 2006. "The Real Exchange Rate Misalignment in the Five Central European Countries," The Warwick Economics Research Paper Series (TWERPS) 739, University of Warwick, Department of Economics. [Downloadable!]
    63. Ondřej Schneider & Jan Zápal, 2005. "Fiscal Policy in New EU Member States: Go East, Prudent Man!," Working Papers IES 76, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005. [Downloadable!]
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    64. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics. [Downloadable!]
    65. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
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    66. Etienne B. Yehoue & Gilles J. Dufrénot, 2005. "Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis," IMF Working Papers 05/164, International Monetary Fund. [Downloadable!]
    67. J. Breitung, . "A Simultaneous Equations Approach to Cointegrated Systems," Sonderforschungsbereich 373 1995-46, Humboldt Universitaet Berlin.
    68. J. Breitung & B. Candelon, . "Common Cycles: A Frequency Domain Approach," Sonderforschungsbereich 373 2000-99, Humboldt Universitaet Berlin.
    69. Minoas Koukouritakis & Leo Michelis, 2005. "The Term Structures of Interest Rates in the New and Prospective EU Countries," Working Papers 0505, University of Crete, Department of Economics. [Downloadable!]
    70. Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    71. Deniz Atasoy & Sweta C. Saxena, 2005. "Misaligned? Overvalued? The Untold Story of the Turkish Lira," International Finance 0508002, EconWPA. [Downloadable!]
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    72. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    73. Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007. "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers 2007-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    74. Noureddine Krichene, 2008. "Recent Inflationary Trends in World Commodities Markets," IMF Working Papers 08/130, International Monetary Fund. [Downloadable!]
    75. Bongjin Kim & Mark M. Suazo & John E. Prescott, . "Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness," Working Papers 0032, College of Business, University of Texas at San Antonio. [Downloadable!]
    76. Roberto Blanco & Simon Brennan & Ian W Marsh, . "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England. [Downloadable!]
    77. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Testing for PPP: Should We Use Panel Methods?," Working Papers 186, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    78. Christopher Chung & Bryan Campbell & Scott Hendry, 2007. "Price Discovery in Canadian Government Bond Futures and Spot Markets," Working Papers 07-4, Bank of Canada. [Downloadable!]
    79. John Ammer & Fang Cai, 2007. "Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?," International Finance Discussion Papers 912, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    80. Yiuman Tse & Emily Norman Zietz & Gaylon Greer, 1998. "Anticipating Change in Development Activity Levels," Journal of Real Estate Research, American Real Estate Society, vol. 16(2), pages 159-168. [Downloadable!]
    81. Alberola, Enrique & Lopez, Humberto & Serven, Luis, 2004. "Tango with the Gringo: the hard peg and real misalignment in Argentina," Policy Research Working Paper Series 3322, The World Bank. [Downloadable!]
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    82. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    83. Patricia Alonso-Gamo & Stefania Fabrizio & V. Kramarenko & Qing Wang, 2002. "Lithuania: History and Future of the Currency Board Arrangement:," IMF Working Papers 02/127, International Monetary Fund. [Downloadable!]
    84. Francisco Maeso Fernandez & Bernd Schnatz & Chiara Osbat, 2001. "Determinants of the Euro real effective exchange rate: a BEER/PEER approach," Working Paper Series 085, European Central Bank. [Downloadable!]
      Other versions:
    85. Clemens J.M. Kool, 2007. "Financial Stability in European Banking: The Role of Common Factors," Money Macro and Finance (MMF) Research Group Conference 2006 101, Money Macro and Finance Research Group. [Downloadable!]
    86. Jörg Rahn, 2004. "Bilaterial equilibrium exchange rates of EU accession countries against the euro," Macroeconomics 0401010, EconWPA. [Downloadable!]
    87. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    88. Minoas Koukouritakis & Leo Michelis, 2005. "Term Structure Linkages Among the New EU Countries and the EMU," Working Papers 0515, University of Crete, Department of Economics. [Downloadable!]
    89. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December. [Downloadable!] (restricted)
    90. Ali F. Darrat, 2002. "On Budget Deficits And Interest Rates: Another Look At The Evidence ," International Economic Journal, Korean International Economic Association, vol. 16(2), pages 19-29, June. [Downloadable!] (restricted)
    91. Roberto Pascual & Bartolomé Pascual-Fuste & Francisco Climent, 2001. "Cross-listing, Price Discovery and the Informativeness of the Trading Process," Business Economics Working Papers wb014511, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
      Other versions:
    92. Clifford L.F. Attfield, 2003. "Structural Breaks and Permanent Trends," Bristol Economics Discussion Papers 03/545, Department of Economics, University of Bristol, UK. [Downloadable!]
    93. Kuiper, W. Erno & Lutz, Clemens & van Tilburg, Aad, 2002. "Vertical Price Leadership on Local Maize Markets in Benin," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24886, European Association of Agricultural Economists. [Downloadable!]
    94. Jonathan Temple & Cliff Attfield, 2004. "Measuring trend growth: how useful are the great ratios?," Money Macro and Finance (MMF) Research Group Conference 2003 101, Money Macro and Finance Research Group. [Downloadable!]
    95. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Working Papers 06-13, Utrecht School of Economics. [Downloadable!]
    96. Manolis Syllignakis & Georgios Kouretas, 2006. "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series wp832, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    97. Paruolo Paolo, 2004. "The likelihood ratio test for the rank of a cointegration submatrix," Economics and Quantitative Methods qf04024, Department of Economics, University of Insubria. [Downloadable!]
      Other versions:
    98. Mtonga, Elvis, 2006. "The real exchange rate of the rand and competitiveness of South Africa's trade," MPRA Paper 1192, University Library of Munich, Germany. [Downloadable!]
    99. Roman Horváth, 2005. "Real Equilibrium Exchange Rate Estimates: To What Extent Are They Applicable for Setting the Central Parity?," Working Papers IES 75, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005. [Downloadable!]
    100. Rahn, Jörg, 2003. "Bilaterial equilibrium exchange rates of EU accession countries against the euro," BOFIT Discussion Papers 11/2003, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    101. Osamah Al-Khazali & Ali F. Darrat & Mohsen Saad, 2006. "Intra-regional integration of the GCC stock markets: the role of market liberalization," Applied Financial Economics, Taylor and Francis Journals, vol. 16(17), pages 1265-1272, November. [Downloadable!] (restricted)
    102. J. M. Gil & B. Dhehibi & M. Ben Kaabia & A. M. Angulo, 2004. "Non-stationarity and the import demand for virgin olive oil in the European Union," Applied Economics, Taylor and Francis Journals, vol. 36(16), pages 1859-1869, September. [Downloadable!] (restricted)
    103. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada. [Downloadable!]
      Other versions:
    104. Frank de Jong, 2001. "Measures of Contributions to Price Discovery: A Comparison," Tinbergen Institute Discussion Papers 01-114/2, Tinbergen Institute. [Downloadable!]

  53. C. W.J. Granger, 1991. "Forecasting Stock Market Prices - Lessons for Forecasters," University of California at San Diego, Economics Working Paper Series 91-23, Department of Economics, UC San Diego.
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    Cited by:

    1. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    2. Li, GuangJie, 2009. "The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence," Cardiff Economics Working Papers E2009/4, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2009. [Downloadable!]
    3. M. Hashem Pesaran, 2005. "Market Efficiency Today," IEPR Working Papers 05.41, Institute of Economic Policy Research (IEPR). [Downloadable!]
    4. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]
    5. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    6. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
    7. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society. [Downloadable!]

  54. Granger, C.W.J., 1990. "Developments In The Nonlinear Analysis Of Economic Series," Economics Working Papers 1990-13, School of Economics and Management, University of Aarhus.
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    Cited by:

    1. Honohan, Patrick & Vittas, Dimitri, 1996. "Bank regulation and the network paradigm : policy implications for developing and transition economies," Policy Research Working Paper Series 1631, The World Bank. [Downloadable!]
    2. Manfred M. Fischer & Wolfgang Koller, 2001. "Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate," ERSA conference papers ersa01p233, European Regional Science Association. [Downloadable!]
    3. Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    4. Ivan Paya & David A. Peel, 2004. "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD 2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    5. Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute. [Downloadable!]
    6. Patrick Honohan, 1995. "The Impact of Financial and Fiscal Policies on Saving," Papers WP059, Economic and Social Research Institute (ESRI). [Downloadable!]
    7. Ramsey, James B., 1995. "If Nonlinear Models Cannot Forecast, What Use Are They?," Working Papers 95-04, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]

  55. H. M. Anderson & C. W.J. Granger & A. D. Hall, 1990. "Treasury Bill Yield Curves and Cointegration," University of California at San Diego, Economics Working Paper Series 90-24, Department of Economics, UC San Diego.
    Other versions:

    Cited by:

    1. Barry Scholnick, 1999. "Interest Rate Asymmetries in Long-Term Loan and Deposit Markets," Journal of Financial Services Research, Springer, vol. 16(1), pages 5-26, September. [Downloadable!] (restricted)
    2. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Working Papers 110, University of Milano-Bicocca, Department of Economics, revised 2007. [Downloadable!]
    3. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics 07/06, Department of Economics, University of Leicester. [Downloadable!]

  56. Clive Granger & Jeff Hallman, 1990. "Long Memory Series with Attractors," University of California at San Diego, Economics Working Paper Series 90-9, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Herwany, Aldrin & Febrian, Erie, 2008. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," MPRA Paper 10259, University Library of Munich, Germany. [Downloadable!]
    2. J. Breitung & C. Wulff, . "Nonlinear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares," Sonderforschungsbereich 373 1999-67, Humboldt Universitaet Berlin.
    3. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Paper 9014, Federal Reserve Bank of Cleveland. [Downloadable!]
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers 04-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    5. Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany. [Downloadable!]
    6. H. Karlsen & T. Myklebust & D. Tjostheim, . "Nonparametric Estimation in a Nonlinear Cointegration Type Model," Sonderforschungsbereich 373 2000-33, Humboldt Universitaet Berlin.
    7. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor and Francis Journals, vol. 12(4), pages 199-202, March. [Downloadable!] (restricted)
    8. Canegrati, Emanueke, 2008. "In Search of Market Index Leaders: Evidence from Asian Markets," MPRA Paper 11246, University Library of Munich, Germany. [Downloadable!]
    9. Yann Schorderet, 2003. "Asymmetric Cointegration," Cahiers du Département d'Econométrie 2003.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    10. A. Kanas, 2003. "Non-linear cointegration between stock prices and dividends," Applied Economics Letters, Taylor and Francis Journals, vol. 10(7), pages 401-405, May. [Downloadable!] (restricted)
    11. Roberto Ricciuti, 2004. "Nonlinearity in testing for fiscal sustainability," Money Macro and Finance (MMF) Research Group Conference 2003 80, Money Macro and Finance Research Group. [Downloadable!]
    12. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November. [Downloadable!] (restricted)
    13. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
      • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    14. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    15. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
    16. Aldrin Herwany & Erie Febrian, 2009. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Economics and Development Studies (WoPEDS) 200909, Department