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Clive W. J. Granger

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.

    Mentioned in:

    1. La svalutazzzzzione sarà imprevedibile però sarà devastante (leggende metropolitane bipartisan)
      by Alberto Bagnai in Goofynomics on 2015-01-22 16:40:00
    2. ☆☆☆☆ Qu’est-ce qu’un modèle à correction d’erreur ?
      by contact@bsi-economics.org (BSI Economics) in BS Initiative on 2014-03-17 05:00:00
  2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.

    Mentioned in:

    1. DGP 2 (post ad personam): spettri e corbelli
      by Alberto Bagnai in Goofynomics on 2016-08-20 15:12:00
  3. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.

    Mentioned in:

    1. Volatility
      by Clive Jones in Business Forecasting on 2013-04-01 22:17:43
  4. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.

    Mentioned in:

    1. They say academic papers are boring. They obviously haven’t read these.
      by Johan Fourie in Johan Fourie's Blog on 2014-06-04 13:10:07
    2. A new take on causality
      by Mark Buchanan in The Physics of Finance on 2012-12-06 23:47:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models
  2. G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1.

    Mentioned in:

    1. > Econometrics > Forecasting
  3. G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.

    Mentioned in:

    1. > Econometrics > Forecasting
  4. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.

    Mentioned in:

    1. > Econometrics > Forecasting

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Granger, Clive W J, 1996. "Can We Improve the Perceived Quality of Economic Forecasts?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 455-473, Sept.-Oct.

    Mentioned in:

    1. Can we improve the perceived quality of economic forecasts? (Journal of Applied Econometrics 1996) in ReplicationWiki ()
  2. Clive W. J. Granger, 2002. "Some comments on risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 447-456.

    Mentioned in:

    1. Some comments on risk (Journal of Applied Econometrics 2002) in ReplicationWiki ()
  3. Author Profile
    1. Клајв Гренџер in Wikipedia (Macedonian)
    2. Clive Granger in Wikipedia (Dutch)
    3. Clive W.J. Granger in Wikipedia (Norwegian)
    4. Clive Granger in Wikipedia (Vietnamese)

Working papers

  1. Carson, Richard & GRANGER, CLIVE W & Jackson, Jeremy & Schlenker, Wolfram, 2006. "Fisheries Management Under Cyclical Population Dynamics," University of California at San Diego, Economics Working Paper Series qt4586c8tk, Department of Economics, UC San Diego.

    Cited by:

    1. Jang, Ho Geun & Yamazaki, Satoshi & Hoshino, Eriko, 2019. "Profit and equity trade-offs in the management of small pelagic fisheries: the case of the Japanese sardine fishery," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), July.
    2. Georgios Karakatsanis & Nikos Mamassis, 2023. "Energy, Trophic Dynamics and Ecological Discounting," Land, MDPI, vol. 12(10), pages 1-43, October.
    3. Michele Baggio, 2016. "Optimal Fishery Management with Regime Shifts: An Assessment of Harvesting Strategies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 64(3), pages 465-492, July.
    4. Christopher Costello & Bruno Nkuiya & Nicolas Querou, 2017. "Extracting spatial resources under possible regime shift," Working Papers hal-01615939, HAL.
    5. Diana Dijk & Eligius M. T. Hendrix & Rene Haijema & Rolf A. Groeneveld & Ekko C. Ierland, 2017. "An Adjustment Restriction on Fish Quota: Resource Rents, Overcapacity and Recovery of Fish Stock," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 67(2), pages 203-230, June.
    6. Kvamsdal, Sturla F. & Maroto, José M. & Morán, Manuel & Sandal, Leif K., 2020. "Bioeconomic modeling of seasonal fisheries," European Journal of Operational Research, Elsevier, vol. 281(2), pages 332-340.
    7. McGough Bruce & Plantinga Andrew J. & Costello Christopher, 2009. "Optimally Managing a Stochastic Renewable Resource under General Economic Conditions," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(1), pages 1-31, December.
    8. Christopher Costello & Nicolas Querou & Agnès Tomini, 2015. "Partial enclosure of the commons," Post-Print hal-01132260, HAL.
    9. Huang, Ling & Smith, Martin D., 2011. "Management of an annual fishery in the presence of ecological stress: The case of shrimp and hypoxia," Ecological Economics, Elsevier, vol. 70(4), pages 688-697, February.
    10. James Rising & Geoffrey Heal, 2014. "Global Benefits of Marine Protected Areas," NBER Working Papers 19982, National Bureau of Economic Research, Inc.
    11. Aleksandr Abakumov & Yuri Izrailsky, 2022. "Optimal Harvest Problem for Fish Population—Structural Stabilization," Mathematics, MDPI, vol. 10(6), pages 1-16, March.
    12. Jules Selles, 2018. "Fisheries management: what uncertainties matter?," Working Papers hal-01824238, HAL.
    13. Baggio, Michele & Fackler, Paul L., 2016. "Optimal management with reversible regime shifts," Journal of Economic Behavior & Organization, Elsevier, vol. 132(PB), pages 124-136.

  2. Granger, Clive W.J., 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series qt2nb9f668, Department of Economics, UC San Diego.

    Cited by:

    1. Siti Nur Zahara HAMZAH & Evan LAU, 2013. "The role of social factors in explaining crime," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(6(583)), pages 99-118, June.
    2. Sollis, Robert, 2011. "Spurious regression: A higher-order problem," Economics Letters, Elsevier, vol. 111(2), pages 141-143, May.
    3. Jajcay, Nikola, 2018. "Spatial and temporal scales of atmospheric dynamics," Thesis Commons ar8ks, Center for Open Science.
    4. Carter, Colin A. & Smith, Aaron D., 2004. "The Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," Working Papers 11997, University of California, Davis, Department of Agricultural and Resource Economics.
    5. Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice : An Interview with David F. Hendry," International Finance Discussion Papers 1184, Board of Governors of the Federal Reserve System (U.S.).
    6. José R. Gamarra, 2006. "¿Cómo se comportan las tasas de desempleo en siete ciudades colombianas?," Revista de Economía del Rosario, Universidad del Rosario, December.
    7. Berta, Paolo & Lovaglio, Pietro Giorgio & Paruolo, Paolo & Verzillo, Stefano, 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," JRC Working Papers in Economics and Finance 2020-08, Joint Research Centre, European Commission.
    8. Manthos D. Delis & Yiannis Karavias, 2013. "Optimal versus realized bank credit risk and monetary policy," Discussion Papers 13/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    9. Bezemer, Dirk & Grydaki, Maria, 2014. "Financial fragility in the Great Moderation," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 169-177.
    10. Aneel Bhusal & Madhu Sudan Gautam, 2022. "Impact of Gold Prices on Stock Exchange: An Empirical Case Study of Nepal," Papers 2202.00007, arXiv.org.
    11. Gabriel Caldas Montes & Iven Silva Valpassos, 2018. "Discretionary fiscal policy and sovereign risk," Economics Bulletin, AccessEcon, vol. 38(3), pages 1343-1365.
    12. Petras Rupšys, 2019. "Understanding the Evolution of Tree Size Diversity within the Multivariate Nonsymmetrical Diffusion Process and Information Measures," Mathematics, MDPI, vol. 7(8), pages 1-22, August.
    13. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 2006-016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    14. Medel, Carlos A., 2015. "Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis," MPRA Paper 65667, University Library of Munich, Germany.
    15. Jean Loo & Haihong He, 2018. "Economic Growth and Government Debt of Six Large National Economies before and after the 2008 Financial Crisis," Accounting and Finance Research, Sciedu Press, vol. 7(4), pages 1-30, November.
    16. Ruxanda, Gheorghe & Botezatu, Andreea, 2008. "Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 51-62, September.
    17. Masih, Mansur & Algahtani, Ibrahim & De Mello, Lurion, 2010. "Price dynamics of crude oil and the regional ethylene markets," Energy Economics, Elsevier, vol. 32(6), pages 1435-1444, November.
    18. Zhang, YunQian, 2022. "Influence of stock market factors on the natural resources dependence for environmental change: Evidence from China," Resources Policy, Elsevier, vol. 77(C).
    19. Daniela Ruxandra Andrei & Rodica-Manuela Gogonea & Marian Zaharia & Jean-Vasile Andrei, 2014. "Is Romanian Rural Tourism Sustainable? Revealing Particularities," Sustainability, MDPI, vol. 6(12), pages 1-13, December.
    20. Aleksander Janeš & Armand Faganel, 2015. "Managing Sustainable Profit," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
    21. Chao Chiung Ting, 2018. "Phillips Curve Is a Particular Case that Economists Misinterpret the Correlation between Two Dependent Variables for Causal Relation," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(11), pages 1-70, November.
    22. Adriana AnaMaria DAVIDESCU & Catalin Corneliu GHINARARU, 2015. "The Hare and the Tortoise. How Older Generations Are Replaced By Young One on the Labour Market: Signals and Insights from the Relationship between Shadow Economy and Active Ageing," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 18(1), pages 163-171, June.
    23. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, March.
    24. Mahembe, Edmore & Odhiambo, Nicholas M, 2019. "Foreign aid,poverty and economic growth in developing countries: A dynamic panel data causality analysis," Working Papers 25170, University of South Africa, Department of Economics.
    25. Feng, Cong & Cui, Mingjian & Hodge, Bri-Mathias & Zhang, Jie, 2017. "A data-driven multi-model methodology with deep feature selection for short-term wind forecasting," Applied Energy, Elsevier, vol. 190(C), pages 1245-1257.
    26. Medel, Carlos, 2015. "Producers, Politicians, Warriors, and Forecasters: Who's Who in the Oil Market?," MPRA Paper 65298, University Library of Munich, Germany.
    27. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    28. Jozef Vilček & Štefan Koco & Eva Litavcová & Stanislav Torma, 2020. "Characteristics of Soil Parameters of Agricultural Land Use Types, Their Location and Development Forecast," Land, MDPI, vol. 9(6), pages 1-17, June.
    29. Jinkyu Kim & Gunn Kim & Sungbae An & Young-Kyun Kwon & Sungroh Yoon, 2013. "Entropy-Based Analysis and Bioinformatics-Inspired Integration of Global Economic Information Transfer," PLOS ONE, Public Library of Science, vol. 8(1), pages 1-10, January.
    30. Heagney, E.C. & Falster, D.S. & Kovač, M., 2021. "Land clearing in south-eastern Australia: Drivers, policy effects and implications for the future," Land Use Policy, Elsevier, vol. 102(C).
    31. Sven Baehre & Michele O’Dwyer & Lisa O’Malley & Nick Lee, 2022. "The use of Net Promoter Score (NPS) to predict sales growth: insights from an empirical investigation," Journal of the Academy of Marketing Science, Springer, vol. 50(1), pages 67-84, January.
    32. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 2006-012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    33. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    34. Emanuele Felice & Josep Pujol Andreu, 2013. "GDP and life expectancy in Italy and Spain over the long-run (1861-2008): insights from a time-series approach," UHE Working papers 2013_06, Universitat Autònoma de Barcelona, Departament d'Economia i Història Econòmica, Unitat d'Història Econòmica.
    35. Muyambiri, Brian & Chiwira, Oscar & Enowbi Batuo, Michael & Chiranga, Ngonidzashe, 2010. "The Causal Relationship between Private and Public Investment in Zimbabwe," MPRA Paper 26671, University Library of Munich, Germany.
    36. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    37. Raúl Gómez Martínez & Paola Plaza Casado & Consolación Quintana Rojo & Camilo Prado Román, 2016. "Influencia de los mensajes de Twitter sobre el Ibex 35," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 2(1), pages 24-39, July.
    38. Bhushan P Jangam & Vaseem Akram, 2019. "Does participation in global value chain foster export concentration?," Economics Bulletin, AccessEcon, vol. 39(4), pages 2913-2920.
    39. Swaroop R. Chary & Alok K. Bohara, 2010. "Carbon Emissions, Energy Consumption and Income in SAARC Countries," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 11(1), pages 21-30, March.
    40. Foverskov, Else & Holm, Anders, 2016. "Socioeconomic inequality in health in the British household panel: Tests of the social causation, health selection and the indirect selection hypothesis using dynamic fixed effects panel models," Social Science & Medicine, Elsevier, vol. 150(C), pages 172-183.
    41. Sung No & Donald Andrews & Ashagre Yigletu, 2007. "Dynamic Analysis of Income and Independence Effect of African American Female Labor Force Participation on Divorce," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 35(2), pages 159-171, June.
    42. Genovaitė Liobikienė & Mindaugas Butkus & Kristina Matuzevičiūtė, 2019. "The Contribution of Energy Taxes to Climate Change Policy in the European Union (EU)," Resources, MDPI, vol. 8(2), pages 1-23, April.

  3. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, University Library of Munich, Germany.

    Cited by:

    1. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
    2. 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.
    3. Hoga, Yannick, 2017. "Monitoring multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 105-121.
    4. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
    5. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    6. Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers 2012-07, Department of Economics and Business Economics, Aarhus University.
    7. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
    8. Gao, Jiti & Robinson, Peter M., 2014. "Inference on nonstationary time series with moving mean," LSE Research Online Documents on Economics 66509, London School of Economics and Political Science, LSE Library.
    9. Bill Russell & Dooruj Rambaccussing, 2019. "Breaks and the statistical process of inflation: the case of estimating the ‘modern’ long-run Phillips curve," Empirical Economics, Springer, vol. 56(5), pages 1455-1475, May.
    10. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
    11. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    12. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    13. Gürtler, Marc & Kreiss, Jens-Peter & Rauh, Ronald, 2009. "A non-stationary approach for financial returns with nonparametric heteroscedasticity," Working Papers IF31V2, Technische Universität Braunschweig, Institute of Finance.
    14. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    15. 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.
    16. Ewing, Bradley T. & Malik, Farooq, 2016. "Volatility spillovers between oil prices and the stock market under structural breaks," Global Finance Journal, Elsevier, vol. 29(C), pages 12-23.
    17. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
    18. Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
    19. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    20. Malik, Farooq, 2021. "Volatility spillover between exchange rate and stock returns under volatility shifts," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 605-613.
    21. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    22. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    23. 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.
    24. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    25. Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
    26. Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
    27. Hood, Matthew & Malik, Farooq, 2013. "Is gold the best hedge and a safe haven under changing stock market volatility?," Review of Financial Economics, Elsevier, vol. 22(2), pages 47-52.
    28. Laurie Davies & Walter Kraemer, 2016. "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series 5796, CESifo.
    29. Xu, Shiyun & Shao, Menglin & Qiao, Wenxuan & Shang, Pengjian, 2018. "Generalized AIC method based on higher-order moments and entropy of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1127-1138.
    30. Gao, Jiti & Robinson, Peter M., 2016. "Inference On Nonstationary Time Series With Moving Mean," Econometric Theory, Cambridge University Press, vol. 32(2), pages 431-457, April.
    31. Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016. "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, vol. 59(C), pages 400-413.
    32. Chen, Zhihong & Xia, Huizhu, 2020. "Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve," Economic Modelling, Elsevier, vol. 93(C), pages 595-604.
    33. Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
    34. Ibrahim Ahamada & Philippe Jolivaldt, 2013. "Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP," Post-Print hal-00768502, HAL.
    35. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
    36. Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
    37. Dominique Guegan & Philippe de Peretti, 2011. "Tests of Structural Changes in Conditional Distributions with Unknown Changepoints," Documents de travail du Centre d'Economie de la Sorbonne 11042, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    38. Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
    39. Fryzlewicz, Piotr & Oh, H. S., 2011. "Thick pen transformation for time series," LSE Research Online Documents on Economics 37663, London School of Economics and Political Science, LSE Library.
    40. Pal, Debdatta, 2022. "Does hospitality industry stock volatility react asymmetrically to health and economic crises?," Economic Modelling, Elsevier, vol. 108(C).
    41. Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Post-Print halshs-00187875, HAL.
    42. Razvan Pascalau & Christian Thomann & Greg N. Gregoriou, 2011. "Unconditional Mean, Volatility, and the FOURIER-GARCH Representation," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, chapter 5, pages 90-106, Palgrave Macmillan.
    43. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
    44. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
    45. Misheck Mutize & Sean J. Gossel, 2019. "Sovereign Credit Rating Announcement Effects on Foreign Currency Denominated Bond and Equity Markets in Africa," Journal of African Business, Taylor & Francis Journals, vol. 20(1), pages 135-152, January.
    46. Robinson, Peter M., 2012. "Nonparametric trending regression with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 169(1), pages 4-14.
    47. Roberto Ferulano, 2009. "A Mixed Historical Formula to forecast volatility," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 124-136, June.
    48. Zexuan Yin & Paolo Barucca, 2022. "Neural Generalised AutoRegressive Conditional Heteroskedasticity," Papers 2202.11285, arXiv.org.
    49. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 326-360, Summer.
    50. Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Other publications TiSEM a5a7b05f-5f1f-46ed-8ce8-5, Tilburg University, School of Economics and Management.
    51. Krämer, Walter & Tameze, Baudouin & Christou, Konstantinos, 2012. "On the origin of high persistence in GARCH-models," Economics Letters, Elsevier, vol. 114(1), pages 72-75.
    52. Gabriel Rodríguez, 2016. "Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cam," Documentos de Trabajo / Working Papers 2016-416, Departamento de Economía - Pontificia Universidad Católica del Perú.
    53. Erragragui, Elias & Hassan, M. Kabir & Peillex, Jonathan & Khan, Abu Nahian Faisal, 2018. "Does ethics improve stock market resilience in times of instability?," Economic Systems, Elsevier, vol. 42(3), pages 450-469.
    54. 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.
    55. Charfeddine, Lanouar & Maouchi, Youcef, 2019. "Are shocks on the returns and volatility of cryptocurrencies really persistent?," Finance Research Letters, Elsevier, vol. 28(C), pages 423-430.
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    87. Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
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    96. Rita Laura D’Ecclesia & Daniele Clementi, 2021. "Volatility in the stock market: ANN versus parametric models," Annals of Operations Research, Springer, vol. 299(1), pages 1101-1127, April.
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    Cited by:

    1. Tae-Hwy Lee & Weiping Yang, 2014. "Granger-Causality in Quantiles between Financial Markets: Using Copula Approach," Working Papers 201406, University of California at Riverside, Department of Economics.
    2. Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
    3. Miguel Carvalho & António Rua, 2014. "Extremal Dependence in International Output Growth: Tales from the Tails," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(4), pages 605-620, August.
    4. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
    5. 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, HAL.
    6. Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time‐Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, August.
    7. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
    8. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 84-137.
    9. Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2010. "A copula-VAR-X approach for industrial production modelling and forecasting," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3267-3277.
    10. Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Post-Print halshs-00188248, HAL.
    11. Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
    12. Michał Majsterek & Emilia Gosińska, 2020. "Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 317-345, December.
    13. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
    14. Manner, H., 2007. "Estimation and model selection of copulas with an application to exchange rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    15. Fantazzini, Dean, 2008. "Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 11(3), pages 87-122.
    16. Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
    17. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 457-493, June.
    18. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    19. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    20. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
    21. Robert B. Durand & Markus Junker & Alex Szimayer, 2010. "The flight‐to‐quality effect: a copula‐based analysis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(2), pages 281-299, June.
    22. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
    23. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Post-Print halshs-00375765, HAL.
    24. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00368334, HAL.
    25. Dominique Guegan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00189141, HAL.
    26. 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.
    27. Pérez, Ana & Prieto-Alaiz, Mercedes, 2016. "A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 41-50.
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    29. Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    30. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.
    31. Dominique Guegan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00189141, HAL.
    32. Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
    33. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
    34. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    35. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," PSE-Ecole d'économie de Paris (Postprint) halshs-00368334, HAL.
    36. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
    37. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
    38. 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.
    39. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
    40. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Post-Print halshs-00368336, HAL.
    41. Xu Wang & Xueyan Wu & Yingying Zhou, 2022. "Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model," Energies, MDPI, vol. 15(14), pages 1-21, July.
    42. Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.

  5. Timmermann, Allan & Granger, Clive, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.

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    1. Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
    2. Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange," MPRA Paper 89023, University Library of Munich, Germany, revised 22 Dec 2016.
    3. Felicia Ramona Birău, 2012. "The Impact Of Behavioral Finance On Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 45-50, September.
    4. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
    5. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    6. Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan, 2020. "The Out-of-Sample Performance of Carry Trades," CEPR Discussion Papers 15052, C.E.P.R. Discussion Papers.
    7. Kizilaslan, Recep & Freund, Steven & Iseri, Ali, 2016. "A data analytic approach to forecasting daily stock returns in an emerging marketAuthor-Name: Oztekin, Asil," European Journal of Operational Research, Elsevier, vol. 253(3), pages 697-710.
    8. Derick D. Quintino & Sergio A. David & Carlos E. de F. Vian, 2017. "Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil," IJFS, MDPI, vol. 5(2), pages 1-10, April.
    9. Firat Melih Yilmaz & Engin Yildiztepe, 2024. "Statistical Evaluation of Deep Learning Models for Stock Return Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 221-244, January.
    10. 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.
    11. Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew, 2014. "Revisiting the Performance of MACD and RSI Oscillators," JRFM, MDPI, vol. 7(1), pages 1-12, February.
    12. Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
    13. Jang, Minchul & Yoon, Soeun & Jung, Seoyoung & Min, Baehyun, 2024. "Simulating and assessing carbon markets: Application to the Korean and the EU ETSs," Renewable and Sustainable Energy Reviews, Elsevier, vol. 195(C).
    14. Mishra, Sasmita & Padhy, Sudarsan, 2019. "An efficient portfolio construction model using stock price predicted by support vector regression," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    15. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
    16. Yaya, OlaOluwa S. & Vo, Xuan Vinh & Adekoya, Oluwasegun B., 2021. "Market Efficiency of Asian Stocks: Evidence based on Narayan-Liu-Westerlund GARCH-based Unit root test," MPRA Paper 109828, University Library of Munich, Germany.
    17. Anghel, Dan Gabriel, 2021. "Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models," Journal of Banking & Finance, Elsevier, vol. 126(C).
    18. Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
    19. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M., 2020. "The (in)efficiency of NYMEX energy futures: A multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    20. Paroissien, Emmanuel, 2020. "Forecasting bulk prices of Bordeaux wines using leading indicators," International Journal of Forecasting, Elsevier, vol. 36(2), pages 292-309.
    21. Gabriel Frahm, 2013. "Pricing and Valuation under the Real-World Measure," Papers 1304.3824, arXiv.org, revised Jan 2016.
    22. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
    23. Deniz Ersan & Chifumi Nishioka & Ansgar Scherp, 2020. "Comparison of machine learning methods for financial time series forecasting at the examples of over 10 years of daily and hourly data of DAX 30 and S&P 500," Journal of Computational Social Science, Springer, vol. 3(1), pages 103-133, April.
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    Cited by:

    1. Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.

  7. Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.

    Cited by:

    1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers 05-44, Bank of Canada.
    2. Percoco, Marco, 2015. "Temporal aggregation and spatio-temporal traffic modeling," Journal of Transport Geography, Elsevier, vol. 46(C), pages 244-247.
    3. Michael Beenstock & Daniel Felsenstein, 2010. "Spatial error correction and cointegration in nonstationary panel data: regional house prices in Israel," Journal of Geographical Systems, Springer, vol. 12(2), pages 189-206, June.
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  8. Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002. "Common Factors in Conditional Distributions," University of California at San Diego, Economics Working Paper Series qt3bd1n1x5, Department of Economics, UC San Diego.

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    1. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    2. Gonzalo, Jesús & Olmo, José, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de Economía.

  9. Granger, Clive W.J. & YOON, GAWON, 2002. "Hidden Cointegration," University of California at San Diego, Economics Working Paper Series qt9qn5f61j, Department of Economics, UC San Diego.

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    4. Hatemi-J, Abdulnasser, 2012. "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, vol. 26(2), pages 273-280.
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    20. Shahbaz Muhammad & Ramzi Benkraiem & Anthony Miloudi & Amine Lahiani, 2017. "Production function with electricity consumption and policy implications in Portugal," Post-Print hal-01611583, HAL.
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    39. Kangasharju, A. & Tavera, C. & Nijkamp, P., 2011. "Regional growth and unemployment. The validity of Okun's law for the Finnish regions," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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    Cited by:

    1. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
    2. 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 and International Relations Area.
    3. Duarte, Claudia & Rua, Antonio, 2007. "Forecasting inflation through a bottom-up approach: How bottom is bottom?," Economic Modelling, Elsevier, vol. 24(6), pages 941-953, November.
    4. 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, Department of Economics.
    5. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.

  11. 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, Informatica, Applicazioni "G. Parenti".

    Cited by:

    1. Chia-Lin Chang & Bert de Bruijn & Philip Hans Franses & Michael McAleer, 2013. "Analyzing Fixed-event Forecast Revisions," Documentos de Trabajo del ICAE 2013-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2013.
    2. Stefan Günnel & Karl-Heinz Tödter, 2009. "Does Benford’s Law hold in economic research and forecasting?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(3), pages 273-292, August.
    3. Reslow, André, 2019. "Inefficient Use of Competitors’ Forecasts?," Working Paper Series 2019:9, Uppsala University, Department of Economics.
    4. Döhrn, Roland, 2019. "Comparing forecast accuracy in small samples," Ruhr Economic Papers 833, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    5. Jonas Dovern & Ulrich Fritsche, 2008. "Estimating fundamental cross-section dispersion from fixed event forecasts," Macroeconomics and Finance Series 200801, University of Hamburg, Department of Socioeconomics.
    6. Dovern, Jonas, 2013. "When are GDP forecasts updated? Evidence from a large international panel," Economics Letters, Elsevier, vol. 120(3), pages 521-524.
    7. Yoichi Tsuchiya, 2021. "Crises, market shocks, and herding behavior in stock price forecasts," Empirical Economics, Springer, vol. 61(2), pages 919-945, August.
    8. Lin, Mei-Chen, 2018. "The impact of aggregate uncertainty on herding in analysts' stock recommendations," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 90-105.
    9. Borgioli, Stefano & Gallo, Giampiero M. & Ongari, Chiara, 2024. "Financial returns, sentiment and market volatility. A dynamic assessment," Working Paper Series 2999, European Central Bank.
    10. Bernhardt, Dan & Campello, Murillo & Kutsoati, Edward, 2006. "Who herds?," Journal of Financial Economics, Elsevier, vol. 80(3), pages 657-675, June.
    11. Kaminska, Iryna & Roberts-Sklar, Matt, 2017. "Volatility in equity markets and monetary policy rate uncertainty," Bank of England working papers 700, Bank of England.
    12. Deschamps, Bruno & Ioannidis, Christos & Ka, Kook, 2020. "High-frequency credit spread information and macroeconomic forecast revision," International Journal of Forecasting, Elsevier, vol. 36(2), pages 358-372.
    13. Meade, Nigel & Driver, Ciaran, 2023. "Differing behaviours of forecasters of UK GDP growth," International Journal of Forecasting, Elsevier, vol. 39(2), pages 772-790.
    14. Bruno Deschamps & Christos Ioannidis, 2014. "The Efficiency of Multivariate Macroeconomic Forecasts," Manchester School, University of Manchester, vol. 82(5), pages 509-523, September.
    15. 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.
    16. 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.
    17. Kajal Lahiri & Gultekin Isiklar, 2006. "How Far Ahead Can We Forecast? Evidence From Cross-country Surveys," Discussion Papers 06-04, University at Albany, SUNY, Department of Economics.
    18. John B. Broughton & Bento J. Lobo, 2018. "Herding and anchoring in macroeconomic forecasts: the case of the PMI," Empirical Economics, Springer, vol. 55(3), pages 1337-1355, November.
    19. Bizer, Kilian & Meub, Lukas & Proeger, Till & Spiwoks, Markus, 2014. "Strategic coordination in forecasting: An experimental study," University of Göttingen Working Papers in Economics 195, University of Goettingen, Department of Economics.
    20. Rülke, Jan-Christoph & Silgoner, Maria & Wörz, Julia, 2016. "Herding behavior of business cycle forecasters," International Journal of Forecasting, Elsevier, vol. 32(1), pages 23-33.
    21. Zanetti Chini, Emilio, 2025. "Judgment can spur long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
    22. de Mendonça, Helder Ferreira & Vereda, Luciano & Araujo, Mateus de Azevedo, 2022. "What type of information calls the attention of forecasters? Evidence from survey data in an emerging market," Journal of International Money and Finance, Elsevier, vol. 129(C).
    23. Menz, Jan-Oliver & Poppitz, Philipp, 2013. "Household`s Disagreement on Inflation Expectations and Socioeconomic Media Exposure in Germany," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80006, Verein für Socialpolitik / German Economic Association.
    24. Ager, P. & Kappler, M. & Osterloh, S., 2009. "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, vol. 25(1), pages 167-181.
    25. Jordi Pons-Novell, 2006. "An analysis of a panel of Spanish GDP forecasts," Applied Economics, Taylor & Francis Journals, vol. 38(11), pages 1287-1292.
    26. Michael P Clements, 2014. "Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-12, Henley Business School, University of Reading.
    27. Michael Groemling, 2005. "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers 123, University of Goettingen, Department of Economics.
    28. Jonas Dovern & Mr. Ulrich Fritsche & Mr. Prakash Loungani & Ms. Natalia T. Tamirisa, 2013. "Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel," IMF Working Papers 2013/056, International Monetary Fund.
    29. Dovern, Jonas & Weisser, Johannes, 2011. "Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7," International Journal of Forecasting, Elsevier, vol. 27(2), pages 452-465, April.
    30. Jonas Dovern & Ulrich Fritsche & Prakash Loungani & Natalia Tamirisa, 2014. "Information Rigidities: Comparing Average And Individual Forecasts For A Large International Panel," Working Papers 2014-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    31. Michael P. Clements, 2018. "Do Macroforecasters Herd?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 265-292, March.
    32. Yanwei Jia & Jussi Keppo & Ville Satopää, 2023. "Herding in Probabilistic Forecasts," Management Science, INFORMS, vol. 69(5), pages 2713-2732, May.
    33. Lahiri, Kajal & Sheng, Xuguang, 2008. "Evolution of forecast disagreement in a Bayesian learning model," Journal of Econometrics, Elsevier, vol. 144(2), pages 325-340, June.

  12. Dittmann, Ingolf & Granger, Clive W.J., 2000. "Properties of Nonlinear Transformations of Fractionally Integrated Processes," University of California at San Diego, Economics Working Paper Series qt0kk9x0mc, Department of Economics, UC San Diego.

    Cited by:

    1. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
    2. Kreye, Tom Jannik & Sibbertsen, Philipp, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Hannover Economic Papers (HEP) dp-729, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Sophie Brana & Dalila Chenaf-Nicet & Delphine Lahet, 2023. "Drivers of cross‐border bank claims: The role of foreign‐owned banks in emerging countries," Post-Print hal-04569319, HAL.
    4. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    5. Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
    6. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
    7. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
    8. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
    9. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    10. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    11. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    12. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
    13. Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
    14. Leschinski, Christian, 2017. "On the memory of products of long range dependent time series," Economics Letters, Elsevier, vol. 153(C), pages 72-76.
    15. Monge, Manuel & Claudio-Quiroga, Gloria & Poza, Carlos, 2024. "Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends," International Economics, Elsevier, vol. 177(C).
    16. Giulia Rotundo & Roy Cerqueti, 2010. "Options With Underlying Asset Driven By A Fractional Brownian Motion: Crossing Barriers Estimates," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 109-118.
    17. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
    18. Hailin Sang & Yongli Sang, 2017. "Memory properties of transformations of linear processes," Statistical Inference for Stochastic Processes, Springer, vol. 20(1), pages 79-103, April.
    19. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
    20. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
    21. Azamo, Baudouin Tameze & Krämer, Walter, 2006. "Structural Change and long memory in the GARCH(1,1)-model," Technical Reports 2006,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    22. Gabriele La Spada & Fabrizio Lillo, 2011. "The effect of round-off error on long memory processes," Papers 1107.4476, arXiv.org, revised Mar 2013.
    23. 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.
    24. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
    25. McHale, I.G. & Peel, D.A., 2010. "Habit and long memory in UK lottery sales," Economics Letters, Elsevier, vol. 109(1), pages 7-10, October.
    26. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    27. Ting Zhang & Hwai-Chung Ho & Martin Wendler & Wei Biao Wu, 2013. "Block Sampling under Strong Dependence," Papers 1312.5807, arXiv.org.
    28. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
    29. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
    30. Zhang, Ting & Ho, Hwai-Chung & Wendler, Martin & Wu, Wei Biao, 2013. "Block sampling under strong dependence," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2323-2339.
    31. 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.
    32. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
    33. Avarucci, Marco & Marinucci, Domenico, 2005. "Polynomial cointegration among stationary processes with long memory," UC3M Working papers. Economics we055123, Universidad Carlos III de Madrid. Departamento de Economía.
    34. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
    35. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
    36. Jan Beran & Yuanhua Feng & Sucharita Ghosh, 2015. "Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models," Statistical Papers, Springer, vol. 56(2), pages 431-451, May.
    37. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April.
    38. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
    39. Paul Doukhan & Ieva Grublytė & Denys Pommeret & Laurence Reboul, 2020. "Comparing the marginal densities of two strictly stationary linear processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1419-1447, December.

  13. Granger, Clive W.J. & Hyung, Namwon, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series qt4d60t4jh, Department of Economics, UC San Diego.

    Cited by:

    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 1766, CESifo.
    2. George Kapetanios & Yongcheol Shin, 2011. "Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 620-645.
    3. 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.
    4. Luis A. Gil-Alanaa, 2005. "Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate," Empirical Economics, Springer, vol. 30(1), pages 193-207, January.
    5. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    7. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
    8. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
    9. Christos Christodoulou-Volos & Fotios Siokis, 2006. "Long range dependence in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(18), pages 1331-1338.
    10. Christelle Lecourt, 1999. "Dépendance de court et de long terme des rendements de taux de change," Christelle Lecourt Working Papers 990609, Université de Lille 2 (France) Faculté des Sciences juridiques, politiques et sociales de Lille.
    11. Hyung, N. & Franses, Ph.H.B.F., 2002. "Inflation rates; long-memoray, level shifts, or both?," Econometric Institute Research Papers EI 2002-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(4), pages 461-471, December.
    13. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    14. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    15. Marinho Bertanha & Marcelo J. Moreira, 2016. "Impossible Inference in Econometrics: Theory and Applications," Papers 1612.02024, arXiv.org, revised Feb 2020.
    16. Smith, Aaron D., 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.
    17. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
    18. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
    19. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.
    20. 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.
    21. Luis Alberiko Gil-Alana, 2005. "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.
    22. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
    23. 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.
    24. Giordani, Paolo & Villani, Mattias, 2010. "Forecasting macroeconomic time series with locally adaptive signal extraction," International Journal of Forecasting, Elsevier, vol. 26(2), pages 312-325, April.
    25. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
    26. Sabiou Inoua, 2016. "The Random Walk behind Volatility Clustering," Papers 1612.09344, arXiv.org.
    27. 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), Brussels.
    28. Ozdemir, Zeynel / A. & Balcilar, Mehmet & Tansel, Aysit, 2012. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," MPRA Paper 40572, University Library of Munich, Germany.
    29. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    30. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    31. Breidt, F. Jay & Hsu, Nan-Jung, 2002. "A class of nearly long-memory time series models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 265-281.
    32. Burcu Kiran, 2010. "The Structure of Tourism Revenues in Turkey: Evidence from Fractional Integration under Multiple Structural Breaks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 85-96.
    33. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics.
    34. Gil-Alana, Luis A., 2002. "A mean shift break in the US interest rate," Economics Letters, Elsevier, vol. 77(3), pages 357-363, November.
    35. Helena Veiga, 2007. "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 105-118, September.
    36. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, University Library of Munich, Germany.
    37. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
    38. Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona School of Economics.
    39. Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-40, November.
    40. 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).
    41. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
    42. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
    43. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
    44. Ivan Paya & David A. Peel, 2004. "Nonlinear Purchasing Power Parity under the Gold Standard," Southern Economic Journal, John Wiley & Sons, vol. 71(2), pages 302-313, October.
    45. 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.
    46. Taner Yigit, 2007. "Inflation Targeting : An Indirect Approach to Assess the Direct Impact," Working Papers 0706, Department of Economics, Bilkent University.
    47. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
    48. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
    49. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo.
    50. Juncal Cunado & Luis Alberiko Gil-Alana & Fernando Perez de Gracia, 2008. "New Evidence on US Current Account Sustainability," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 1-21, April.
    51. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
    52. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
    53. Ane, Thierry & Ureche-Rangau, Loredana, 2006. "Stock market dynamics in a regime-switching asymmetric power GARCH model," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 109-129.
    54. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
    55. Willert, Juliane, 2010. "Mean Shift detection under long-range dependencies with ART," Hannover Economic Papers (HEP) dp-437, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    56. de Oliveira Lima Cagliari Marques, Guilherme & Gonzalez de Freitas Pinto, Mateus, 2024. "Dynamics of persistence in Brazilian economic uncertainty, expectation, and confidence indexes," Finance Research Letters, Elsevier, vol. 70(C).
    57. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
    58. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.
    59. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
    60. I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
    61. Luis Gil-Alana, 2008. "Real GDP growth rates across countries: long memory and mean shifts," Applied Economics Letters, Taylor & Francis Journals, vol. 15(6), pages 449-455.
    62. Jensen, Mark J. & Liu, Ming, 2006. "Do long swings in the business cycle lead to strong persistence in output?," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 597-611, April.
    63. Gil-Alana, Luis A., 2003. "A Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
    64. Claudio-Quiroga, Gloria & Gil-Alana, Luis A. & Maiza-Larrarte, Andoni, 2023. "Mineral prices persistence and the development of a new energy vehicle industry in China: A fractional integration approach," Resources Policy, Elsevier, vol. 82(C).
    65. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269, HAL.
    66. Sang-Kuck Chung, 2006. "The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 355-370.
    67. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
    68. 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.
    69. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
    70. 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.
    71. Calvo-Gonzalez, Oscar & Shankar, Rashmi & Trezzi, Riccardo, 2010. "Are commodity prices more volatile now ? a long-run perspective," Policy Research Working Paper Series 5460, The World Bank.
    72. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    73. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society.
    74. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610, HAL.
    75. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
    76. J. D. Byers & D. A. Peel, 2003. "Another example of a non-linear time series with misleading linear properties," Applied Economics Letters, Taylor & Francis Journals, vol. 10(1), pages 47-51.
    77. Guglielmo Maria Caporale & Luis Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 375-383.
    78. Luis Alberiko Gil-Alana, 2005. "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.

  14. Granger, Clive W.J. & Sin, Chor-yiu, 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 qt48r4781r, Department of Economics, UC San Diego.

    Cited by:

    1. Woerner Jeannette H. C., 2003. "Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models," Statistics & Risk Modeling, De Gruyter, vol. 21(1), pages 47-68, January.
    2. Coronado, Semei & Rojas, Omar & Venegas-Martínez, Francisco (ed.), 2018. "Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, Escuela Superior de Economía, Instituto Politécnico Nacional, edition 1, volume 1, number 022, January.
    3. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method," Bank of Finland Research Discussion Papers 23/2007, Bank of Finland.
    4. 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.

  15. 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.

    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.
    2. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
    3. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    4. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series 345, CESifo.
    5. 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.
    6. Anthony Garratt & Shaun P Vahey, 2006. "UK Real-Time Macro Data Characteristics," Economic Journal, Royal Economic Society, vol. 116(509), pages 119-135, February.
    7. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    8. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
    9. J. James Reade & Carl Singleton & Alasdair Brown, 2019. "Evaluating Strange Forecasts: The Curious Case of Football Match Scorelines," Economics Discussion Papers em-dp2019-18, Department of Economics, University of Reading, revised 01 Aug 2020.
    10. Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
    11. Jean-Louis Bertrand & Xavier Brusset, 2018. "Managing the financial consequences of weather variability," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 301-315, September.
    12. Kargin, Vladislav, 2002. "Value investing in emerging markets: risks and benefits," Emerging Markets Review, Elsevier, vol. 3(3), pages 233-244, September.
    13. Timmermann, Allan & Patton, Andrew, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
    14. Hyndman, Rob J. & Koehler, Anne B., 2006. "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, vol. 22(4), pages 679-688.
    15. 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.
    16. Clements, Michael P., 2006. "Internal consistency of survey respondentsíforecasts: Evidence based on the Survey of Professional Forecasters," Economic Research Papers 269742, University of Warwick - Department of Economics.
    17. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    18. Timmermann, Allan & Elliott, Graham & Komunjer, Ivana, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers.
    19. Bertrand, Jean-Louis & Brusset, Xavier & Chabot, Miia, 2021. "Protecting franchise chains against weather risk: A design science approach," Journal of Business Research, Elsevier, vol. 125(C), pages 187-200.
    20. Kajal Lahiri, Wenxiong Yao, and Peg Young, 2003. "Cycles in the Transportation Sector and the Aggregate Economy," Discussion Papers 03-14, University at Albany, SUNY, Department of Economics.
    21. Thomakos, Dimitrios D. & Wang, Tao, 2010. "'Optimal' probabilistic and directional predictions of financial returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 102-119, January.
    22. Papastamos, Dimitrios & Matysiak, George & Stevenson, Simon, 2015. "Assessing the accuracy and dispersion of real estate investment forecasts," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 141-152.

  16. Gallo, Giampiero M. & Granger, Clive W.J. & Jeon, Yongil, 1999. "The Impact of the Use of Forecasts in Information Sets," University of California at San Diego, Economics Working Paper Series qt1w33d4b2, Department of Economics, UC San Diego.

    Cited by:

    1. Mr. Prakash Loungani, 2000. "How Accurate Are Private Sector Forecasts: Cross-Country Evidence From Consensus Forecasts of Output Growth," IMF Working Papers 2000/077, International Monetary Fund.
    2. Blanca Moreno & Ana Jesus Lopez, 2007. "Combining economic forecasts through information measures," Applied Economics Letters, Taylor & Francis Journals, vol. 14(12), pages 899-903.
    3. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
    4. Jonathan B. Cohn & Jennifer L. Juergens, 2014. "How Much Do Analysts Influence Each Other's Forecasts?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(03), pages 1-35.
    5. Alfredo Pistelli M., 2012. "Análisis de Sesgos y Eficiencia en Proyecciones de Consensus Forecasts," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(1), pages 98-104, April.
    6. Jonas Dovern & Mr. Ulrich Fritsche & Mr. Prakash Loungani & Ms. Natalia T. Tamirisa, 2013. "Information Rigidities in Economic Growth Forecasts: Evidence from a Large International Panel," IMF Working Papers 2013/056, International Monetary Fund.
    7. Jonas Dovern & Ulrich Fritsche & Prakash Loungani & Natalia Tamirisa, 2014. "Information Rigidities: Comparing Average And Individual Forecasts For A Large International Panel," Working Papers 2014-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    8. Krekó, Judit & Vonnák, Balázs, 2003. "Makroelemzők inflációs várakozásai Magyarországon [The inflationary expectations of macro analysts in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 315-334.

  17. Granger, Clive W.J. & Huang, Bwo-Nung & Yang, Chin W., 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 qt9bk607p6, Department of Economics, UC San Diego.

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    1. Bruce Morley, 2009. "A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run," International Econometric Review (IER), Econometric Research Association, vol. 1(2), pages 63-76, April.
    2. Walid Chkili & Duc Khuong Nguyen, 2014. "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Working Papers 2014-388, Department of Research, Ipag Business School.
    3. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. Mongi Arfaoui & Aymen Ben Rejeb, 2017. "Oil, gold, US dollar and stock market interdependencies: a global analytical insight," European Journal of Management and Business Economics, Emerald Group Publishing Limited, vol. 26(3), pages 278-293, October.
    5. Dauda Mohammed, 2014. "Causality Test Of Business Risk And Capital Structure In A Panel Data Of Nigerian Listed Firms," Accounting & Taxation, The Institute for Business and Finance Research, vol. 6(2), pages 85-99.
    6. Afshan, Sahar & Sharif, Arshian & Loganathan, Nanthakumar & Jammazi, Rania, 2018. "Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 225-244.
    7. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
    8. Aviral Tiwari & Niyati Bhanja & Arif Dar & Faridul Islam, 2015. "Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets," Empirical Economics, Springer, vol. 48(2), pages 699-714, March.
    9. Kabir, Mustafa & Masih, Mansur, 2019. "Portfolio diversification between exchange rates and islamic stocks: evidence from the USA, Euro area, Japan and Malaysia," MPRA Paper 100574, University Library of Munich, Germany.
    10. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
    11. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
    12. Triches, Divanildo & da Silva, Soraia Santos, 2014. "Uma Nota Sobre Efeitos de Gastos Públicos Federais Sobre o Crescimento da Economia Brasileira," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(4), October.
    13. Jan P.A.M. Jacobs & Gerard H. Kuper & Lestano, 2004. "Currency crises in Asia: A multivariate logit approach," International Finance 0409005, University Library of Munich, Germany.
    14. Hong, Yanran & Luo, Keyu & Xing, Xiaochao & Wang, Lu & Huynh, Luu Duc Toan, 2024. "Exchange rate movements and the energy transition," Energy Economics, Elsevier, vol. 136(C).
    15. Sander, Harald & Kleimeier, Stefanie, 2003. "Contagion and causality: an empirical investigation of four Asian crisis episodes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 171-186, April.
    16. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
    17. Daniel Stavarek, 2004. "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance 0406006, University Library of Munich, Germany.
    18. 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 & Francis Journals, vol. 15(8), pages 539-546.
    19. Rabia Luqman & Rehana Kouser, 2018. "Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL," JRFM, MDPI, vol. 11(3), pages 1-13, August.
    20. 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.
    21. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," CESifo Working Paper Series 4189, CESifo.
    22. Buchholz, Manuel & von Schweinitz, Gregor & Tonzer, Lena, 2018. "Did the Swiss exchange rate shock shock the market?," IWH Discussion Papers 9/2018, Halle Institute for Economic Research (IWH).
    23. Effiong, Ekpeno L., 2016. "Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria," MPRA Paper 74336, University Library of Munich, Germany.
    24. Bianca Biagi & Manuela Pulina, 2009. "Bivariate VAR models to test Granger causality between tourist demand and supply: Implications for regional sustainable growth," Papers in Regional Science, Wiley Blackwell, vol. 88(1), pages 231-244, March.
    25. Yu Hsing, 2015. "Short-Run Determinants of the USD/MYR Exchange Rate," Economics Bulletin, AccessEcon, vol. 35(1), pages 97-105.
    26. Morley, Bruce, 2006. "Causality between economic growth and immigration: An ARDL bounds testing approach," Economics Letters, Elsevier, vol. 90(1), pages 72-76, January.
    27. Andriansyah, Andriansyah & Messinis, George, 2019. "Stock Prices, Exchange Rates and Portfolio Equity Flows: A Toda-Yamamoto Panel Causality Test," MPRA Paper 97992, University Library of Munich, Germany.
    28. Ben Khelifa, Soumaya & Guesmi, Khaled & Urom, Christian, 2021. "Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
    29. Chakraborty, Chandana & Nunnenkamp, Peter, 2006. "Economic reforms, foreign direct investment and its economic effects in India," Kiel Working Papers 1272, Kiel Institute for the World Economy (IfW Kiel).
    30. Patrick Kanda & Michael Burke & Rangan Gupta, 2017. "Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data," Working Papers 201778, University of Pretoria, Department of Economics.
    31. Charakopoulos, A.K. & Katsouli, G.A. & Karakasidis, T.E., 2018. "Dynamics and causalities of atmospheric and oceanic data identified by complex networks and Granger causality analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 436-453.
    32. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    33. Lin, Chien-Hsiu, 2012. "The comovement between exchange rates and stock prices in the Asian emerging markets," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 161-172.
    34. Liang, Chin-Chia & Lin, Jeng-Bau & Hsu, Hao-Cheng, 2013. "Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach," Economic Modelling, Elsevier, vol. 32(C), pages 560-563.
    35. Marcos Alvarez Diaz & Gonzalo Caballero Miguez & Baltasar Manzano González & José M. Martín Moreno, 2015. "Assessment of Political Situation over the Business Cycle in Spain: A Time Series Analysis," Hacienda Pública Española / Review of Public Economics, IEF, vol. 213(2), pages 41-62, June.
    36. Ekhlas Al-hajj & Usama Al-Mulali & Sakiru Adebola Solarin, 2021. "Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia," Economic Change and Restructuring, Springer, vol. 54(1), pages 199-217, February.
    37. Partha Gangopadhyay & Siddharth Jain & Agung Suwandaru, 2020. "What Drives Urbanisation in Modern Cambodia? Some Counter-Intuitive Findings," Sustainability, MDPI, vol. 12(24), pages 1-17, December.
    38. Andrew Phiri, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," Working Papers 1816, Department of Economics, Nelson Mandela University, revised Apr 2018.
    39. 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.
    40. Dilip Kumar & S. Maheswaran, 2013. "Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(1), pages 61-91, February.
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    42. Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019. "Network quantile autoregression," Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
    43. Hammoudeh, Shawkat & Li, Huimin, 2004. "The impact of the Asian crisis on the behavior of US and international petroleum prices," Energy Economics, Elsevier, vol. 26(1), pages 135-160, January.
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    45. masron, Tajul arrifin & Mohd naseem niaz, Ahmad, 2008. "Export, Economic Integration and Exchange Rate Volatility in Turkey and Malaysia," MPRA Paper 41519, University Library of Munich, Germany.
    46. Cesar Rodrigues van der Laan & André Moreira Cunha, 2008. "Investigating the rationale for exchange market interventions and the building of international reserves in emerging countries: the case of Brazil after stabilization 1995-2008," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807171450510, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    47. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
    48. Wang, Rudan & Morley, Bruce & Stamatogiannis, Michalis P., 2019. "Forecasting the exchange rate using nonlinear Taylor rule based models," International Journal of Forecasting, Elsevier, vol. 35(2), pages 429-442.
    49. Yanhua Chen & Rosario N Mantegna & Athanasios A Pantelous & Konstantin M Zuev, 2018. "A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-40, March.
    50. Khan, Muhammad Imran & Teng, Jian-Zhou & Khan, Muhammad Kamran & Jadoon, Arshad Ullah & Khan, Muhammad Fayaz, 2021. "The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach," Resources Policy, Elsevier, vol. 70(C).
    51. Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Causal Relationship between Stock Prices and Exchange Rates," Discussion Paper Series 2010_01, Department of Economics, University of Macedonia, revised Jan 2010.
    52. Hong Cheng & Yunqing Wang & Yihong Wang & Tinggan Yang, 2022. "Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 719-748, February.
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    54. Lupu, Dan & Asandului, Mircea, 2014. "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper 95507, University Library of Munich, Germany.
    55. Bing Zhang & Xindan Li, 2010. "Currency appreciation and stock market performance: Evidence from China," Frontiers of Economics in China, Springer;Higher Education Press, vol. 5(3), pages 393-411, September.
    56. Tri Nguyen & Quang Bui & Tan Nguyen, 2016. "Causal Correlation between Exchange Rate and Stock Index: Evidence from VN-Index," Asian Social Science, Canadian Center of Science and Education, vol. 12(8), pages 1-43, August.
    57. Shen, Lihua & Zhou, Jianan, 2024. "The role of biodiversity and energy transition in shaping the next techno-economic era," Technological Forecasting and Social Change, Elsevier, vol. 208(C).
    58. Aviral Kumar Tiwari & Anisul M. Islam & Md. Mohibul Islam, 2019. "Relationship between Exchange Rate and Equity Prices in an Emerging Market: A Continuous Wavelet-based Analysis for Bangladesh," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(2), pages 165-193, September.
    59. Abdul Qayyum & Muhammad Arshad Khan, 2014. "Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling," PIDE-Working Papers 2014:103, Pakistan Institute of Development Economics.
    60. 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.
    61. 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.
    62. Stefanescu, Razvan & Dumitriu, Ramona, 2011. "Linkages between the stock prices and the exchange rates during the global crisis: the case of Romania," MPRA Paper 43350, University Library of Munich, Germany, revised 22 Oct 2011.
    63. Ferreira, Alex Luiz & de Almeida Prado, Fernando Pigeard & da Silveira, Jaylson Jair, 2009. "Flex cars and the alcohol price," Energy Economics, Elsevier, vol. 31(3), pages 382-394, May.
    64. Andre M. Marques & Gilberto Tadeu Lima, 2021. "Testing for Granger Causality in Quantiles Between the Wage Share and Capacity Utilization," Working Papers, Department of Economics 2021_03, University of São Paulo (FEA-USP).
    65. Narayan, Seema & Narayan, Paresh Kumar, 2011. "Did the US macroeconomic conditions affect Asian stock markets?," Working Papers fe_2011_13, Deakin University, Department of Economics.
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    69. Lach, Łukasz, 2010. "Fixed capital and long run economic growth: evidence from Poland," MPRA Paper 52280, University Library of Munich, Germany.
    70. Mustapha, Ishaq Muhammad & Masih, Mansur, 2017. "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper 82218, University Library of Munich, Germany.
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    72. Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
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    74. Onur Oğuz & Özge Korkmaz, 2022. "The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(117), pages 77-100, April.
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    87. Manuel González-Gómez, 2022. "European outbound tourism expansion on the islands of Cape Verde," Tourism Economics, , vol. 28(4), pages 1129-1150, June.
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    1. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
    2. Gerdie Everaert & Hauke Vierke, 2016. "Demographics and Business Cycle Volatility: A Spurious Relationship?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1467-1477, November.
    3. Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2006. "Spurious Regression Under Broken‐Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 671-684, September.
    4. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
    5. Bennett T. McCallum, 2010. "Is the Spurious Regression Problem Spurious?," NBER Working Papers 15690, National Bureau of Economic Research, Inc.
    6. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
    7. Sy, Oumar & Zaman, Ashraf Al, 2020. "Is the presidential premium spurious?," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 94-104.
    8. Mathilde Aubry & Jean Bonnet & Patricia Renou-Maissant, 2015. "Entrepreneurship and the business cycle: the “Schumpeter” effect versus the “refugee” effect—a French appraisal based on regional data," Post-Print halshs-01101962, HAL.
    9. Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers 2013-47, Scottish Institute for Research in Economics (SIRE).
    10. Powell, John G. & Shi, Jing & Smith, Tom & Whaley, Robert E., 2009. "Political regimes, business cycles, seasonalities, and returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1112-1128, June.
    11. Christos Agiakloglou & Apostolos Tsimpanos, 2012. "An alternative approach for testing for linear association for two independent stationary AR(1) processes," Applied Economics, Taylor & Francis Journals, vol. 44(36), pages 4799-4803, December.
    12. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
    13. Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-Santaulà ria & School of Economics, University of Guanajuato, 2006. "Spurious regression and econometric trends," Computing in Economics and Finance 2006 151, Society for Computational Economics.
    14. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017. "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
    15. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    16. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005. "Spurious regression under deterministic and stochastic trends," Department of Economics and Finance Working Papers EM200503, Universidad de Guanajuato, Department of Economics and Finance.
    17. David Peel & Michael Peel & Ioannis Venetis, 2004. "Further empirical analysis of the time series properties of financial ratios based on a panel data approach," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 155-163.
    18. David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
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    22. Said M. Alkhatib, 2016. "The dynamic response patterns of output to credit: the case of Saudi Arabia," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 11(1), pages 11-25.
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    24. Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022. "The illusion of oil return predictability: The choice of data matters!," Post-Print hal-03519860, HAL.
    25. Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007. "Spurious Regression and Trending Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(3), pages 439-444, June.
    26. Laszlo Bokor, 2022. "Climate Stress Test of the Hungarian Banking System," MNB Occasional Papers 2022/147, Magyar Nemzeti Bank (Central Bank of Hungary).
    27. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2011. "A Simple Test for Spurious Regressions," CREATES Research Papers 2011-15, Department of Economics and Business Economics, Aarhus University.
    28. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2020. "The inflation hedging properties of gold, stocks and real estate: A comparative analysis," Resources Policy, Elsevier, vol. 66(C).
    29. Sarkissian, Sergei & Schill, Michael, 2010. "Cross listing waves," MPRA Paper 27545, University Library of Munich, Germany.
    30. Christos Agiakloglou & Cleon Tsimbos & Apostolos Tsimpanos, 2019. "Evidence of spurious results along with spatially autocorrelated errors in the context of geographically weighted regression for two independent SAR(1) processes," Empirical Economics, Springer, vol. 57(5), pages 1613-1631, November.
    31. Christos Agiakloglou & Anil Bera & Emmanouil Deligiannakis, 2022. "Evaluating measures of dependence for linearly generated nonlinear time series along with spurious correlation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 535-552, July.
    32. John G Powell & Sirimon Treepongkaruna, 2012. "Recession fears as self-fulfilling prophecies? Influence on stock returns and output," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 231-260, August.
    33. Kim, Tae-Hwan & Lee, Young-Sook & Newbold, Paul, 2004. "Spurious regressions with stationary processes around linear trends," Economics Letters, Elsevier, vol. 83(2), pages 257-262, May.
    34. Boos, Dominik & Grob, Linus, 2023. "Tracking speculative trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    35. Andersson, Jens & Lazuka, Volha, 2019. "Long-term drivers of taxation in francophone West Africa 1893–2010," World Development, Elsevier, vol. 114(C), pages 294-313.
    36. Terence Cooke & Teruyo Omura & Roger Willett, 2009. "Consistency, Value Relevance and Sufficiency of Book for Market Values in Five Japanese Conglomerates Over the Period 1950–2004," Abacus, Accounting Foundation, University of Sydney, vol. 45(1), pages 88-123, March.
    37. Baumohl, Eduard & Lyocsa, Stefan, 2013. "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper 49898, University Library of Munich, Germany.
    38. Wang, Kun & Gong, Qiang & Fu, Xiaowen & Fan, Xingli, 2014. "Frequency and aircraft size dynamics in a concentrated growth market: The case of the Chinese domestic market," Journal of Air Transport Management, Elsevier, vol. 36(C), pages 50-58.
    39. Chu Ba & Kozhan Roman, 2010. "Spurious Regressions of Stationary AR(p) Processes with Structural Breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-25, December.
    40. 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.
    41. Richard Ashley & Randal J. Verbrugge, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series) 1530, Federal Reserve Bank of Cleveland.
    42. Zhang, Lingxiang, 2013. "Partial unit root and linear spurious regression: A Monte Carlo simulation study," Economics Letters, Elsevier, vol. 118(1), pages 189-191.
    43. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    44. Rehman, Atiq-ur- & Malik, Muhammad Irfan, 2014. "The modified R a robust measure of association for time series," MPRA Paper 60025, University Library of Munich, Germany.
    45. Lopez-Rodriguez, Patricia & De la Torre Garcia, Rodolfo, 2010. "Social Capital in the Presence of Market Failures," MPRA Paper 22972, University Library of Munich, Germany, revised 2010.
    46. Christos Agiakloglou, 2013. "Resolving spurious regressions and serially correlated errors," Empirical Economics, Springer, vol. 45(3), pages 1361-1366, December.
    47. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
    48. Chrétien, Stéphane & Coggins, Frank, 2009. "Election outcomes and financial market returns in Canada," The North American Journal of Economics and Finance, Elsevier, vol. 20(1), pages 1-23, March.
    49. Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.
    50. Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, vol. 41(3), pages 565-571, December.
    51. 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.
    52. Kent Wang, 2009. "Volatility linkages of the equity, bond and money markets: an implied volatility approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(1), pages 207-219, March.
    53. Yolanda S. Stander, 2023. "The Governance and Disclosure of IFRS 9 Economic Scenarios," JRFM, MDPI, vol. 16(1), pages 1-27, January.
    54. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
    55. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    56. Mármol, Francesc, 1999. "How spurious features arise in case of fractional cointegration," DES - Working Papers. Statistics and Econometrics. WS 6349, Universidad Carlos III de Madrid. Departamento de Estadística.
    57. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
    58. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

  19. Grossbard-Shechtman, Shoshana & Granger, Clive, 1998. "Women’s Jobs and Marriage: Baby-Boom versus Baby-Bust (Travail des Femmes et Mariage: du baby-boom au baby-bust)," MPRA Paper 81359, University Library of Munich, Germany.

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    1. Grossbard, Shoshana, 2016. "Marriage and Marriage Markets," IZA Discussion Papers 10312, Institute of Labor Economics (IZA).
    2. Nico Pestel, 2021. "Searching on campus? The marriage market effects of changing student sex ratios," Review of Economics of the Household, Springer, vol. 19(4), pages 1175-1207, December.

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

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    2. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    3. Robinson Kruse & Philipp Sibbertsen, 2010. "Long memory and changing persistence," CREATES Research Papers 2010-42, Department of Economics and Business Economics, Aarhus University.
    4. Nidhaleddine Ben Cheikh & Younes Ben Zaied, 2021. "A new look at carbon dioxide emissions in MENA countries," Climatic Change, Springer, vol. 166(3), pages 1-22, June.
    5. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
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    Cited by:

    1. Granger Clive W.J., 2008. "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-11, September.
    2. Lee, O. & Shin, D.W., 2007. "A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes," Economics Letters, Elsevier, vol. 96(2), pages 226-231, August.

  23. Granger, C.W.J. (Clive William John) & Marmol, Francesc, 1998. "The correlogram of a long memory process plus a simple noise," DES - Working Papers. Statistics and Econometrics. WS 9820, Universidad Carlos III de Madrid. Departamento de Estadística.

    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.
    2. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
    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.
    5. Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation for Research in Economics, Yale University.

  24. Granger, Clive W.J., 1998. "Extracting Information from Mega-Panels and High-Frequency Data," University of California at San Diego, Economics Working Paper Series qt17t2d9n6, Department of Economics, UC San Diego.

    Cited by:

    1. Roy Cerqueti & Claudio Lupi, 2023. "Severe testing of Benford’s law," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(2), pages 677-694, June.
    2. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2017. "Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 93-106.
    3. Roy Cerqueti & C Lupi, 2021. "Some New Tests of Conformity with Benford’s Laws," Post-Print hal-03789183, HAL.
    4. I. Koetsier & J.A. Bikker, 2017. "Herding behaviour of Dutch pension funds in sovereign bond investments," Working Papers 17-15, Utrecht School of Economics.
    5. Galema, Rients & Lensink, Robert & Spierdijk, Laura, 2011. "International diversification and Microfinance," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 507-515, April.
    6. IJtsma, Pieter & Spierdijk, Laura & Shaffer, Sherrill, 2017. "The concentration–stability controversy in banking: New evidence from the EU-25," Journal of Financial Stability, Elsevier, vol. 33(C), pages 273-284.
    7. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de Economía.
    8. Kézdi, Gábor & Mátyás, László & Balázsi, László & Divényi, János Károly, 2014. "A közgazdasági adatforradalom és a panelökonometria [The revolution in economic data and panel econometrics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1319-1340.
    9. Peter, Eckley, 2015. "Measuring economic uncertainty using news-media textual data," MPRA Paper 64874, University Library of Munich, Germany, revised 01 May 2015.
    10. Hiroyuki Moriya, 2017. "Quantized price volatility model for transaction data," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 397-408, December.
    11. Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108.
    12. Roberto Casarin & Stefano Grassi & Francesco Ravazzollo & Herman K. van Dijk, 2019. "Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 19-025/III, Tinbergen Institute.
    13. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 29-56, Winter.
    14. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    15. Boysen-Hogrefe, Jens & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan & Plödt, Martin & van Roye, Björn & Scheide, Joachim & Schwarzmüller, Tim, 2015. "Das europäische Verfahren zur Vermeidung und Korrektur makroökonomischer Ungleichgewichte: Auswertung der bisherigen Erfahrung und mögliche Reformansätze," Kieler Beiträge zur Wirtschaftspolitik 7, Kiel Institute for the World Economy (IfW Kiel).
    16. Jaeheon Choi & Kyuil Lee & Hyunmyung Kim & Sunghi An & Daisik Nam, 2020. "Classification of Inter-Urban Highway Drivers’ Resting Behavior for Advanced Driver-Assistance System Technologies using Vehicle Trajectory Data from Car Navigation Systems," Sustainability, MDPI, vol. 12(15), pages 1-20, July.

  25. 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.

    Cited by:

    1. Jesús Otero & Costas Milas, 2001. "Modelling Official And Parallel Exchange Rates In Colombia Under Alternative Regimes: A Non-Linear Approach," CeNDEF Workshop Papers, January 2001 PO2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
    3. Jakob de Haan & Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo.
    4. Philip Arestis & Giuseppe Fontana & Peter Phelps, 2017. "Regional financialisation and financial systems convergence: Evidence from Italy," Environment and Planning A, , vol. 49(1), pages 141-167, January.
    5. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253.
    6. Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Hannover Economic Papers (HEP) dp-514, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. 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).
    8. Sarno, Lucio & Wohar, Mark, 2003. "Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes," Computing in Economics and Finance 2003 310, Society for Computational Economics.
    9. Sarno, Lucio & Thornton, Daniel L, 2002. "The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation," CEPR Discussion Papers 3225, C.E.P.R. Discussion Papers.
    10. Aleš Bulíø, 2005. "Liberalized Markets Have More Stable Exchange Rates: Short-Run Evidence from Four Transition Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(5-6), pages 206-231, May.
    11. Beckmann, Joscha, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 272, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    12. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
    13. 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).
    14. Goodwin, Barry K. & Harper, Daniel C., 2000. "Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-11, December.
    15. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 944, DIW Berlin, German Institute for Economic Research.
    16. Siklos, Pierre L., 2012. "No coupling, no decoupling, only mutual inter-dependence: Business cycles in emerging vs. mature economies," BOFIT Discussion Papers 17/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    17. Sanvi Avouyi-Dovi & Guillaume Horny & Patrick Sevestre, 2015. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working papers 547, Banque de France.
    18. Gillman, M. & Siklos, P.L. & Silver, J.L., 1997. "Money Velocity with Costly Credit," Working Papers 97-4, Wilfrid Laurier University, Department of Economics.
    19. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
    20. Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2022. "Revisiting the Great Ratios Hypothesis," CESifo Working Paper Series 9625, CESifo.
    21. Brosig, Stephan & Weitzel, Enno-Burghard & Glauben, Thomas & Poghosyan, Tigran & Rozelle, Scott, 2007. "Spatial market integration and the dynamics of transaction costs in the Chinese soy bean market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 6(5), pages 431-437.
    22. Goodwin, Barry K. & Grennes, Thomas J. & Craig, Lee A., 2002. "Mechanical Refrigeration and the Integration of Perishable Commodity Markets," Explorations in Economic History, Elsevier, vol. 39(2), pages 154-182, April.
    23. Zouheir Mighri & Faysal Mansouri, 2016. "Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach," Empirical Economics, Springer, vol. 51(3), pages 1115-1149, November.
    24. Njindan Iyke, Bernard, 2017. "Asymmetries in Yield Curves: Some Empirical Evidence from Ghana," MPRA Paper 79155, University Library of Munich, Germany.
    25. Bernard Njindan Iyke, 2017. "On the term structure of South African interest rates: cointegration and threshold adjustment," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 9(4), pages 300-321.
    26. Angelos Kanas, 2008. "Modeling regime transition in stock index futures markets and forecasting implications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 649-669.
    27. Kun-Ming Chen & Hsiu-Hua Rau, 2003. "Antitrust Laws and the Relationship Between Mergers, Stock Prices and Industrial Production: A Cointegration Approach," Journal of Industry, Competition and Trade, Springer, vol. 3(1), pages 27-40, March.
    28. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
    29. Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.
    30. Ihle, Rico & von Cramon-Taubadel, Stephan, 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.
    31. Peri, Massimo & Baldi, Lucia, 2013. "The effect of biofuel policies on feedstock market: Empirical evidence for rapeseed oil prices in EU," Resource and Energy Economics, Elsevier, vol. 35(1), pages 18-37.
    32. ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.
    33. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.
    34. Goodwin, Barry K. & Holt, Matthew T., 1998. "Price Transmission and Asymmetric Ajustment in the U.S. Beef Sector," Staff Papers 232533, Virginia Polytechnic Institute and State University, Department of Agricultural and Applied Economics.
    35. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    36. 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 3232, Universidad del Rosario.
    37. 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.
    38. 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.
    39. Ansgar Belke & Joscha Beckmann & Florian Verheyen, 2012. "Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data," ROME Working Papers 201203, ROME Network.
    40. Arusha Cooray, 2009. "Is the adjustment to real interest rate parity asymmetric?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(4), pages 407-418, November.
    41. Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
    42. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "Cointegration, structural breaks and monetary fundamentals of the Dollar/Yen Exchange," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(4), pages 397-412, November.
    43. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 147(1), pages 11-40, April.
    44. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
    45. Martin Mandel & Jan Vejmělek, 2021. "Analýza vzájemných vztahů v nekryté úrokové paritě (příklad měnového páru CZK/EUR) [Analysis of Relations in Uncovered Interest Rate Parity: Example of CZK/EUR Exchange Rate]," Politická ekonomie, Prague University of Economics and Business, vol. 2021(3), pages 340-359.
    46. Hugo Oliveros & Luisa Fernanda Silva, 2001. "La Demanda por Importaciones en Colombia," Borradores de Economia 187, Banco de la Republica de Colombia.
    47. Zouheir Ahmed Mighri & Majid Ibrahim Al Saggaf, 2018. "Gold - Silver Nexus: A Threshold Cointegration Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 210-219.
    48. Yau, Hwey-Yun & Nieh, Chien-Chung, 2009. "Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan," Japan and the World Economy, Elsevier, vol. 21(3), pages 292-300, August.
    49. 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 and Statistics Department.
    50. 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.
    51. Joscha Beckmann & Dionysius Glycopantis & Keith Pilbeam, 2018. "The dollar–euro exchange rate and monetary fundamentals," Empirical Economics, Springer, vol. 54(4), pages 1389-1410, June.

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

    Cited by:

    1. Cayton, Peter Julian & Bersales, Lisa Grace, 2012. "Median-based seasonal adjustment in the presence of seasonal volatility," MPRA Paper 37146, University Library of Munich, Germany.
    2. Paraskevi Katsiampa & Kyriaki Begiazi, 2019. "An empirical analysis of the Scottish housing market by property type," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(4), pages 559-583, September.
    3. Élise Cormier & Jean-Marc Suret, 1997. "Le régime d'épargne-actions du Québec : Vue d'ensemble et évaluation," CIRANO Working Papers 97s-16, CIRANO.

  27. 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.

    Cited by:

    1. 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.
    2. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    3. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series 345, CESifo.
    4. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
    5. Ruge-Murcia, F.J., 2001. "Inflation Targeting Under Asymmetric Preferences," Cahiers de recherche 2001-04, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia.
    7. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
    8. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    9. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    10. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, vol. 95(2), pages 285-331, April.
    11. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17.
    12. 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.
    13. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
    14. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Research Paper 9710, Federal Reserve Bank of New York.
    15. Caglayan, Mustafa & Jehan, Zainab & Mouratidis, Kostas, 2012. "Asymmetric monetary policy rules for open economies: Evidence from four countries," MPRA Paper 37401, University Library of Munich, Germany.
    16. Ruge-Murcia, F.J., 2001. "A Prudent Central Banker," Cahiers de recherche 2001-07, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    17. Granger, Clive W.J., 1998. "Extracting Information from Mega-Panels and High-Frequency Data," University of California at San Diego, Economics Working Paper Series qt17t2d9n6, Department of Economics, UC San Diego.
    18. 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.
    19. 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.
    20. Stephen E. Satchell & Shaun A. Bond, 2004. "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings 160, Econometric Society.

  28. Granger, E.J. & Swanson, N.R., 1996. "An introduction to stochastic Unit Root Processes," Papers 4-96-3, Pennsylvania State - Department of Economics.

    Cited by:

    1. Granger Clive W.J., 2008. "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-11, September.
    2. Offer Lieberman & Peter C.B. Phillips, 2013. "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," Cowles Foundation Discussion Papers 1916, Cowles Foundation for Research in Economics, Yale University.
    3. Yang, Fuyu & Leon-Gonzalez, Roberto, 2010. "Bayesian estimation and model selection in the generalised stochastic unit root model," SFB 649 Discussion Papers 2010-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, University Library of Munich, Germany.
    5. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    6. Pedro Clavijo-Cortes, 2021. "How persistent is unemployment in major Latin American economies?," Economics Bulletin, AccessEcon, vol. 41(2), pages 342-360.
    7. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    8. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
    9. Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
    10. 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.
    11. Lorenzo Trapani, 2021. "Testing for strict stationarity in a random coefficient autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
    12. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    13. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
    14. Muriel, Nelson & González-Farías, Graciela, 2018. "Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR," Econometrics and Statistics, Elsevier, vol. 7(C), pages 46-62.
    15. Fong, P.W. & Li, W.K. & An, Hong-Zhi, 2006. "A simple multivariate ARCH model specified by random coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1779-1802, December.
    16. 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.
    17. Morten Ø. Nielsen, 2008. "A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis," Working Paper 1175, Economics Department, Queen's University.
    18. Ruey Yau & C. James Hueng, 2007. "Output convergence revisited: new time series results on industrialized countries," Applied Economics Letters, Taylor & Francis Journals, vol. 14(1), pages 75-77.
    19. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
    20. Liu, Yanbo & Phillips, Peter C.B., 2023. "Robust inference with stochastic local unit root regressors in predictive regressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 563-591.
    21. Bjørnar Karlsen Kivedal, 2023. "Long run non-linearity in CO2 emissions: the I(2) cointegration model and the environmental Kuznets curve," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 899-931, November.
    22. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
    23. Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005. "Spurious nonlinear regressions in econometrics," Economics Letters, Elsevier, vol. 87(3), pages 301-306, June.
    24. Offer Lieberman & Peter C.B. Phillips, 2017. "Hybrid Stochastic Local Unit Roots," Cowles Foundation Discussion Papers 2113, Cowles Foundation for Research in Economics, Yale University.
    25. Daisuke Nagakura, 2009. "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series 09-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
    26. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    27. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
    28. Amilon, Henrik, 2008. "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
    29. YiLi Chien & Yi Wen, 2019. "The Determination of Public Debt under both Aggregate and Idiosyncratic Uncertainty," Working Papers 2019-038, Federal Reserve Bank of St. Louis, revised 28 Apr 2022.
    30. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
    31. Gawon Yoon, 2010. "Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes," Applied Economics, Taylor & Francis Journals, vol. 42(4), pages 489-496.
    32. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, April.
    33. Shapour Mohammadi & Ahmad Pouyanfar, 2011. "Behaviour of stock markets' memories," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 183-194.
    34. Granger, Clive W.J., 2005. "The past and future of empirical finance: some personal comments," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 35-40.
    35. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
    36. Matsuki, Takashi, 2019. "Per capita output convergence across Asian countries: Evidence from covariate unit root test with an endogenous structural break," Economic Modelling, Elsevier, vol. 82(C), pages 99-118.
    37. Granger, Clive W. J., 1996. "Introducing Non-Linearity Into Cointegration," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 16(2), November.
    38. Sheereen Fauzel* & Boopen Seetanah & RV Sannassee, 2015. "Foreign direct investment and welfare nexus in sub Saharan Africa," Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(4), pages 271-283, October-D.
    39. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    40. Yu-Lieh Huang & Chao-Hsi Huang, 2007. "The persistence of Taiwan's output fluctuations: an empirical study using innovation regime-switching model," Applied Economics, Taylor & Francis Journals, vol. 39(20), pages 2673-2679.
    41. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, University Library of Munich, Germany.
    42. Lajos Horvath & Lorenzo Trapani, 2018. "Testing for randomness in a random coefficient autoregression model," Discussion Papers 18/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    43. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.
    44. Anagnostopoulos Alexis & Tang Xin, 2015. "Evaluating linear approximations in a two-country model with occasionally binding borrowing constraints," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(1), pages 43-91, January.
    45. Fong, Pak Wing & Li, Wai Keung, 2003. "On time series with randomized unit root and randomized seasonal unit root," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 369-395, July.
    46. Xiao, Zhijie, 2004. "Estimating average economic growth in time series data with persistency," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
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    52. Nagakura, Daisuke, 2009. "Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2476-2483, December.
    53. Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.
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    62. Halil Simdi & Hakan Tunahan, 2016. "The Power Of Trade Costs Over International Trade: Causality Analysis In Frequency Domain For Turkey," Journal Articles, Center For Economic Analyses, pages 41-50, December.
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    72. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
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    77. 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.
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    81. Huang, Yu-Lieh & Huang, Chao-Hsi, 2015. "Uncertain Effects Of Shocks Vs. Uncertain Unit Root: An Alternative View Of U.S. Real Gdp," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(1), pages 117-134, June.
    82. Bontempi, Maria Elena & Bottazzi, Laura & Golinelli, Roberto, 2020. "A multilevel index of heterogeneous short-term and long-term debt dynamics," Journal of Corporate Finance, Elsevier, vol. 64(C).
    83. Sukati, Mphumuzi, 2013. "Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software," MPRA Paper 49797, University Library of Munich, Germany.
    84. Franses, Ph.H.B.F. & Paap, R., 1998. "Modelling asymmetric persistence over the business cycle," Econometric Institute Research Papers EI 9852, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    85. González Gómez, Andrés, 2004. "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
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  29. 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.

    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, Department of Economics.
    2. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    3. Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
    4. Budina, Nina & Maliszewski, Wojciech & de Menil, Georges & Turlea, Geomina, 2006. "Money, inflation and output in Romania, 1992-2000," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 330-347, March.
    5. Saman, Corina, 2011. "Scenarios of the Romanian GDP Evolution With Neural Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 129-140, December.
    6. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
    7. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
    8. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
    9. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    10. Myladis R. Cogollo & Gilberto González-Parra & Abraham J. Arenas, 2021. "Modeling and Forecasting Cases of RSV Using Artificial Neural Networks," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    11. Zhang, G. Peter & Qi, Min, 2005. "Neural network forecasting for seasonal and trend time series," European Journal of Operational Research, Elsevier, vol. 160(2), pages 501-514, January.
    12. 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.
    13. Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi, 2005. "The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes," Econometrics Working Papers Archive wp2005_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    14. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    15. Chu, Ching-Wu & Zhang, Guoqiang Peter, 2003. "A comparative study of linear and nonlinear models for aggregate retail sales forecasting," International Journal of Production Economics, Elsevier, vol. 86(3), pages 217-231, December.
    16. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, June.
    17. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
    18. Rabindra Nepal & John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, , vol. 37(4), pages 215-238, October.
    19. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    20. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
    21. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
    22. Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.
    23. Lenz, Carlos, 2003. "A different look at the Census X-11 filter," Economics Letters, Elsevier, vol. 79(1), pages 1-6, April.
    24. Ching-Chih Chang & Chin-Yuan Hsieh & Yung-Chih Lin, 2012. "A predictive model of the freight rate of the international market in Capesize dry bulk carriers," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 313-317, March.
    25. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    26. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
    27. Supachoke Thawornkaiwong, 2016. "Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series," PIER Discussion Papers 25, Puey Ungphakorn Institute for Economic Research.
    28. Renaud Lacroix, 2008. "Analyse conjoncturelle de donn es brutes et estimation de cycles Partie 1 : estimation et tests," Working papers 209, Banque de France.
    29. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
    30. Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
    31. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    32. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    33. Franses, Philip Hans & de Bruin, Paul, 2002. "On data transformations and evidence of nonlinearity," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
    34. Matas Mir, Antonio & Osborn, Denise R, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank.
    35. Ching-Chih Chang & Tin-Chia Lai, 2011. "The nonlinear dynamic process of macroeconomic development by modelling dry bulk shipping market," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1655-1663.
    36. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
    37. Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R., 2004. "Linear versus neural network forecasts for European industrial production series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 435-446.
    38. Tarlok Singh, 2012. "Testing nonlinearities in economic growth in the OECD countries: an evidence from SETAR and STAR models," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3887-3908, October.
    39. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    40. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
    41. Renaud Lacroix, 2008. "Analyse conjoncturelle de donn es brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers 210, Banque de France.
    42. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.

  30. Granger, C.W.J. & Swanson, N., 1995. "Further Developments in the Study of Cointegrated Variables," Papers 4-95-13, Pennsylvania State - Department of Economics.

    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.
    2. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, vol. 102(2), pages 365-398, June.
    3. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
    4. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2011. "Are The Baltic Countries Ready To Adopt The Euro? A Generalized Purchasing Power Parity Approach," Manchester School, University of Manchester, vol. 79(3), pages 429-454, June.
    5. Baghli Mustapha, 2005. "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-43, March.

  31. Escribano, Álvaro & Granger, C.W.J. (Clive William John), 1995. "Investigating the relationship between gold and silver prices," DES - Working Papers. Statistics and Econometrics. WS 4517, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 277-288.
    2. Minoas Koukouritakis, 2005. "EU Accession Effects on the Demand for Manufactures: the Case of Greece," Working Papers 0506, University of Crete, Department of Economics.
    3. Theodore Panagiotidis, 2010. "Market efficiency and the Euro: the case of the Athens stock exchange," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(3), pages 237-251, July.
    4. Gabriella Deborah Legrenzi & Costas Milas, 2010. "Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint," CESifo Working Paper Series 2926, CESifo.
    5. Michael Arghyrou, 2009. "Monetary policy before and after the euro: evidence from Greece," Empirical Economics, Springer, vol. 36(3), pages 621-643, June.
    6. Kenny, Geoff, 2003. "Asymmetric adjustment costs and the dynamics of housing supply," Economic Modelling, Elsevier, vol. 20(6), pages 1097-1111, December.
    7. Gabriella Legrenzi & Costas Milas, 2006. "Asymmetric and Non-Linear Adjustments in Local Fiscal Policy," Keele Economics Research Papers KERP 2006/16, Centre for Economic Research, Keele University.
    8. Mainardi, Stefano, 2001. "Limited arbitrage in international wheat markets: threshold and smooth transition cointegration," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 45(3), pages 1-26.
    9. Giulio Cifarelli & Giovanna Paladino, 2009. "The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation," Open Economies Review, Springer, vol. 20(4), pages 525-543, September.
    10. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    11. Aparicio, Felipe M. & Escribano, Álvaro, 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Alvaro Escribano & Roberto Pascual, 2008. "Asymmetries in bid and ask responses to innovations in the trading process," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 49-82, Springer.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," Borradores de Investigación 3296, Universidad del Rosario.
    19. 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.

  32. 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. Michael Melvin & Joachim Grammig & Christian Schlag, "undated". "Price Discovery in International Equity Trading," Working Papers 2133299, Department of Economics, W. P. Carey School of Business, Arizona State University.
    2. Titus Awokuse, 2005. "Export-led growth and the Japanese economy: evidence from VAR and directed acyclic graphs," Applied Economics Letters, Taylor & Francis Journals, vol. 12(14), pages 849-858.
    3. Jin Zhang & David Bessler & David Leatham, 2006. "Does consumer debt cause economic recession? Evidence using directed acyclic graphs," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 401-407.
    4. 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).
    5. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
    6. 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).
    7. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law of One Price: Developed and Developing Country Market Integration," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 32(3), pages 429-440, December.
    8. Park, Moon-Soo & 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).
    9. Saghaian, Sayed H. & Reed, Michael R., 2007. "Consumer Reaction to Beef Safety Scares," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 10(01), pages 1-19.
    10. Timothy Bisping & Hilde Patron, 2008. "Residential Investment and Business Cycles in an Open Economy: A Generalized Impulse Response Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 33-49, July.
    11. Bessler, David A. & 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).
    12. 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.
    13. Henry L. Bryant & David A. Bessler & Michael S. Haigh, 2006. "Causality in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(11), pages 1039-1057, November.
    14. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 599-610.
    15. Pu Chen & Chih-Ying Hsiao, 2010. "Causal Inference for Structural Equations: With an Application to Wage-Price Spiral," Computational Economics, Springer;Society for Computational Economics, vol. 36(1), pages 17-36, June.
    16. 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).
    17. Palma, Marco A. & Ribera, Luis A. & Bessler, David A. & Paggi, Mechel S. & Knutson, Ronald D., 2009. "Potential Impacts of Food Borne Ill Incidence on Market Movements and Prices of Fresh Produce in the US," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46745, Southern Agricultural Economics Association.
    18. Oscar Jorda, 2004. "Model-Free Impulse Responses," Working Papers 87, University of California, Davis, Department of Economics.
    19. Kim Myeong-Soo & N. Edward Coulson, 1999. "Sources of Fluctuations in the Housing Market," International Economic Journal, Taylor & Francis Journals, vol. 13(1), pages 57-70.
    20. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
    21. 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.
    22. Titus O. Awokuse & David A. Bessler, 2003. "Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 1-24, May.
    23. Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009.
    24. 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).
    25. 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.
    26. Hui Guo & Zijun Wang & Jian Yang, 2004. "International transmission of inflation among G-7 countries: a data-determined VAR analysis," Working Papers 2004-028, Federal Reserve Bank of St. Louis.
    27. Chen, Pu, 2010. "A time series causal model," MPRA Paper 24841, University Library of Munich, Germany.
    28. Vitale, Jeffrey D. & Bessler, David A., 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).

  33. Toru Konishi & Valerie A. Ramey & Clive W.J. Granger, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc.

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    1. Sharon Kozicki & Peter A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.
    2. Charles S. Morris & Robert Neal & Doug Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City.
    3. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates," Textos para discussão 401, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    4. Moersch, Mathias & Nautz, Dieter, 1998. "The monetary model of the exchange rate: A structural interpretation," SFB 373 Discussion Papers 1998,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Michael Dotsey & Christopher Otrok, 1994. "M2 and monetary policy: a critical review of the recent debate," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 41-49.
    6. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Interest Rates, Banking Spreads and Credit Supply: The Real Effects," Working Papers 1995-01, CEPII research center.
    7. Ramey, Valerie, 1993. "How important is the credit channel in the transmission of monetary policy?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 1-45, December.
    8. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.
    9. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, University Library of Munich, Germany.
    10. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Taux d'intérêt, spreads, comportement bancaire : les effets sur l'activité réelle," Revue Économique, Programme National Persée, vol. 46(3), pages 625-634.
    11. Guglielmo Caporale & Nikitas Pittis, 1995. "Inflation convergence in the EMS: Some additional evidence. A reply," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 587-593, September.
    12. Krylova, Elizaveta, 2002. "The Credit Channel of Monetary Policy. Case of Austria," Economics Series 111, Institute for Advanced Studies.
    13. Shankar Prasad Acharya, 2009. "Verification of Causality through VAR and Intervention Analysis: Econometric Modeling on Budget Deficit and Trade Deficit in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 21, pages 1-30, April.
    14. Hany Guirguis & Martin B. Schmidt, 2005. "Output Variability and the Money-Output Relationship," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(1), pages 53-66, April.
    15. O uzhan Yilmaz, 2016. "Analysis of the Relationships between Financial Development and Economic Growth through Romer's Expanding Variety of Products Model: The Case of Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1155-1164.
    16. Mathias Moersch & Dieter Nautz, 2001. "A note on testing the monetary model of the exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 261-268.

  34. 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.

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    1. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," Borradores de Economia 2591, Banco de la Republica.
    2. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Department of Economics.
    3. Maria Nikoloudaki & Dikaios Tserkezos, 2008. "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.
    4. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    5. Terraza Virginie & Toque Carole, 2008. "Times series Factorial models with incertitute measures on ARMA processes and its application to final data," LSF Research Working Paper Series 08-07, Luxembourg School of Finance, University of Luxembourg.
    6. Hashem M. Pesaran & Alexander Chudik, 2011. "Aggregation in Large Dynamic Panels," CESifo Working Paper Series 3346, CESifo.
    7. David Aadland, 2002. "Detrending Time-Aggregated Data," Working Papers 2002-05, Utah State University, Department of Economics.
    8. 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.
    9. Carlomagno, Guillermo & Fornero, Jorge & Sansone, Andrés, 2023. "A proposal for constructing and evaluating core inflation measures," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
    10. Guillermo Carlomagno & Jorge Fornero & Andrés Sansone, 2021. "Toward a general framework for constructing and evaluating core inflation measures," Working Papers Central Bank of Chile 913, Central Bank of Chile.
    11. Ivan D. Trofimov, 2024. "Testing Wagner’s hypothesis using disaggregated data: evidence from a global panel," International Journal of Economic Policy Studies, Springer, vol. 18(1), pages 143-171, February.
    12. José Casals & Miguel Jerez & Sonia Sotoca, 2009. "Modelling and forecasting time series sampled at different frequencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 316-342.
    13. J. Isaac Miller, 2014. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 584-614.
    14. Tierney, Heather L.R. & Kim, Jiyoon (June) & Nazarov, Zafar, 2018. "The Effects of Temporal Aggregation on Search Engine Data," MPRA Paper 84474, University Library of Munich, Germany.
    15. Jung, Young Cheol & Das, Anupam & McFarlane, Adian, 2020. "The asymmetric relationship between the oil price and the US-Canada exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 198-206.
    16. 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).
    17. Bohl, Martin T., 2000. "Nonstationary stochastic seasonality and the German M2 money demand function," European Economic Review, Elsevier, vol. 44(1), pages 61-70, January.
    18. Rotger, Gabriel Pons, "undated". "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, Department of Economics and Business Economics, Aarhus University.
    19. Cleiton Guollo Taufemback, 2023. "Asymptotic Behavior of Temporal Aggregation in Mixed‐Frequency Datasets," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 894-909, August.
    20. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, March.
    21. Benos, Nikos & Karagiannis, Stelios, 2013. "Do Cross-Section Dependence and Parameter Heterogeneity Matter? Evidence on Human Capital and Productivity in Greece," MPRA Paper 53326, University Library of Munich, Germany.
    22. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
    23. Lee, H.S. & Siklos, P.L., 1997. "The Role of Seasonality in Economic Time Series: Reinterpretating Money-Output Causality in U.S. Data," Working Papers 97-1, Wilfrid Laurier University, Department of Economics.
    24. Markus Eberhardt & Francis Teal, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series 2009-07, Centre for the Study of African Economies, University of Oxford.
    25. Hugo Oliveros, 1995. "Estacionalidad y Pruebas de Raíces Unitarias:Algunas Consideraciones Generales," Borradores de Economia 040, Banco de la Republica de Colombia.
    26. Cláudia Duarte, 2015. "Covariate-augmented unit root tests with mixed-frequency data," Working Papers w201507, Banco de Portugal, Economics and Research Department.
    27. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
    28. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    29. Byeongchan Seong & Sung K. Ahn & Peter Zadrozny, 2007. "Cointegration Analysis with Mixed-Frequency Data," CESifo Working Paper Series 1939, CESifo.
    30. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
    31. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
    32. Wai‐Sum Chan & Li‐Xin Zhang & Siu Hung Cheung, 2009. "Temporal aggregation of Markov‐switching financial return models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 359-383, May.
    33. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
    34. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    35. Nikos Benos & Stelios Karagiannis, 2018. "Inequality And Growth In The United States: Why Physical And Human Capital Matter," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 572-619, January.
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    37. Kucukkale, Yakup & Yamak, Rahmi, 2012. "Cointegration, causality and Wagner’s law with disaggregated data: evidence from Turkey, 1968-2004," MPRA Paper 36894, University Library of Munich, Germany.
    38. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
    39. Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006. "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 505-522.
    40. Sun, Jingwei & Shi, Wendong, 2014. "Aggregation of the generalized fractional processes," Economics Letters, Elsevier, vol. 124(2), pages 258-262.
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  35. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.

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    1. Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
    2. Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
    3. Zhang, Dan & Farnoosh, Arash & Lantz, Frédéric, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, Elsevier, vol. 169(C), pages 252-268.
    4. Bagliano, Fabio C. & Morana, Claudio, 2003. "Measuring US core inflation: A common trends approach," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 197-212, June.
    5. Wei Zhang & Sayed Saghaian & Michael Reed, 2022. "Influences of Power Structure Evolution on Coffee Commodity Markets: Insights from Price Discovery and Volatility Spillovers," Sustainability, MDPI, vol. 14(22), pages 1-27, November.
    6. Mayordomo, Sergio & Peña, Juan Ignacio & Schwartz, Eduardo S., 2010. "Are all Credit Default Swap databases equal?," DEE - Working Papers. Business Economics. WB wb104621, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    7. Shrestha, Keshab & Subramaniam, Ravichandran & Thiyagarajan, Thangarajah, 2020. "Price Discovery in Agricultural Markets," American Business Review, Pompea College of Business, University of New Haven, vol. 23(1), pages 53-69, May.
    8. Yu-Lun Chen & Yin-Feng Gau & Wen-Ju Liao, 2016. "Trading activities and price discovery in foreign currency futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 793-818, May.
    9. Ziesemer, Thomas, 2019. "Can we have growth when population is stagnant? Testing linear growth rate formulas and their cross-unit cointegration of non-scale endogenous growth models," MERIT Working Papers 2019-021, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    10. Myers, Robert J. & Johnson, Stanley R. & Helmar, Michael & Baumes, Harry, 2018. "Long-run and short-run relationships between oil prices, producer prices, and consumer prices: What can we learn from a permanent-transitory decomposition?," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 175-190.
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    14. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
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    17. Piotr Korczak & Kate Phylaktis, 2009. "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers 09/612, School of Economics, University of Bristol, UK.
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    42. Marattin, Luigi & Paesani, Paolo & Salotti, Simone, 2011. "Fiscal shocks, public debt, and long-term interest rate dynamics," Working Papers 14/2011, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
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    604. Nagano, Teppei & Baba, Naohiko, 2008. "Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan," Working Paper Series 980, European Central Bank.
    605. 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.
    606. Çağlayan-Gümüş, Ayşe & Karahan, Cenk C., 2024. "Information content of the limit order book: A cross-sectional analysis in Borsa Istanbul," Global Finance Journal, Elsevier, vol. 62(C).
    607. Téllez Valle, Cecilia & Martín García, Margarita & Ramón-Jerónimo, María A. & Martín Marín, José Luis, 2020. "Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 58-78, December.
    608. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    609. Chen, Xiaoshan & MacDonald, Ronald, 2015. "Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 20-35.
    610. Dinabandhu Bag, 2019. "Information Content Of Stocks In Call Auction Of Shorter Duration In Emerging Market," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 8(4), pages 113-132.
    611. Burns, Christopher B. & Kane, Stephen, 2022. "Arbitrage breakdown in WTI crude oil futures: An analysis of the events on April 20, 2020," Resources Policy, Elsevier, vol. 76(C).

  36. Granger, C.W.J. (Clive William John), 1992. "What are we learning about the long-run?," UC3M Working papers. Economics 2886, Universidad Carlos III de Madrid. Departamento de Economía.

    Cited by:

    1. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    2. Dennis Fok & André Stel & Andrew Burke & Roy Thurik, 2019. "How entry crowds and grows markets: the gradual disaster management view of market dynamics in the retail industry," Annals of Operations Research, Springer, vol. 283(1), pages 1111-1138, December.
    3. Martin, Will & Mitra, Devashish, 1999. "Productivity growth and convergence in agriculture and manufacturing," Policy Research Working Paper Series 2171, The World Bank.
    4. Charles Perrings & David Stern, 2000. "Modelling Loss of Resilience in Agroecosystems: Rangelands in Botswana," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 16(2), pages 185-210, June.
    5. Carlo Bernini Carri, 2005. "Productivity Growth and Convergence between Agriculture and Industry in EU Countries," QA - Rivista dell'Associazione Rossi-Doria, Associazione Rossi Doria, issue 4, November.
    6. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
    7. Fouquet, Roger, 1995. "The impact of VAT introduction on UK residential energy demand : An investigation using the cointegration approach," Energy Economics, Elsevier, vol. 17(3), pages 237-247, July.
    8. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    9. Fok, D. & Horváth, C. & Paap, R. & Franses, Ph.H.B.F., 2004. "A hierarchical Bayes error correction model to explain dynamic effects," Econometric Institute Research Papers EI 2004-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Karim Maher Abadir, 2004. "Cointegration Theory, Equilibrium and Disequilibrium Economics," Manchester School, University of Manchester, vol. 72(1), pages 60-71, January.
    11. den Haan, Wouter J., 1995. "The term structure of interest rates in real and monetary economies," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 909-940.
    12. Martínez, José Manuel & Espasa, Antoni, 1997. "Caracterización de la tendencia y componente cíclico del PIB español a través de modelos no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3646, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Cushman, David O. & MacDonald, Ronald & Samborsky, Mark, 2001. "The law of one price for transitional Ukraine," Economics Letters, Elsevier, vol. 73(2), pages 251-256, November.
    14. Geoff Harcourt, 2011. "On the Concept of Period and Run in Economic Theory," Discussion Papers 2011-11, School of Economics, The University of New South Wales.
    15. Martínez, J. Manuel & Espasa, Antoni, 1998. "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. Estadística y Econometría. DS 3662, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Martínez, J. Manuel & Espasa, Antoni, 1998. "Caracterización del PIB español a partir de modelos univariantes no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3660, Universidad Carlos III de Madrid. Departamento de Estadística.
    17. Fouquet, Roger & Pearson, Peter & Hawdon, David & Robinson, Colin & Stevens, Paul, 1997. "The future of UK final user energy demand," Energy Policy, Elsevier, vol. 25(2), pages 231-240, February.

  37. Melinda Deutsch & Clive W. J. Granger, 1991. "Comments on the evaluation of policy models," International Finance Discussion Papers 413, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Babula, Ronald A. & Price, Gregory K., 2012. "New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 372-388.
    2. 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.).
    3. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    4. Carmona, Carlos Capistran, 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 qt6v28v0b6, Department of Economics, UC San Diego.
    5. Michael S. Lee-Browne, 2019. "Estimating monetary policy rules in small open economies," Working Papers 2019-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    6. 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.).
    7. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    8. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
    9. 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.
    10. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    11. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.

  38. 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.

    Cited by:

    1. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, vol. 74(3), pages 313-319, February.
    2. 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 for Research in Economics, Yale University.
    3. Gang Liu & Terje Skjerpen & Kjetil Telle, 2009. "Unit roots, polynomial transformations and the environmental Kuznets curve," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 285-288.
    4. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    5. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    6. Ivan Roberts & Trent Saunders & Gareth Spence & Natasha Cassidy, 2016. "China's Evolving Demand for Commodities," RBA Annual Conference Volume (Discontinued), in: Iris Day & John Simon (ed.),Structural Change in China: Implications for Australia and the World, Reserve Bank of Australia.
    7. Luigi Ermini, 1993. "Testing For Population Bias in California Warming," Working Papers 199306, University of Hawaii at Manoa, Department of Economics.
    8. Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
    9. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
    10. Francesca Di Iorio & Stefano Fachin, 2019. "Fiscal reaction functions for the advanced economies revisited," DSS Empirical Economics and Econometrics Working Papers Series 2019/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    11. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
    12. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
    13. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
    14. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
    15. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
    16. Perman, Roger & Stern, David I., 2003. "Evidence from panel unit root and cointegration tests that the Environmental Kuznets Curve does not exist," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(3), pages 1-23, September.
    17. Aparicio, Felipe M. & Escribano, Álvaro, 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
    20. Gawon Yoon, 1997. "Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 317-325.
    21. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
    22. Luigi Ermini, 1993. "Shock Persistence and Stochastic Trends in Australian Aggregate Output and Consumption," The Economic Record, The Economic Society of Australia, vol. 69(1), pages 34-43, March.
    23. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    24. Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, vol. 63(2), pages 265-279, March.

  39. Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.

    Cited by:

    1. 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, Division of Economics, School of Business, University of Leicester.
    2. Hurn, A Stan & Moody, Terry & Muscatelli, V Anton, 1995. "The Term Structure of Interest Rates in the London Interbank Market," Oxford Economic Papers, Oxford University Press, vol. 47(3), pages 419-436, July.
    3. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-380, August.
    4. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
    5. Barry Scholnick, 1999. "Interest Rate Asymmetries in Long-Term Loan and Deposit Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 16(1), pages 5-26, September.
    6. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.
    7. Podivinsky, Jan M., 1992. "Small sample properties of tests of linear restrictions on cointegrating vectors and their weights," Economics Letters, Elsevier, vol. 39(1), pages 13-18, May.
    8. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-366, July.
    9. Solveen, Ralph, 1995. "Zentralbankpolitik und Zentralbankautonomie: Spielt die Unabhängigkeit eine Rolle?," Kiel Working Papers 710, Kiel Institute for the World Economy (IfW Kiel).
    10. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.

  40. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
    2. Maurice Kugler & Reza Ofoghi, 2005. "Does Insurance Promote Economic Growth? Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 8, Money Macro and Finance Research Group.
    3. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Akinfenwa, Samson O. & Qasmi, Bashir A., 2014. "Ethanol, the Agricultural Economy, and Rural Incomes in the United States: A Bivariate Econometric Approach," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 43(2), pages 1-15, August.
    5. Akinfenwa, Samson O. & Qasmi, Bashir A., 2014. "Ethanol, the Agricultural Economy, and Rural Incomes in the United States: A Bivariate Econometric Approach," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 0, pages 1-15.
    6. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
    7. Frédérick Demers & David Dupuis, 2005. "Forecasting Canadian GDP: Region-Specific versus Countrywide Information," Staff Working Papers 05-31, Bank of Canada.
    8. Benos, Nikos & Karagiannis, Stelios, 2013. "Do Cross-Section Dependence and Parameter Heterogeneity Matter? Evidence on Human Capital and Productivity in Greece," MPRA Paper 53326, University Library of Munich, Germany.
    9. Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
    10. Markus Eberhardt & Francis Teal, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series 2009-07, Centre for the Study of African Economies, University of Oxford.
    11. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    12. Saldivia, Mauricio & Kristjanpoller, Werner & Olson, Josephine E., 2020. "Energy consumption and GDP revisited: A new panel data approach with wavelet decomposition," Applied Energy, Elsevier, vol. 272(C).
    13. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
    14. Arize, Augustine C. & Malindretos, John & Shwiff, Steven S., 1999. "Structural breaks, cointegration, and speed of adjustment Evidence from 12 LDCs money demand," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 399-420, November.

  41. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.

    Cited by:

    1. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," Borradores de Economia 2591, Banco de la Republica.
    2. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Department of Economics.
    3. Bernd Hayo, 2000. "The demand for money in Austria," Empirical Economics, Springer, vol. 25(4), pages 581-603.
    4. Capps Jr., Oral & Bessler, David A. & Davis, George C. & Nichols, John P., 1996. "Economic Evaluation of the Cotton Checkoff Program," Economic Evaluation of Commodity Promotion Programs in the Current Legal and Political Environment, October 7-8, 1996, Monterey, California 279664, Regional Research Projects > NECC-63: Research Committee on Commodity Promotion.
    5. Bauwens, Luc & Lubrano, Michel, 1995. "Editors' introduction Bayesian and classical econometric modeling of time series," Journal of Econometrics, Elsevier, vol. 69(1), pages 1-4, September.
    6. Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
    7. Harvey, David I. & van Dijk, Dick, 2006. "Sample size, lag order and critical values of seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2734-2751, June.
    8. Tsui, Wai Hong Kan & Ozer Balli, Hatice & Gilbey, Andrew & Gow, Hamish, 2014. "Forecasting of Hong Kong airport's passenger throughput," Tourism Management, Elsevier, vol. 42(C), pages 62-76.
    9. Garrod Brian & Almeida António & Machado Luiz, 2023. "Modelling of nonlinear asymmetric effects of changes in tourism on economic growth in an autonomous small-island economy," European Journal of Tourism, Hospitality and Recreation, Sciendo, vol. 13(2), pages 154-172, December.
    10. Carlos Fernández, 2001. "Further Evidence on Friedman's Hypothesis," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 257-273.
    11. Hansen, Peter Reinhard, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series qt832256dg, Department of Economics, UC San Diego.
    12. Shin, Dong Wan & Lee, Oesook, 2007. "Asymmetry and nonstationarity for a seasonal time series model," Journal of Econometrics, Elsevier, vol. 136(1), pages 89-114, January.
    13. A. Phiri, 2019. "Asymmetries in the revenue–expenditure nexus: new evidence from South Africa," Empirical Economics, Springer, vol. 56(5), pages 1515-1547, May.
    14. Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
    15. Kunst, R.M. & Franses, Ph.H.B.F., 2009. "Testing for seasonal unit roots in monthly panels of time series," Econometric Institute Research Papers EI 2009-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Balcombe, Kelvin, 1996. "The Carlson-Parkin method applied to NZ price expectations using QSBO survey data," Economics Letters, Elsevier, vol. 51(1), pages 51-57, April.
    17. John Landon-Lane & Eugene N. White & Adam Klug, 2002. "How Could Everyone Have Been So Wrong? Forecasting the Great Depression with the Railroads," NBER Working Papers 9011, National Bureau of Economic Research, Inc.
    18. 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.
    19. Luis Gil-Alana, 2001. "Seasonal long memory in the US monthly monetary aggregate," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 573-575.
    20. Pulapre Balakrishnan & M Parameswaran, 2019. "Modeling the Dynamics of Inflation in India," Working Papers 16, Ashoka University, Department of Economics.
    21. Mårten Löf & Johan Lyhagen, 2003. "On seasonal error correction when the processes include different numbers of unit roots," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 377-389.
    22. 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].
    23. S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
    24. Rodriguez, U-Primo E. & Garcia, Yolanda T. & Sumaya, Marjorie-Ann Dator, 2017. "Seasonal Integration and Co-Integration in the Prices of Key Aquaculture Species in the Philippines," Journal of Economics, Management & Agricultural Development, Journal of Economics, Management & Agricultural Development (JEMAD), vol. 3(01), June.
    25. Isaac Abunyuwah, 2020. "Modeling Market Integration and Asymmetric Price Transmission Dynamics of Yam Markets in Ghana," Journal of Economics and Behavioral Studies, AMH International, vol. 12(3), pages 23-31.
    26. Rahmi Yamak & Yakup Kucukkale, 2002. "Anticipated Money Growth and Stock Prices in Turkey," Macroeconomics 0211010, University Library of Munich, Germany.
    27. McErlean, Seamus & Wu, Ziping & Moss, Joan E. & IJpelaar, Jos & Doherty, Andrew, 2003. "Do EU direct payments to beef producers belong in the ‘blue box’?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(01), pages 1-19.
    28. Beaulieu, J. Joseph & Miron, Jeffrey A., 1991. "The seasonal cycle in U.S. manufacturing," Economics Letters, Elsevier, vol. 37(2), pages 115-118, October.
    29. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
    30. Christopher F Baum, 2002. "Facilitating Applied Economic Research with Stata," Boston College Working Papers in Economics 531, Boston College Department of Economics.
    31. Alonso Cifuentes, Julio César & Arcila Vásquez, Andrés Mauricio & Montenegro Arana, Sebastián, 2016. "Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 86, pages 105-126, December.
    32. Sulgham, Anil K. & Zapata, Hector O., 2006. "A Dynamic Approach to Estimate Theoretically Consistent US Meat Demand System," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35441, Southern Agricultural Economics Association.
    33. Anton Skrobotov, 2013. "On GLS-detrending for deterministic seasonality testing," Working Papers 0073, Gaidar Institute for Economic Policy, revised 2014.
    34. Patrick-Antoine Pintus, 2009. "Credit Market Frictions And The Amplification-Persistence Trade-Off," Working Papers halshs-00353602, HAL.
    35. Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
    36. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    37. Kalyvitis, Sarantis C., 1997. "Evaluating the real effects of devaluation expectations in Greece under alternative policies," Economic Modelling, Elsevier, vol. 14(2), pages 215-236, April.
    38. Emmanuel Anoruo, 2002. "Stability of the Nigerian M2 Money Demand Function in the SAP Period," Economics Bulletin, AccessEcon, vol. 14(3), pages 1-9.
    39. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    40. Gyula Dörgő & Viktor Sebestyén & János Abonyi, 2018. "Evaluating the Interconnectedness of the Sustainable Development Goals Based on the Causality Analysis of Sustainability Indicators," Sustainability, MDPI, vol. 10(10), pages 1-26, October.
    41. Frank Reinhardt & David Giles, 2001. "Are cigarette bans really good economic policy?," Applied Economics, Taylor & Francis Journals, vol. 33(11), pages 1365-1368.
    42. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    43. Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
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    1. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    2. Zhu, D., 2001. "Inequality, Credit Market Imperfection, Segmentation and Economic Growth," Other publications TiSEM b7b3803f-8dd2-48a5-8261-c, Tilburg University, School of Economics and Management.
    3. W. Robert Reed, 2006. "The Determinants of U. S. State Economic Growth: A Less Extreme Bounds Analysis," Working Papers in Economics 06/05, University of Canterbury, Department of Economics and Finance.
    4. Banerjee, A.N., 1997. "The sensitivity of estimates, inferences and forecasts of linear models," Other publications TiSEM 3238733e-f996-4fd9-95ec-0, Tilburg University, School of Economics and Management.
    5. Imad Moosa & Larry Li & Riley Jiang, 2016. "Determinants of the Status of an International Financial Centre," The World Economy, Wiley Blackwell, vol. 39(12), pages 2074-2096, December.
    6. Peter Sandholt Jensen & Allan H. Würtz, 2006. "On determining the importance of a regressor with small and undersized samples," Economics Working Papers 2006-08, Department of Economics and Business Economics, Aarhus University.
    7. Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross‐country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December.
    8. J. Benson Durham, 2001. "The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses," Finance and Economics Discussion Series 2001-42, Board of Governors of the Federal Reserve System (U.S.).
    9. Philipp Mandel & Bernd Süssmuth, 2011. "Total Instructional Time Exposure and Student Achievement: An Extreme Bounds Analysis Based on German State-Level Variation," CESifo Working Paper Series 3580, CESifo.
    10. Durham, J.B.J. Benson, 2004. "Absorptive capacity and the effects of foreign direct investment and equity foreign portfolio investment on economic growth," European Economic Review, Elsevier, vol. 48(2), pages 285-306, April.
    11. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    12. Lakshmi, Geeta & Saha, Shrabani & Bhattarai, Keshab, 2021. "Does corruption matter for stock markets? The role of heterogeneous institutions," Economic Modelling, Elsevier, vol. 94(C), pages 386-400.
    13. Iwata, Shigeru, 1996. "Bounding posterior means by model criticism," Journal of Econometrics, Elsevier, vol. 75(2), pages 239-261, December.
    14. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy (IfW Kiel).
    15. Dimitris Korobilis, 2018. "Machine Learning Macroeconometrics: A Primer," Working Paper series 18-30, Rimini Centre for Economic Analysis.
    16. Imad A Moosa & Buly A Cardak, 2003. "The Determinants of Foreign Direct Investment: An Extreme Bounds Analysis," Working Papers 2003.02, School of Economics, La Trobe University.
    17. Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach," NBER Working Papers 7750, National Bureau of Economic Research, Inc.
    18. Imad Moosa, 2009. "The determinants of foreign direct investment in MENA countries: an extreme bounds analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 16(15), pages 1559-1563.
    19. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    20. Rup Singh, 2015. "Forces of economic growth in China, India, and other Asian countries," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 29(1), pages 62-81, May.
    21. J Benson Durham, "undated". "Emerging Stock Market Liberalisation, Total Returns, and Real Effects: Some Sensitivity Analyses," QEH Working Papers qehwps51, Queen Elizabeth House, University of Oxford.
    22. Walid M. A. Ahmed, 2024. "On the robust drivers of cryptocurrency liquidity: the case of Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-32, December.
    23. Zhang, Dayong & Cao, Hong & Wei, Yi-Ming, 2016. "Identifying the determinants of energy intensity in China: A Bayesian averaging approach," Applied Energy, Elsevier, vol. 168(C), pages 672-682.
    24. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    25. Christian Mueller, 2006. "I Didn't Run a Single Regression," KOF Working papers 06-128, KOF Swiss Economic Institute, ETH Zurich.
    26. Brock,W.A. & Durlauf,S.N., 2000. "Growth economics and reality," Working papers 24, Wisconsin Madison - Social Systems.
    27. Capolupo, Rosa, 2009. "The New Growth Theories and Their Empirics after Twenty Years," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-72.
    28. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-69.
    29. Asad Zaman, 2017. "Lessons in Econometric Methodology: The Axiom of Correct Specification," International Econometric Review (IER), Econometric Research Association, vol. 9(2), pages 50-68, September.
    30. Zhu, D., 2001. "Inequality, Credit Market Imperfection, Segmentation and Economic Growth," Discussion Paper 2001-58, Tilburg University, Center for Economic Research.
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    32. Adama Bah, 2015. "Finding the Best Indicators to Identify the Poor," CERDI Working papers halshs-00936201, HAL.
    33. Marianne Baxter, 2017. "Robust Determinants of Bilateral Trade," 2017 Meeting Papers 591, Society for Economic Dynamics.
    34. Durham, J. Benson, 2001. "Sensitivity analyses of anomalies in developed stock markets," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1503-1541, August.
    35. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    36. Mills, Terence C. & Pelloni, Gianluigi & Zervoyianni, Athina, 1996. "Cyclical unemployment and sectoral shifts: Further tests of the Lilien hypothesis for the UK," Economics Letters, Elsevier, vol. 52(1), pages 55-60, July.
    37. Freille, Sebastian & Haque, M. Emranul & Kneller, Richard, 2007. "A contribution to the empirics of press freedom and corruption," European Journal of Political Economy, Elsevier, vol. 23(4), pages 838-862, December.
    38. Yang, Haisheng & He, Jie & Chen, Shaoling, 2015. "The fragility of the Environmental Kuznets Curve: Revisiting the hypothesis with Chinese data via an “Extreme Bound Analysis”," Ecological Economics, Elsevier, vol. 109(C), pages 41-58.
    39. Mumtaz Hussain & Oscar Brookins, 2001. "On the determinants of national saving: An extreme-bounds analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(1), pages 150-174, March.
    40. Wafaa M. Sbeti & Imad Moosa, 2012. "Firm-specific factors as determinants of capital structure in the absence of taxes," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 209-213, February.

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    Cited by:

    1. Daniel Levy, 2000. "Investment–Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Post-Print hal-02385594, HAL.
    2. Peter Sephton, 2005. "Predicting the equity premium with dividend ratios: a matter of balance," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 145-147.
    3. Aparicio, Felipe M. & Escribano, Álvaro, 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. . Luigi Ermini & David Hendry, "undated". "Log income versus linear income: an application of the encompassing principl," Economics Papers W6, Economics Group, Nuffield College, University of Oxford.
    6. Jag Chadha & Andrew Haldane & Norbert Janssen, 1998. "Shoe-leather costs reconsidered," Bank of England working papers 86, Bank of England.
    7. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Papers (Old Series) 9014, Federal Reserve Bank of Cleveland.
    8. Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.

Articles

  1. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
    See citations under working paper version above.
  2. Granger, Clive W.J., 2012. "Useful conclusions from surprising results," Journal of Econometrics, Elsevier, vol. 169(2), pages 142-146.

    Cited by:

    1. David Strauss & Daniel Ventosa-Santaularia, 2023. "Does r-g cause wealth inequality? The case of the United States/¿La r-g causa la desigualdad de la riqueza? El caso de Estados Unidos," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 38(2), pages 183-224.

  3. Clive W. J. Granger & Yongil Jeon, 2011. "The Evolution of the Phillips Curve: A Modern Time Series Viewpoint," Economica, London School of Economics and Political Science, vol. 78(309), pages 51-66, January.

    Cited by:

    1. Medel, Carlos A., 2017. "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," MPRA Paper 78439, University Library of Munich, Germany.
    2. Annalisa Cristini & Piero Ferri, 2021. "Nonlinear models of the Phillips curve," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1129-1155, September.
    3. Fumitaka Furuoka & Qaiser Munir & Hanafiah Harvey, 2013. "Does the Phillips curve exist in the Philippines?," Economics Bulletin, AccessEcon, vol. 33(3), pages 2001-2016.
    4. Carlos Medel, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," Working Papers Central Bank of Chile 769, Central Bank of Chile.
    5. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
    6. Guizhou Wang & Kjell Hausken, 2023. "Modeling which Factors Impact Interest Rates," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 12(2), pages 211-237.
    7. Baffigi, Alberto & Bontempi, Maria Elena & Felice, Emanuele & Golinelli, Roberto, 2015. "The changing relationship between inflation and the economic cycle in Italy: 1861–2012," Explorations in Economic History, Elsevier, vol. 56(C), pages 53-70.
    8. Fabio Busetti & Michele Caivano & Lisa Rodano, 2015. "On the conditional distribution of euro area inflation forecast," Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
    9. Guizhou Wang & Kjell Hausken, 2022. "Interest Rates, the Taylor Rule, the Quantity Equation, and the Phillips Curve," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 10(3), pages 83-93.
    10. Marfatia Hardik A., 2018. "Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 18(1), pages 1-18, January.
    11. Andrea Stella & James H. Stock, 2012. "A state-dependent model for inflation forecasting," International Finance Discussion Papers 1062, Board of Governors of the Federal Reserve System (U.S.).
    12. Gary J. Cornwall & Jeffrey A. Mills & Beau A. Sauley & Huibin Weng, 2019. "Predictive Testing for Granger Causality via Posterior Simulation and Cross-validation," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 275-292, Emerald Group Publishing Limited.
    13. Panagiotis Pegkas, 2024. "The Asymmetric Effects of Unemployment and Output on Inflation in Greece: A Nonlinear ARDL Approach," Economies, MDPI, vol. 12(12), pages 1-21, December.

  4. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.

    Cited by:

    1. Joel Cariolle & Michaël Goujon, 2015. "Measuring macroeconomic instability: a critical survey illustrated with exports series," Post-Print halshs-01273229, HAL.
    2. Peter C. B. Phillips & Zhentao Shi, 2021. "Boosting: Why You Can Use The Hp Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 521-570, May.
    3. T. C. Mills & K. D. Patterson, 2015. "Modelling The Trend: The Historical Origins Of Some Modern Methods And Ideas," Journal of Economic Surveys, Wiley Blackwell, vol. 29(3), pages 527-548, July.
    4. Terence Mills & Kerry Patterson, 2013. "Modelling the Trend: The Historical Origins of Some Modern Methods and Ideas," Economics Discussion Papers em-dp2013-03, Department of Economics, University of Reading.
    5. Yamada, Hiroshi & Yoon, Gawon, 2014. "When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 193-207.
    6. Peter C. B. Phillips & Sainan Jin, 2015. "Business Cycles, Trend Elimination, and the HP Filter," Cowles Foundation Discussion Papers 2005, Cowles Foundation for Research in Economics, Yale University.
    7. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
    8. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper 1458, Economics Department, Queen's University.
    9. Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020. "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
    10. Wulfrano Gómez & Leovardo Mata & Montserrat Reyna, 2013. "Hodrick-Prescott Filter: An Extreme-Sport Testing," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 7(1), pages 1-13.
    11. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
    12. Javier Hidalgo & Jungyoon Lee, 2014. "A Cusum Test of Common Trends in Large Heterogeneous Panels," STICERD - Econometrics Paper Series 576, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    13. Weshah Razzak & Elmostafa Bentour, 2012. "Do Developing Countries Benefit from Foreign Direct Investments?," EERI Research Paper Series EERI_RP_2012_07, Economics and Econometrics Research Institute (EERI), Brussels.
    14. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    15. Sosso Feindouno, 2019. "Improving the measurement of export instability in the Economic Vulnerability Index: A simple proposal," Post-Print hal-02167897, HAL.
    16. Sosso Feindouno, 2019. "Improving the measurement of export instability in the Economic Vulnerability Index: A simple proposal," Post-Print hal-02128482, HAL.
    17. Razzak Weshah A. & Bentour El M., 2013. "Do Developing Countries Benefit from Foreign Direct Investments? An Analysis of Some Arab and Asian Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 9(3), pages 357-388, December.
    18. Yonghui Zhang & Liangjun Su & Peter C. B. Phillips, 2012. "Testing for common trends in semi‐parametric panel data models with fixed effects," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 56-100, February.
    19. Gourieroux, Christian & Jasiak, Joann, 2017. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, vol. 200(1), pages 118-134.
    20. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60, Edward Elgar Publishing.
    21. Sosso Feindouno, 2019. "Improving the measurement of export instability in the Economic Vulnerability Index: A simple proposal," Economics Bulletin, AccessEcon, vol. 39(2), pages 1629-1638.

  5. Granger, Clive W.J., 2010. "Some thoughts on the development of cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 3-6, September.

    Cited by:

    1. Tae-Hwy Lee & Weiping Yang, 2014. "Granger-Causality in Quantiles between Financial Markets: Using Copula Approach," Working Papers 201406, University of California at Riverside, Department of Economics.
    2. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
    3. Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
    4. Claudiu T Albulescu & Cornel Oros & Aviral K Tiwari, 2017. "Is there any convergence in health expenditures across EU countries?," Economics Bulletin, AccessEcon, vol. 37(3), pages 2095-2101.
    5. Mathias Klein, 2015. "Inequality and household debt: a panel cointegration analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(2), pages 391-412, May.
    6. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2017. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 201740, University of Pretoria, Department of Economics.
    7. Ripamonti, Alexandre, 2013. "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper 79460, University Library of Munich, Germany.
    8. Mirza Trokić, 2013. "Regulated fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 591-601, September.
    9. Ripamonti, Alexandre, 2020. "Financial institutions, asymmetric information and capital structure adjustments," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 75-83.
    10. Federico Podestà, 2023. "Studying the Welfare State by Analysing Time-Series-Cross-Section Data," FBK-IRVAPP Working Papers 2023-03, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation.
    11. Salvatore Morelli, 2018. "Banking crises in the US: the response of top income shares in a historical perspective," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(2), pages 257-294, June.
    12. Ripamonti, Alexandre, 2019. "Capital Structure Adjustments and Asymmetric Information," MPRA Paper 96936, University Library of Munich, Germany.
    13. Don Harding, 2020. "Econometric Foundations of the Great Ratios of Economics," Centre of Policy Studies/IMPACT Centre Working Papers g-300, Victoria University, Centre of Policy Studies/IMPACT Centre.
    14. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
    15. Ioannis Litsios & Keith Pilbeam, 2024. "Explaining and correcting trade imbalances between the Northern and Southern Eurozone: An empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 1079-1096, January.
    16. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2021. "“Detecting multiple level shifts in bounded time series”," AQR Working Papers 202106, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2021.
    17. Nedumparambil, Elizabeth & Bhandari, Anup Kumar, 2020. "Credit risk – Return puzzle: Evidence from India," Economic Modelling, Elsevier, vol. 92(C), pages 195-206.
    18. Haiqi Li Author-Name-First: Haiqi & Jing Zhang & Chaowen Zheng, 2023. "Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression," Economics Discussion Papers em-dp2023-07, Department of Economics, University of Reading.
    19. Lealand Morin & Ying Shang, 2021. "Federal Reserve policy after the zero lower bound: an indirect inference approach," Empirical Economics, Springer, vol. 60(4), pages 2105-2124, April.
    20. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
    21. Albanese, Marina & Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Nicola, 2015. "Happiness, taxes and social provision: A note," Economics Letters, Elsevier, vol. 135(C), pages 100-103.
    22. Catania, Leopoldo & Luati, Alessandra, 2023. "Semiparametric modeling of multiple quantiles," Journal of Econometrics, Elsevier, vol. 237(2).
    23. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "Stochastic convergence analysis of US state economic freedom sub‐components: Evidence from unit root tests for bounded processes," American Journal of Economics and Sociology, Wiley Blackwell, vol. 82(4), pages 319-348, July.
    24. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    25. James E. Payne & James W. Saunoris & Saban Nazlioglu & Cagin Karul, 2023. "The convergence dynamics of economic freedom across U.S. states," Southern Economic Journal, John Wiley & Sons, vol. 89(4), pages 1216-1241, April.
    26. Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
    27. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
    28. Dissou, Yazid & Nafie, Yousra, 2021. "On the link between current account and fiscal imbalances in the presence of structural breaks: Empirical evidence from Egypt," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 15-27.
    29. Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.
    30. Chang, Chun-Ping & Lee, Chien-Chiang & Hsieh, Meng-Chi, 2015. "Does globalization promote real output? Evidence from quantile cointegration regression," Economic Modelling, Elsevier, vol. 44(C), pages 25-36.
    31. Margherita Gerolimetto & Stefano Magrini, 2017. "On the power of the simulation-based ADF test in bounded time series," Economics Bulletin, AccessEcon, vol. 37(1), pages 539-552.
    32. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
    33. Maurizio Bovi, 2016. "The tale of two expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(6), pages 2677-2705, November.
    34. Ignat Ignatov, 2023. "Convergence Determinants and Club Formation in the EU over 1999-2021," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 37-63.

  6. Richard Carson & Clive Granger & Jeremy Jackson & Wolfram Schlenker, 2009. "Fisheries Management Under Cyclical Population Dynamics," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 42(3), pages 379-410, March.
    See citations under working paper version above.
  7. Granger, Clive W.J., 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 687-688, October.

    Cited by:

    1. Helmut Herwartz, 2011. "Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection," Empirical Economics, Springer, vol. 41(2), pages 487-510, October.

  8. Granger Clive W.J., 2008. "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-11, September.

    Cited by:

    1. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2020. "Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 87-114, June.
    2. Zsolt Darvas, 2012. "Monetary transmission in three central European economies- evidence from time-varying coefficient vector autoregressions," Bruegel Working Papers 722, Bruegel.
    3. Boyarchenko, Nina & Adrian, Tobias & Giannone, Domenico, 2020. "Multimodality in Macro-Financial Dynamics," CEPR Discussion Papers 15088, C.E.P.R. Discussion Papers.
    4. Arghyrou, Michael G & Gadea, Mar a Dolores, 2019. "Private bank deposits and macro/fiscal risk in the euro-area," Cardiff Economics Working Papers E2019/6, Cardiff University, Cardiff Business School, Economics Section.
    5. Li, Youwei & Waterworth, James, 2016. "Eurozone network connectedness during calm and crisis: evidence from the MTS platform for interdealer trading of European sovereign debt," MPRA Paper 71221, University Library of Munich, Germany.
    6. Jaromír Baxa & Roman Horváth & Borek Vasícek, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers wpdea1007, Department of Applied Economics at Universitat Autonoma of Barcelona.
    7. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
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    41. P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall & George Hondroyiannis, 2008. "Estimation of Parameters in the Presence of Model misspecification and Measurement Error," Discussion Papers in Economics 08/27, Division of Economics, School of Business, University of Leicester.
    42. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
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    47. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
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    49. Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011. "The Euro-introduction and non-Euro currencies," LIDAM Reprints ISBA 2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    52. Amaze Lusompa & Sai Sattiraju, 2022. "Cutting-Edge Methods Did Not Improve Inflation Forecasting during the COVID-19 Pandemic," Economic Review, Federal Reserve Bank of Kansas City, vol. 107(no.3), July.
    53. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust," Journal of Financial Stability, Elsevier, vol. 33(C), pages 187-206.
    54. Valcarcel, Victor J., 2012. "The dynamic adjustments of stock prices to inflation disturbances," Journal of Economics and Business, Elsevier, vol. 64(2), pages 117-144.
    55. Lin Liu, 2021. "U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective," SAGE Open, , vol. 11(3), pages 21582440211, July.
    56. Isabel Casas & Eva Ferreira & Susan Orbe, 2021. "Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 707-745.
    57. Cardinali Alessandro & Nason Guy P, 2011. "Costationarity of Locally Stationary Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-35, January.
    58. P. A. V. B. Swamya & S. G. Hall & G. S. Tavlas & I. Chang & H. D. Gibson & W. H. Greene & J. S. Mehta, 2016. "A Method for Measuring Treatment Effects on the Treated without Randomization," Discussion Papers in Economics 16/02, Division of Economics, School of Business, University of Leicester.
    59. Enrique Martínez García, 2018. "Modeling Time-Variation Over the Business Cycle (1960-2017): An International Perspective," Globalization Institute Working Papers 348, Federal Reserve Bank of Dallas.
    60. Martins Luis Filipe & Gabriel Vasco J., 2013. "Time-varying cointegration, identification, and cointegration spaces," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 199-209, April.
    61. P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall, 2015. "On the Interpretation of Instrumental Variables in the Presence of Specification Errors," Econometrics, MDPI, vol. 3(1), pages 1-10, January.
    62. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
    63. Carlo Grillenzoni & Elisa Carraro, 2021. "Sequential tests of causality between environmental time series: With application to the global warming theory," Environmetrics, John Wiley & Sons, Ltd., vol. 32(1), February.
    64. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306, Decembrie.
    65. Stephen Hall & P. A. V. B. Swamy & George S. Tavlas, 2011. "Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes," Discussion Papers in Economics 11/22, Division of Economics, School of Business, University of Leicester.
    66. Dellas, Harris & Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2018. "The macroeconomic and fiscal implications of inflation forecast errors," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 203-217.
    67. Amaze Lusompa, 2021. "Local Projections, Autocorrelation, and Efficiency," Research Working Paper RWP 21-01, Federal Reserve Bank of Kansas City.
    68. Chang, Chih-Hao & Chen, Zih-Bing & Huang, Shih-Feng, 2022. "Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach," Applied Energy, Elsevier, vol. 309(C).
    69. Christos Agiakloglou & Anil Bera & Emmanouil Deligiannakis, 2022. "Evaluating measures of dependence for linearly generated nonlinear time series along with spurious correlation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 535-552, July.
    70. Tierney, Heather L.R., 2009. "A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data," MPRA Paper 13383, University Library of Munich, Germany, revised 03 Feb 2009.
    71. Yoon, Gawon, 2012. "Some properties of periodically collapsing bubbles," Economic Modelling, Elsevier, vol. 29(2), pages 299-302.
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  9. Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108.

    Cited by:

    1. Klaus Wohlrabe, 2009. "Makroökonomische Prognosen mit gemischten Frequenzen," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(21), pages 22-33, November.
    2. Qian, Hang, 2012. "A Flexible State Space Model and its Applications," MPRA Paper 38455, University Library of Munich, Germany.
    3. Pérez, Javier J. & Pedregal, Diego J., 2008. "Should quarterly government finance statistics be used for fiscal surveillane in Europe?," Working Paper Series 937, European Central Bank.
    4. Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.

  10. Lykke E. Andersen & Clive W. J. Granger, 2007. "Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 8(3), pages 201-210, September.

    Cited by:

    1. Francisco B. Galarza & Joanna Kámiche Zegarra & Rosario Gómez, 2023. "Roads and Deforestation: Do Local Institutions Matter?," Working Papers 192, Peruvian Economic Association.
    2. Michaël Aklin & Patrick Bayer & S. Harish & Johannes Urpelainen, 2014. "Who blames corruption for the poor enforcement of environmental laws? Survey evidence from Brazil," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 16(3), pages 241-262, July.

  11. Granger, Clive W.J., 2007. "Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam," Journal of Econometrics, Elsevier, vol. 138(1), pages 3-13, May.

    Cited by:

    1. Michael Klien & Andrea Kunnert, 2017. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Herbst 2017," WIFO Studies, WIFO, number 65635, March.
    2. Andrea Kunnert, 2012. "Prognose der Wohnbaubewilligungen für Wohneinheiten in Österreich 2012 und 2013. Teilbericht 1," WIFO Studies, WIFO, number 67109, March.
    3. Michael Klien & Andrea Kunnert, 2014. "Baubewilligungen für Wohneinheiten in Österreich. Prognose 2014 und 2015," WIFO Studies, WIFO, number 58602, March.
    4. Michael Klien & Andrea Kunnert, 2016. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Herbst 2016," WIFO Studies, WIFO, number 65638, March.
    5. Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
    6. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    7. Michael Klien & Andrea Kunnert, 2015. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose 2014 bis 2016," WIFO Studies, WIFO, number 58604, March.
    8. Andrea Kunnert, 2013. "Prognose der Baubewilligungen für Wohneinheiten in Österreich 2013 und 2014. Teilbericht 4," WIFO Studies, WIFO, number 67111, March.
    9. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    10. Michael Klien & Andrea Kunnert, 2015. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose 2015/16," WIFO Studies, WIFO, number 65641, March.
    11. Michael Klien & Andrea Kunnert, 2015. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose 2015/16 und regionale Entwicklung 2009/2014," WIFO Studies, WIFO, number 58605, March.
    12. Dieter Pennerstorfer & Andrea Kunnert & Peter Huber, 2014. "Baubewilligungen für Wohneinheiten in Österreich. Prognose 2014 und 2015 und regionale Entwicklung 2008 bis 2013," WIFO Studies, WIFO, number 58601, March.
    13. Andrea Kunnert, 2013. "Baubewilligungen für Wohneinheiten in Österreich: Prognose 2012/2014 und regionale Entwicklung 2006/2011," WIFO Studies, WIFO, number 46678, March.
    14. Julia Bachtrögler-Unger & Michael Klien & Andrea Kunnert, 2018. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Winter 2018," WIFO Studies, WIFO, number 62398, March.
    15. Michael Klien & Andrea Kunnert, 2016. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Winter 2016," WIFO Studies, WIFO, number 65637, March.
    16. Andrea Kunnert, 2013. "Baubewilligungen für Wohneinheiten in Österreich: Prognose 2012/13 und regionale Entwicklung 2006/2011. Teilbericht 2," WIFO Studies, WIFO, number 67110, March.
    17. Michael Klien & Andrea Kunnert, 2018. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Sommer 2018 und regionale Entwicklung 2012/2017," WIFO Studies, WIFO, number 62399, March.
    18. Dieter Pennerstorfer & Andrea Kunnert & Peter Huber, 2014. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose 2013/2015 – Teilbericht 2," WIFO Studies, WIFO, number 58600, March.
    19. Michael Klien & Andrea Kunnert, 2016. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Frühjahr 2016," WIFO Studies, WIFO, number 65640, March.
    20. Michael Klien & Andrea Kunnert, 2017. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Sommer 2017 und regionale Entwicklung 2011/2016," WIFO Studies, WIFO, number 65636, March.
    21. Andrea Kunnert, 2013. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose 2013/14 (Teilbericht 1)," WIFO Studies, WIFO, number 58599, March.
    22. Larry W. Taylor, 2009. "Penalized‐R2 Criteria For Model Selection," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
    23. Andrea Kunnert, 2011. "Prognose der Baubewilligungen für Wohneinheiten in Österreich 2009 bis 2011," WIFO Studies, WIFO, number 41257, March.
    24. Michael Klien & Andrea Kunnert, 2016. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Sommer 2016 und regionale Entwicklung 2010/2015," WIFO Studies, WIFO, number 65639, March.
    25. Michael Klien & Andrea Kunnert, 2014. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose 2014 und 2015," WIFO Studies, WIFO, number 58603, March.
    26. Michael Klien & Andrea Kunnert, 2017. "Baubewilligungen für neue Wohneinheiten in Österreich. Prognose Winter 2017," WIFO Studies, WIFO, number 62400, March.
    27. Lahiri, Kajal & Sheng, Xuguang, 2008. "Evolution of forecast disagreement in a Bayesian learning model," Journal of Econometrics, Elsevier, vol. 144(2), pages 325-340, June.

  12. Granger, Clive W.J. & Jeon, Yongil, 2007. "Evaluation of global models," Economic Modelling, Elsevier, vol. 24(6), pages 980-989, November.

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    1. Konstantinos N. Konstantakis & Panayotis G. Michaelides & Livia Chatzieleftheriou & Arsenios‐Georgios N. Prelorentzos, 2022. "Crisis and the Chinese miracle: A network—GVAR model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(3), pages 900-921, July.
    2. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
    3. Taylor, Mark & Boero, Gianna & Mandalinci, Zeyyad, 2016. "Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls," CEPR Discussion Papers 11689, C.E.P.R. Discussion Papers.
    4. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics 1408, Faculty of Economics, University of Cambridge.
    5. Jan Hajek & Roman Horvath, 2017. "International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries," Working Papers IES 2017/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.

  13. S Datta & C W J Granger & M Barari & T Gibbs, 2007. "Management of supply chain: an alternative modelling technique for forecasting," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(11), pages 1459-1469, November.

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    1. Chen, Yenming J. & Sheu, Jiuh-Biing & Lirn, Taih-Cherng, 2012. "Fault tolerance modeling for an e-waste recycling supply chain," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 48(5), pages 897-906.
    2. Trapero, Juan R. & Cardós, Manuel & Kourentzes, Nikolaos, 2019. "Empirical safety stock estimation based on kernel and GARCH models," Omega, Elsevier, vol. 84(C), pages 199-211.
    3. Jin Sung Rha, 2020. "Trends of Research on Supply Chain Resilience: A Systematic Review Using Network Analysis," Sustainability, MDPI, vol. 12(11), pages 1-27, May.
    4. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
    5. J W Taylor, 2011. "Multi-item sales forecasting with total and split exponential smoothing," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(3), pages 555-563, March.
    6. Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
    7. Y Barlas & B Gunduz, 2011. "Demand forecasting and sharing strategies to reduce fluctuations and the bullwhip effect in supply chains," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(3), pages 458-473, March.
    8. Tuncer Yılmaz & Bülent Yıldız, 2022. "Yatırımcıların Risk İştahı Endeksi İle Korku Endeksleri Arasındaki İlişki: Türkiye’de ARDL İle Ampirik Bir Uygulama," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(3), pages 646-676.

  14. Granger, Clive W.J. & Jeon, Yongil, 2007. "Long-term forecasting and evaluation," International Journal of Forecasting, Elsevier, vol. 23(4), pages 539-551.

    Cited by:

    1. Hurmekoski, Elias & Hetemäki, Lauri, 2013. "Studying the future of the forest sector: Review and implications for long-term outlook studies," Forest Policy and Economics, Elsevier, vol. 34(C), pages 17-29.
    2. António Brandão Moniz, 2008. "Assessing scenarios on the future of work," Enterprise and Work Innovation Studies, Universidade Nova de Lisboa, IET/CICS.NOVA-Interdisciplinary Centre on Social Sciences, Faculty of Science and Technology, vol. 4(4), pages 91-106, November.
    3. Chong Zhang & Ignacio Mauleón, 2023. "Assessing the Energy Efficiency Gains and Savings in China’s 2060 Carbon-Neutral Plan," Energies, MDPI, vol. 16(19), pages 1-16, September.
    4. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
    5. Aleksandra Kowalska & Milena Bieniek, 2022. "Meeting the European green deal objective of expanding organic farming," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(3), pages 607-633, September.
    6. Ignacio Mauleón, 2021. "Aggregated World Energy Demand Projections: Statistical Assessment," Energies, MDPI, vol. 14(15), pages 1-13, July.
    7. Kurt Graden Lunsford & Kenneth D. West, 2024. "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers 24-20, Federal Reserve Bank of Cleveland.
    8. Scarpel, Rodrigo Arnaldo, 2014. "A demand trend change early warning forecast model for the city of São Paulo multi-airport system," Transportation Research Part A: Policy and Practice, Elsevier, vol. 65(C), pages 23-32.
    9. Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
    10. Wang, Lu & Wu, Jiangbin & Cao, Yang & Hong, Yanran, 2022. "Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?," Energy Economics, Elsevier, vol. 111(C).
    11. Antony Millner & Daniel Heyen, 2021. "Prediction: The Long and the Short of It," American Economic Journal: Microeconomics, American Economic Association, vol. 13(1), pages 374-398, February.

  15. Granger, Clive W.J. & Machina, Mark J., 2006. "Structural attribution of observed volatility clustering," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 15-29.

    Cited by:

    1. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. James D. Hamilton, 2005. "What's Real About the Business Cycle?," NBER Working Papers 11161, National Bureau of Economic Research, Inc.
    3. Ruge-Murcia, Francisco, 2024. "Asset prices in a production network," European Economic Review, Elsevier, vol. 166(C).
    4. Ibrahim, Boulis Maher & Brzeszczynski, Janusz, 2009. "Inter-regional and region-specific transmission of international stock market returns: The role of foreign information," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 322-343, March.
    5. Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Yi Xue & Ramazan Gencay, 2009. "Trading Frequency and Volatility Clustering," Working Paper series 31_09, Rimini Centre for Economic Analysis.
    7. Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
    8. Matei Demetrescu, 2007. "Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?," Economics Bulletin, AccessEcon, vol. 7(15), pages 1-8.
    9. Simlai, Prodosh, 2014. "Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 17-30.
    10. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  16. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
    See citations under working paper version above.
  17. Clive W. J. Granger & Yongil Jeon, 2006. "Dynamics of Model Overfitting Measured in terms of Autoregressive Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 347-365, May.

    Cited by:

    1. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280, April.
    2. Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Carlos A. Medel, 2015. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 30(1), pages 57-72, Abril.
    4. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers 08-13, University of Copenhagen. Department of Economics.
    5. Stephan B. Bruns & Zsuzsanna Csereklyei & David I. Stern, 2018. "A Multicointegration Model of Global Climate Change," CCEP Working Papers 1801, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University.
    6. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.

  18. Granger, Clive W.J. & Hyung, Namwon, 2006. "Introduction to m-m processes," Journal of Econometrics, Elsevier, vol. 130(1), pages 143-164, January.
    See citations under working paper version above.
  19. Clive W. J. Granger, 2005. "Preface: Some Thoughts on the Future of Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 707-711, December.

    Cited by:

    1. Patrick T. Brandt & John R. Freeman & Philip A. Schrodt, 2011. "Real Time, Time Series Forecasting of Inter- and Intra-State Political Conflict," Conflict Management and Peace Science, Peace Science Society (International), vol. 28(1), pages 41-64, February.

  20. Granger, Clive W.J., 2005. "The past and future of empirical finance: some personal comments," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 35-40.

    Cited by:

    1. Tae-Hwy Lee & Weiping Yang, 2012. "Money–Income Granger-Causality in Quantiles," Advances in Econometrics, in: 30th Anniversary Edition, pages 385-409, Emerald Group Publishing Limited.
    2. Nikolai Leonenko & EStuart Petherick & Emanuele Taufer, 2012. "Multifractal Scaling for Risky Asset Modelling," DISA Working Papers 2012/07, Department of Computer and Management Sciences, University of Trento, Italy, revised Jul 2012.
    3. Haas, Markus, 2009. "Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1674-1683, August.
    4. Hens, Thorsten & Steude, Sven C., 2009. "The leverage effect without leverage," Finance Research Letters, Elsevier, vol. 6(2), pages 83-94, June.
    5. Aknouche Abdelhakim & Demmouche Nacer & Dimitrakopoulos Stefanos & Touche Nassim, 2020. "Bayesian analysis of periodic asymmetric power GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-24, September.
    6. Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
    7. Finlay, Richard & Seneta, Eugene, 2012. "A Generalized Hyperbolic model for a risky asset with dependence," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2164-2169.
    8. Leonenko, N.N. & Petherick, S. & Sikorskii, A., 2012. "A normal inverse Gaussian model for a risky asset with dependence," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 109-115.
    9. Aknouche, Abdelhakim & Touche, Nassim, 2015. "Weighted least squares-based inference for stable and unstable threshold power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 108-115.
    10. Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
    11. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    12. Bontempi, Maria Elena & Bottazzi, Laura & Golinelli, Roberto, 2020. "A multilevel index of heterogeneous short-term and long-term debt dynamics," Journal of Corporate Finance, Elsevier, vol. 64(C).

  21. Clive W. J. Granger, 2005. "Modeling, Evaluation, and Methodology in the New Century," Economic Inquiry, Western Economic Association International, vol. 43(1), pages 1-12, January.

    Cited by:

    1. Zijun Wang & Andrew J. Rettenmaier, 2008. "Deficits, Explicit Debt, Implicit Debt, and Interest Rates: Some Empirical Evidence," Southern Economic Journal, John Wiley & Sons, vol. 75(1), pages 208-222, July.
    2. Andrew Rettenmaier & Zijun Wang, 2013. "What determines health: a causal analysis using county level data," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 14(5), pages 821-834, October.
    3. Adusei Jumah & Robert M. Kunst, 2016. "Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging," Applied Economics, Taylor & Francis Journals, vol. 48(45), pages 4366-4378, September.
    4. David Bessler & Zijun Wang, 2012. "D-separation, forecasting, and economic science: a conjecture," Theory and Decision, Springer, vol. 73(2), pages 295-314, August.
    5. Adusei Jumah & Robert M. Kunst, 2008. "Seasonal prediction of European cereal prices: good forecasts using bad models?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 391-406.

  22. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
    See citations under working paper version above.
  23. Ser-Huang Poon & Clive Granger, 2005. "Practical Issues in Forecasting Volatility," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(1), pages 45-56, January.

    Cited by:

    1. Ata Ozkaya & Omer Altun, 2024. "Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey," SAGE Open, , vol. 14(2), pages 21582440241, April.
    2. Hyeong-Ohk Bae & Seunggu Kang & Muhyun Lee, 2024. "Option Pricing and Local Volatility Surface by Physics-Informed Neural Network," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 3143-3159, November.

  24. Granger, Clive W.J. & Hendry, David F., 2005. "A Dialogue Concerning A New Instrument For Econometric Modeling," Econometric Theory, Cambridge University Press, vol. 21(1), pages 278-297, February.

    Cited by:

    1. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
    2. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    3. Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, vol. 21(1), pages 60-68, February.
    4. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy (IfW Kiel).
    5. David Hendry & Jennifer L. Castle, 2010. "Model Selection in Under-specified Equations Facing Breaks," Economics Series Working Papers 509, University of Oxford, Department of Economics.
    6. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    7. Marquez, Jaime, 2006. "Estimating elasticities for U.S. trade in services," Economic Modelling, Elsevier, vol. 23(2), pages 276-307, March.
    8. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
    9. Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, 2009. "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 5, pages 75-89, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
    10. Sean Fahle & Jaime R. Marquez & Charles P. Thomas, 2008. "Measuring U.S. international relative prices: a WARP view of the world," International Finance Discussion Papers 917, Board of Governors of the Federal Reserve System (U.S.).
    11. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-69.
    12. Jaime R. Marquez, 2005. "Estimating elasticities for U.S. trade in services," International Finance Discussion Papers 836, Board of Governors of the Federal Reserve System (U.S.).

  25. Clive Granger & Yongil Jeon, 2004. "Forecasting Performance of Information Criteria with Many Macro Series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(10), pages 1227-1240.

    Cited by:

    1. Medel, Carlos A., 2012. "How informative are in-sample information criteria to forecasting? the case of Chilean GDP," MPRA Paper 35949, University Library of Munich, Germany.
    2. Carlos A. Medel, 2015. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 30(1), pages 57-72, Abril.
    3. Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.
    4. Diteboho Xaba & Ntebogang Dinah Moroke & Ishmael Rapoo, 2019. "Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 10-22.
    5. Ren, Boru & Lucey, Brian & Luo, Qirui, 2023. "An examination of green bonds as a hedge and safe haven for international equity markets," Global Finance Journal, Elsevier, vol. 58(C).
    6. Nezir Kose & Nuri Ucar, 2006. "Effect of cross correlations in error terms on the model selection criteria for the stationary VAR process," Applied Economics Letters, Taylor & Francis Journals, vol. 13(4), pages 223-228.
    7. Medel, Carlos A., 2012. "¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno? [Akaike or Schwarz? Which One is a Better Predictor of Chilean GDP?]," MPRA Paper 35950, University Library of Munich, Germany.
    8. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    9. Erdal Atukeren, 2010. "The relationship between the F-test and the Schwarz criterion: Implications for Granger-causality tests," Economics Bulletin, AccessEcon, vol. 30(1), pages 494-499.
    10. Christian Glocker & Serguei Kaniovski, 2022. "Macroeconometric forecasting using a cluster of dynamic factor models," Empirical Economics, Springer, vol. 63(1), pages 43-91, July.
    11. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
    12. Antonio Musolesi & Davide Golinelli & Massimiliano Mazzanti, 2025. "Modelling green knowledge production and environmental policies with semiparametric panel data regression models," Empirical Economics, Springer, vol. 68(1), pages 327-352, January.
    13. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    14. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series 57, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    15. Carlos A. Medel & Sergio C. Salgado, 2013. "Does the Bic Estimate and Forecast Better than the Aic?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 28(1), pages 47-64, April.
    16. Elif Cepni & Nezir Kose, 2006. "Assessing the Currency Crises in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 37-64.
    17. Pablo M. Pincheira & Carlos A. Medel, 2015. "Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 2-29, January.

  26. Clive W.J. Granger, 2004. "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, vol. 94(3), pages 421-425, June.
    See citations under working paper version above.
  27. Elliott, Graham & Granger, Clive W.J., 2004. "Evaluating significance: comments on "size matters"," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 547-550, November.

    Cited by:

    1. Stephen T. Ziliak & Deirdre N. McCloskey, 2013. "We Agree That Statistical Significance Proves Essentially Nothing: A Rejoinder to Thomas Mayer," Econ Journal Watch, Econ Journal Watch, vol. 10(1), pages 97-107, January.
    2. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, March.
    3. Fabrizio Bernardi & Marco Cozzani, 2021. "Soccer Scores, Short-Term Mood and Fertility," European Journal of Population, Springer;European Association for Population Studies, vol. 37(3), pages 625-641, July.
    4. Figueiredo, Antonio & Parhizgari, A.M., 2017. "Currency volatility and bid-ask spreads of ADRs and local shares," Global Finance Journal, Elsevier, vol. 34(C), pages 54-71.
    5. Kevin D. Hoover & Mark V. Siegler, 2005. "Sound and Fury: McCloskey and Significance Testing in Economics," Econometrics 0511018, University Library of Munich, Germany.

  28. Giacomini, Raffaella & Granger, Clive W. J., 2004. "Aggregation of space-time processes," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 7-26.
    See citations under working paper version above.
  29. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June.

    Cited by:

    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 1766, CESifo.
    2. Marco R. Barassi & Gianluigi De Pascale & Raffaele Lagravinese, 2021. "Testing the law of one-price in the US gasoline market: a long memory approach," SERIES 03-2021, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jun 2021.
    3. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "U.S. shale oil production and WTI prices behaviour," Energy, Elsevier, vol. 141(C), pages 12-19.
    4. D. (Derek) Bond & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2009. "Exploring long memory and nonlinearity in Irish real exchange Rates using tests based on semiparametric estimation," Working Papers 200901, School of Economics, University College Dublin.
    5. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    6. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    7. Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 548-557.
    8. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    9. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
    10. Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2011. "Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria," NCID Working Papers 04/2011, Navarra Center for International Development, University of Navarra.
    11. Michail Karoglou & Bruce Morley & Dennis Thomas, 2013. "Risk and Structural Instability in US House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 424-436, April.
    12. Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, March.
    13. Marc Gronwald, 2009. "Jumps in Oil Prices- Evidence and Implications," ifo Working Paper Series 75, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    14. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    15. Kreye, Tom Jannik & Sibbertsen, Philipp, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Hannover Economic Papers (HEP) dp-729, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    16. Berna Kirkulak Uludag & Zorikto Lkhamazhapov, 2014. "Long memory and structural breaks in the returns and volatility of gold: evidence from Turkey," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3777-3787, November.
    17. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries," Working Papers 201321, University of Pretoria, Department of Economics.
    18. Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
    19. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
    20. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    21. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    22. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008. "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers 2008-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
    24. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    25. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
    26. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    27. Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers 2012-07, Department of Economics and Business Economics, Aarhus University.
    28. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    29. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
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    165. Solarin, Sakiru Adebola & Gil-Alana, Luis A., 2021. "The persistence of economic policy uncertainty: Evidence of long range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 568(C).
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    202. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 5-20.
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    207. Hector Carcel & Luis A. Gil-Alana & Godfrey Madigu, 2015. "Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 15(4), pages 507-524, December.
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    218. Gil-Alana, Luis A. & Huijbens, Edward H., 2018. "Tourism in Iceland: Persistence and seasonality," Annals of Tourism Research, Elsevier, vol. 68(C), pages 20-29.
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    287. Guglielmo Maria Caporale & Luis A. Gil-Alana & Manuel Monge, 2019. "Energy Consumption in the GCC Countries: Evidence on Persistence," CESifo Working Paper Series 7470, CESifo.
    288. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
    289. Young Wook Han, 2010. "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 375-396.
    290. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
    291. Luis A. Gil-Alana, 2015. "Linear and segmented trends in sea surface temperature data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(7), pages 1531-1546, July.
    292. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
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    294. Härdle, Wolfgang Karl & López-Cabrera, Brenda & Ritter, Matthias, 2012. "Forecast based pricing of weather derivatives," SFB 649 Discussion Papers 2012-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    358. Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.
    359. Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
    360. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    361. Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    362. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.
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    364. Bent Jesper Christensen & Nabanita Datta Gupta & Paolo Santucci de Magistris, 2021. "Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 118-149, January.
    365. Aida Karmous & Heni Boubaker & Lotfi Belkacem, 2021. "Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 461-482, August.
    366. Yaya O. S. & Akintande O. J. & Ogbonna A. E. & Adegoke H. M., 2019. "Cpi Inflation In Africa: Fractional Persistence, Mean Reversion And Nonlinearity," Statistics in Transition New Series, Statistics Poland, vol. 20(3), pages 119-132, September.
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    2. Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis, 2007. "Growth and convergence: A profile of distribution dynamics and mobility," Journal of Econometrics, Elsevier, vol. 136(2), pages 483-508, February.
    3. Li, Hui, 2016. "A true measure of dependence," MPRA Paper 69735, University Library of Munich, Germany.
    4. Esfandiar Maasoumi & M. Melinda Pitts & Ke Wu, 2014. "The gap between the conditional wage distributions of incumbents and the newly hired employees: decomposition and uniform ordering," FRB Atlanta Working Paper 2014-22, Federal Reserve Bank of Atlanta.
    5. Antonio Fidalgo, 2018. "Testing for normality in truncated anthropometric samples," Working Papers 0142, European Historical Economics Society (EHES).
    6. Pera, Jacek, 2017. "Linear and Non-linear Relationships Between Shares of the Agrifood Industries of the Warsaw Stock Exchange. Risk Aspect," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 17(32, Part ), December.
    7. Matilla-García, Mariano & Marín, Manuel Ruiz, 2010. "A new test for chaos and determinism based on symbolic dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 600-614, December.
    8. Adeola Oyenubi & Martin Wittenberg, 2021. "Does the choice of balance-measure matter under genetic matching?," Empirical Economics, Springer, vol. 61(1), pages 489-502, July.
    9. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Tinbergen Institute Discussion Papers 13-018/III, Tinbergen Institute.
    10. David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Documentos de Trabajo del ICAE 2017-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    11. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
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    51. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
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  31. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
    See citations under working paper version above.
  32. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.

    Cited by:

    1. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    2. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    3. Hsiao, Cheng & Wan, Shui Ki, 2014. "Is there an optimal forecast combination?," Journal of Econometrics, Elsevier, vol. 178(P2), pages 294-309.
    4. Albacete, Rebeca & Espasa, Antoni, 2005. "Forecasting inflation in the euro area using monthly time series models and quarterly econometric models," DES - Working Papers. Statistics and Econometrics. WS ws050401, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    6. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    7. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
    8. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    9. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
    10. Antoni Espasa & Rebeca Albacete, 2007. "Econometric modelling for short-term inflation forecasting in the euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 303-316.
    11. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
    12. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106, Elsevier.
    13. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    14. Claudio Morana, 2012. "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Working Papers 2012.07, Fondazione Eni Enrico Mattei.
    15. Arnulfo Rodriguez & Pedro N. Rodriguez, 2006. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Computing in Economics and Finance 2006 30, Society for Computational Economics.
    16. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    17. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
    18. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," Working Papers 2016.23, Fondazione Eni Enrico Mattei.
    19. Karol Szafranek, 2017. "Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks," NBP Working Papers 262, Narodowy Bank Polski.
    20. Bagliano, Fabio C. & Morana, Claudio, 2012. "The Great Recession: US dynamics and spillovers to the world economy," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 1-13.
    21. Lim, G.C. & McNelis, Paul D., 2008. "Computational Macroeconomics for the Open Economy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262123061, December.
    22. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.
    23. Fabio C. Bagliano & Claudio Morana, 2012. "Determinants of US financial fragility conditions," Working papers 011, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    24. Mr. Angel J. Ubide & Mr. Kevin Ross, 2001. "Mind the Gap: What is the Best Measure of Slack in the Euro Area?," IMF Working Papers 2001/203, International Monetary Fund.
    25. Vanina Forget, 2012. "Doing well and doing good: a multi-dimensional puzzle," Working Papers hal-00672037, HAL.
    26. Garner, Thesia I. & Verbrugge, Randal, 2009. "Reconciling user costs and rental equivalence: Evidence from the US consumer expenditure survey," Journal of Housing Economics, Elsevier, vol. 18(3), pages 172-192, September.
    27. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
    28. Lessmann, Stefan & Sung, Ming-Chien & Johnson, Johnnie E.V. & Ma, Tiejun, 2012. "A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction," European Journal of Operational Research, Elsevier, vol. 218(1), pages 163-174.
    29. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
    30. Carlo A. Favero, "undated". "Parameters´ Instability, Model Uncertainty and Optimal Monetary Policy," Working Papers 196, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    31. Espasa, Antoni & Albacete, Rebeca, 2004. "Considerations on economic forecasting: method developed in the bulletin of EU and US inflation and macroeconomic analysis," DES - Working Papers. Statistics and Econometrics. WS ws045013, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. W A Razzak, 2002. "Monetary policy and forecasting inflation with and without the output gap," Reserve Bank of New Zealand Discussion Paper Series DP2002/03, Reserve Bank of New Zealand.
    33. Claudio Morana, 2014. "New insights on the US OIS spreads term structure during the recent financial turmoil," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 291-317, March.
    34. Dell'Aquila, Rosario & Ronchetti, Elvezio, 2006. "Stock and bond return predictability: the discrimination power of model selection criteria," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1478-1495, March.
    35. Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil).
    36. Maria Elena Bontempi & Silvia Giannini & Roberto Golinelli, 2005. "Corporate Tax Reforms and Financial Choices: An Empirical Analysis," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 64(2-3), pages 271-294, November.
    37. Tom Bernhardsen & ØYvind Eitrheim, 2005. "Real-time data for Norway: Output gap revisions and challenges for monetary policy," Computing in Economics and Finance 2005 274, Society for Computational Economics.
    38. Kascha, Christian & Mertens, Karel, 2009. "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 267-282, February.
    39. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
    40. Christian Pierdzioch & Marian Risse & Sebastian Rohloff, 2016. "Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy," Empirical Economics, Springer, vol. 51(4), pages 1481-1499, December.
    41. Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany, 2013. "Combining day-ahead forecasts for British electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 88-103.
    42. Favero, Carlo A. & Milani, Fabio, 2005. "Parameter Instability, Model Uncertainty and the Choice of Monetary Policy," CEPR Discussion Papers 4909, C.E.P.R. Discussion Papers.
    43. Claudio Morana, 2004. "The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?," ICER Working Papers 29-2004, ICER - International Centre for Economic Research.
    44. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    45. Haakon O. Aa. Solheim, 2005. "Evaluating Macroeconometric Modelling with Regard to Usefulness: a Survey," Nordic Journal of Political Economy, Nordic Journal of Political Economy, vol. 31, pages 3-15.
    46. Javier J. Perez & Ana Lamo & Ludger Schuknecht, 2007. "The Cyclicality of Consumption, Wages and Employment of the Public Sector in the Euro Area," EcoMod2007 23900062, EcoMod.
    47. Marco Aiolfi & Carlo Ambrogio Favero, "undated". "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    48. Michael Fritsch & Alina Sorgner & Michael Wyrwich & Evguenii Zazdravnykh, 2016. "Historical Shocks and Persistence of Economic Activity: Evidence from a Unique Natural Experiment," Jena Economics Research Papers 2016-007, Friedrich-Schiller-University Jena.
    49. McAdam, Peter & McNelis, Paul, 2004. "Forecasting inflation with thick models and neural networks," Working Paper Series 352, European Central Bank.
    50. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    51. Man, Georg, 2015. "Competition and the growth of nations: International evidence from Bayesian model averaging," Economic Modelling, Elsevier, vol. 51(C), pages 491-501.
    52. Chollete, Loran & Schmeidler, David, 2014. "Demand-Theoretic Approach to Choice of Priors," UiS Working Papers in Economics and Finance 2014/14, University of Stavanger.
    53. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
    54. Mariano Matilla-Garcia & Carlos Arguello, 2005. "A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 303-308.
    55. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
    56. Andrawis, Robert R. & Atiya, Amir F. & El-Shishiny, Hisham, 2011. "Forecast combinations of computational intelligence and linear models for the NN5 time series forecasting competition," International Journal of Forecasting, Elsevier, vol. 27(3), pages 672-688, July.
    57. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
    58. Alexander Yu. Apokin & Irina B. Ipatova, 2016. "Structural Breaks in Potential GDP Of Three Major Economies: Just Impaired Credit or the “New Normal”?," HSE Working papers WP BRP 142/EC/2016, National Research University Higher School of Economics.
    59. Clive W. J. Granger & Lykke E. Andersen, 2006. "Modeling Amazon Deforestation for Policy Purposes," Development Research Working Paper Series 12/2006, Institute for Advanced Development Studies.
    60. Lamo, Ana & Pérez, Javier J. & Schuknecht, Ludger, 2013. "Are government wages interlinked with private sector wages?," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 697-712.
    61. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
    62. Juliana Yim & Heather Mitchell, 2007. "Predicting Financial Distress In The Australian Financial Service Industry," Australian Economic Papers, Wiley Blackwell, vol. 46(4), pages 375-388, December.
    63. Maciej Ryczkowski, 2016. "Poland as an inflation nutter:The story of successful output stabilization," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 34(2), pages 363-392.

  33. Granger, Clive W. J. & Jeon, Yongil, 2003. "A time-distance criterion for evaluating forecasting models," International Journal of Forecasting, Elsevier, vol. 19(2), pages 199-215.

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    1. Granger, Clive W. J. & Jeon, Yongil, 2003. "Comparing forecasts of inflation using time distance," International Journal of Forecasting, Elsevier, vol. 19(3), pages 339-349.
    2. Christian Müller, 2006. "Further results on monopolistic competition, markup pricing and the business cycle in Switzerland," Empirical Economics, Springer, vol. 31(3), pages 755-776, September.
    3. Pavle Sicherl, 2007. "The inter-temporal aspect of well-being and societal progress," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 84(2), pages 231-247, November.
    4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    5. Katja Prevodnik & Vasja Vehovar, 2014. "Presenting dynamics of social phenomena: should we use absolute, relative or time differences?," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(2), pages 799-816, March.

  34. Granger, Clive W. J. & Jeon, Yongil, 2003. "Comparing forecasts of inflation using time distance," International Journal of Forecasting, Elsevier, vol. 19(3), pages 339-349.

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    2. Mihaela Bratu (Simionescu), 2013. "How to Improve the SPF Forecasts?," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 9(2), pages 153-165, April.
    3. Jan-Erik Antipin & Farid Jimmy Boumediene & Pär Österholm, 2014. "Forecasting Inflation Using Constant Gain Least Squares," Australian Economic Papers, Wiley Blackwell, vol. 53(1-2), pages 2-15, June.
    4. Pavle Sicherl, 2007. "The inter-temporal aspect of well-being and societal progress," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 84(2), pages 231-247, November.
    5. Beechey, Meredith & Österholm, Pär, 2010. "Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors," International Journal of Forecasting, Elsevier, vol. 26(2), pages 248-264, April.
    6. BRATU SIMIONESCU, Mihaela, 2012. "Two Quantitative Forecasting Methods For Macroeconomic Indicators In Czech Republic," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 3(1), pages 71-87.
    7. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    8. Mihaela BRATU (SIMIONESCU), 2012. "A Strategy To Improve The Gdp Index Forcasts In Romania Using Moving Average Models Of Historical Errors Of The Dobrescu Macromodel," Romanian Journal of Economics, Institute of National Economy, vol. 35(2(44)), pages 128-138, December.
    9. Pär Österholm, 2008. "Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 41-51.

  35. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.

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    Cited by:

    1. Hartwell, Christopher A., 2018. "The “Hierarchy of Institutions” reconsidered: Monetary policy and its effect on the rule of law in interwar Poland," Explorations in Economic History, Elsevier, vol. 68(C), pages 37-70.
    2. Valadkhani, Abbas, 2005. "Macroeconometric Modelling: Approaches and Experiences in Developing Countries," Economics Working Papers wp05-10, School of Economics, University of Wollongong, NSW, Australia.
    3. Valadkhani, A., 2005. "Macroeconomic Modelling: Approaches and Experiences in Development Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(1).
    4. Fildes, Robert & Kourentzes, Nikolaos, 2011. "Validation and forecasting accuracy in models of climate change," International Journal of Forecasting, Elsevier, vol. 27(4), pages 968-995, October.

  37. Clive W. J. Granger, 2003. "Time Series Concepts for Conditional Distributions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 689-701, December.

    Cited by:

    1. Chen, Xiaohong & Liao, Zhipeng & Sun, Yixiao, 2014. "Sieve inference on possibly misspecified semi-nonparametric time series models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 639-658.
    2. Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
    4. Giacomini, Enzo & Härdle, Wolfgang & Spokoiny, Vladimir, 2009. "Inhomogeneous Dependence Modeling with Time-Varying Copulae," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 224-234.

  38. Granger, Clive W. J., 2003. "Some aspects of causal relationships," Journal of Econometrics, Elsevier, vol. 112(1), pages 69-71, January.

    Cited by:

    1. Ghassen El Montasser & Ahdi N. Ajmi & Tsangyao Chang & Beatrice D. Simo-Kengne & Christophe Andre & Rangan Gupta, 2013. "Cross-Country Evidence On The Causal Relationship Between Policy Uncertainty And House Prices," Working Papers 201380, University of Pretoria, Department of Economics.
    2. Hsien-Hung Kung & Jennifer C. H. Min, 2013. "Military Spending and Economic Growth Nexus in Sixteen Latin and South American Countries: A Bootstrap Panel Causality Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 171-185, December.
    3. Menyah, Kojo & Nazlioglu, Saban & Wolde-Rufael, Yemane, 2014. "Financial development, trade openness and economic growth in African countries: New insights from a panel causality approach," Economic Modelling, Elsevier, vol. 37(C), pages 386-394.
    4. Jenn-Hong Tang & Cheng-Chung Lai & Eric Lin, 2009. "Military Expenditure And Unemployment Rates: Granger Causality Tests Using Global Panel Data," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(4), pages 253-267.
    5. Hong Vo, Duc & Van Nguyen, Phuc & Minh Nguyen, Ha & The Vo, Anh & Cong Nguyen, Thang, 2020. "Derivatives market and economic growth nexus: Policy implications for emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    7. Campo, Jacobo & Mendoza, Henry, 2018. "Gasto público y crecimiento económico: un análisis regional para Colombia, 1984-2012," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 88, pages 77-108, January.
    8. Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
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    10. Slim Mahfoudh & Mohamed Ben Amar, 2015. "The Impact of Economic Policies on Economic Growth in a Group of Arabic Countries: Empirical Verification using Non-Stationary Panel Model," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 131-137, May.
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    23. Jacobo Campo & Henry Mendoza, 2018. "Public expenditure and economic growth: a regional analysis for Colombia, 1984-2012," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 88, pages 77-108, Enero - J.
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    57. Marcella Nicolini & Alessia Paccagnini, 2011. "Does Trade Foster Institutions? An Empirical Assessment," Open Access publications 10197/7585, School of Economics, University College Dublin.
    58. Chi-Wei Su & Zheng-Zheng Li & Ran Tao & Oana-Ramona Lobonţ, 2019. "Can economic development boost the active female labor force?," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(2), pages 1021-1036, March.
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  39. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2002. "Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-2.
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  40. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
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  41. Clive W. J. Granger, 2002. "Some comments on risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 447-456.

    Cited by:

    1. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
    2. Gonzalo, Jesús & Olmo, José, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de Economía.
    3. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
    4. Kumar, Dilip & Maheswaran, S., 2014. "A new approach to model and forecast volatility based on extreme value of asset prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 128-140.
    5. Thanh Tran & Haresh Gurnani & Ramarao Desiraju, 2018. "Optimal Design of Return Policies," Marketing Science, INFORMS, vol. 37(4), pages 649-667, August.
    6. Granger, Clive W.J., 2005. "The past and future of empirical finance: some personal comments," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 35-40.
    7. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    8. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
    10. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
    11. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
    12. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
    13. Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
    14. Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
    15. Dilip Kumar, 2016. "Sudden changes in crude oil price volatility: an application of extreme value volatility estimator," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 215-234.
    16. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    17. Santosh Mishra & Gloria Gonzalez-Rivera & Tae-Hwy Lee, 2004. "Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk," Econometric Society 2004 North American Winter Meetings 356, Econometric Society.
    18. Gustavo Cabrera González, 2019. "Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 203-219, Abril-Jun.
    19. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics 0413, School of Economics, University of Kent.
    20. 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.
    21. Chiarella, Carl & Gao, Shenhuai, 2004. "The value of the S&P 500--A macro view of the stock market adjustment process," Global Finance Journal, Elsevier, vol. 15(2), pages 171-196, August.

  42. Granger, Clive W.J., 2001. "Overview Of Nonlinear Macroeconometric Empirical Models," Macroeconomic Dynamics, Cambridge University Press, vol. 5(4), pages 466-481, September.

    Cited by:

    1. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2023. "Investigating the inflation-output-nexus for the euro area: Old questions and new results," Wismar Discussion Papers 01/2023, Hochschule Wismar, Wismar Business School.
    2. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    3. Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    5. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
    6. Boysen-Hogrefe, Jens & Jannsen, Nils & Meier, Carsten-Patrick, 2015. "A note on banking and housing crises and the strength of recoveries," Kiel Working Papers 1984, Kiel Institute for the World Economy (IfW Kiel).
    7. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics.
    8. Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Toronto Metropolitan University, Department of Economics.
    9. Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
    10. Andrea Cipollini & Bassam Fattouh & Kostas Mouratidis, 2009. "Fiscal Readjustments In The United States: A Nonlinear Time‐Series Analysis," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 34-54, January.
    11. 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.
    12. Judge, Amrit & Reancharoen, Tipprapa, 2014. "An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 335-358.
    13. Mark P. Taylor, 2004. "Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 229-244.
    14. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
    15. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    16. Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
    17. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.

  43. P. Silvapulle & C. W. J. Granger, 2001. "Large returns, conditional correlation and portfolio diversification: a value-at-risk approach," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 542-551.

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    1. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
    2. Donald Lien & Y. K. Tse & Xibin Zhang, 2003. "Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 136-144.
    3. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
    4. Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
    5. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
    6. 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.
    7. Mittnik, Stefan, 2013. "VaR-implied tail-correlation matrices," CFS Working Paper Series 2013/05, Center for Financial Studies (CFS).
    8. Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2011. "Multi-regime nonlinear capital asset pricing models," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1421-1438, April.
    9. Vitali Alexeev & Mardi Dungey, 2015. "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
    10. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
    11. Chiu, Yen-Chen & Chuang, I-Yuan, 2016. "The performance of the switching forecast model of value-at-risk in the Asian stock markets," Finance Research Letters, Elsevier, vol. 18(C), pages 43-51.
    12. Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017. "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 155-174, January.
    13. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
    14. Lei Jiang & Esfandiar Maasoumi & Jiening Pan & Ke Wu, 2018. "A test of general asymmetric dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1026-1043, November.
    15. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
    16. Fjærvik, Thomas, 2023. "Crash risk in the Nordic Stock Market - a cross-sectional analysis," Discussion Papers 2023/5, Norwegian School of Economics, Department of Business and Management Science.
    17. V. F. Pisarenko & D. Sornette, 2004. "New statistic for financial return distributions: power-law or exponential?," Papers physics/0403075, arXiv.org.
    18. Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
    19. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics.
    20. Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
    21. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets," Real Estate & Planning Working Papers rep-wp2005-16, Henley Business School, University of Reading.
    22. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, April.
    23. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
    24. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 19-48, June.
    25. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
    26. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
    27. Rıza Demirer & Shrikant P. Jategaonkar, 2013. "The conditional relation between dispersion and return," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 125-134, September.
    28. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
    29. Dobrić, Jadran & Frahm, Gabriel & Schmid, Friedrich, 2007. "Dependence of stock returns in bull and bear markets," Discussion Papers in Econometrics and Statistics 9/07, University of Cologne, Institute of Econometrics and Statistics.
    30. Bhar, Ramaprasad & Hamori, Shigeyuki, 2007. "Co-movement in the price of risk of aggregate equity markets," Economic Systems, Elsevier, vol. 31(3), pages 256-271, September.
    31. Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
    32. Dobric Jadran & Frahm Gabriel & Schmid Friedrich, 2013. "Dependence of Stock Returns in Bull and Bear Markets," Dependence Modeling, De Gruyter, vol. 1(2013), pages 94-110, December.
    33. Kristian Gundersen & Timothée Bacri & Jan Bulla & Sondre Hølleland & Antonello Maruotti & Bård Støve, 2024. "Testing for time‐varying nonlinear dependence structures: Regime‐switching and local Gaussian correlation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 1012-1060, September.

  44. Clive Granger & Yongil Jeon, 2001. "The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution," Applied Financial Economics, Taylor & Francis Journals, vol. 11(5), pages 469-474.

    Cited by:

    1. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.

  45. Granger, Clive W. J., 2001. "Macroeconometrics - Past and future," Journal of Econometrics, Elsevier, vol. 100(1), pages 17-19, January.

    Cited by:

    1. Q. Farooq Akram & Ragnar Nymoen, 2009. "Model Selection for Monetary Policy Analysis: How Important is Empirical Validity?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 35-68, February.
    2. Michael S. Haigh, 2005. "Conditional volatility forecasting in a dynamic hedging model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(3), pages 155-172.
    3. Reggi, Luigi & Arduini, Davide & Biagetti, Marco & Zanfei, Antonello, 2014. "How advanced are Italian regions in terms of public e-services? The construction of a composite indicator to analyze patterns of innovation diffusion in the public sector," Telecommunications Policy, Elsevier, vol. 38(5), pages 514-529.
    4. Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005. "Large dimension forecasting models and random singular value spectra," Science & Finance (CFM) working paper archive 500066, Science & Finance, Capital Fund Management.
    5. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2004. "The generalised dynamic factor model: consistency and rates," ULB Institutional Repository 2013/10133, ULB -- Universite Libre de Bruxelles.
    6. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    7. Q. Farooq Akram & Ragnar Nymoen, 2006. "Model selection for monetary policy analysis – Importance of empirical validity," Working Paper 2006/13, Norges Bank.

  46. Clive Granger & Namwon Hyung & Yongil Jeon, 2001. "Spurious regressions with stationary series," Applied Economics, Taylor & Francis Journals, vol. 33(7), pages 899-904.
    See citations under working paper version above.
  47. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354.
    See citations under working paper version above.
  48. Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 161-173.

    Cited by:

    1. Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
    2. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011. "Asymmetric Loss Functions and the Rationality of Expected Stock Returns," MPRA Paper 47343, University Library of Munich, Germany.
    3. Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018. "Loss Functions for LGD Models Comparison," Post-Print hal-01923050, HAL.
    4. Niguez, Trino-Manuel & Perote, Javier, 2004. "Forecasting the density of asset returns," LSE Research Online Documents on Economics 6845, London School of Economics and Political Science, LSE Library.
    5. Capistrán Carlos & López Moctezuma Gabriel, 2008. "Experts' Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts," Working Papers 2008-11, Banco de México.
    6. Issler, João Victor & Soares, Ana Flávia, 2019. "Central Bank credibility and inflation expectations: a microfounded forecasting approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 812, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    7. Marco Ottaviani & Peter Norman Sorensen, 2001. "The Strategy of Professional Forecasting," Discussion Papers 01-09, University of Copenhagen. Department of Economics.
    8. Cipullo, Davide & Reslow, André, 2022. "Electoral Cycles in Macroeconomic Forecasts," Working Paper Series 415, Sveriges Riksbank (Central Bank of Sweden).
    9. Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2016. "Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data," Energy Economics, Elsevier, vol. 56(C), pages 117-133.
    10. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
    11. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    12. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
    13. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    14. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
    15. Korbinian Dress & Stefan Lessmann & Hans-Jorg von Mettenheim, 2017. "Residual Value Forecasting Using Asymmetric Cost Functions," Papers 1707.02736, arXiv.org.
    16. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
    17. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
    18. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models," FinMaP-Working Papers 46, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    19. Siddhartha S. Bora & Ani L. Katchova & Todd H. Kuethe, 2021. "The Rationality of USDA Forecasts under Multivariate Asymmetric Loss," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1006-1033, May.
    20. Carmona, Carlos Capistran, 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 qt6v28v0b6, Department of Economics, UC San Diego.
    21. Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017. "Robust Forecast Comparison," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
    22. Georgios Tsiotas, 2022. "Regression Analysis Using Asymmetric Losses: A Bayesian Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(2), pages 311-327, June.
    23. Pina, Álvaro M. & Venes, Nuno M., 2011. "The political economy of EDP fiscal forecasts: An empirical assessment," European Journal of Political Economy, Elsevier, vol. 27(3), pages 534-546, September.
    24. Matei Demetrescu, 2007. "Optimal forecast intervals under asymmetric loss," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 227-238.
    25. Timmermann, Allan & Patton, Andrew, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
    26. Timmermann, Allan & Qu, Ritong & Zhu, Yinchu, 2019. "Do Any Economists Have Superior Forecasting Skills?," CEPR Discussion Papers 14112, C.E.P.R. Discussion Papers.
    27. Heike Hans-Dieter & Demetrescu Matei, 2006. "Loss Reduction in Point Estimation Problems," Stochastics and Quality Control, De Gruyter, vol. 21(2), pages 209-217, January.
    28. Sabaj, Ernil & Kahveci, Mustafa, 2018. "Forecasting tax revenues in an emerging economy: The case of Albania," MPRA Paper 84404, University Library of Munich, Germany.
    29. Ali Al‐Nowaihi & Livio Stracca, 2003. "Behavioural Central Bank Loss Functions, Skewed Risks and Certainty Equivalence," Manchester School, University of Manchester, vol. 71(s1), pages 21-38, September.
    30. López Moctezuma Gabriel & Capistrán Carlos, 2010. "Forecast Revisions of Mexican Inflation and GDP Growth," Working Papers 2010-11, Banco de México.
    31. Ruhnau, Oliver & Hennig, Patrick & Madlener, Reinhard, 2020. "Economic implications of forecasting electricity generation from variable renewable energy sources," Renewable Energy, Elsevier, vol. 161(C), pages 1318-1327.
    32. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
    33. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
    34. Elliott, Graham & Timmermann, Allan, 2004. "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, vol. 122(1), pages 47-79, September.
    35. Demetrescu, Matei & Hacioglu Hoke, Sinem, 2018. "Predictive regressions under asymmetric loss: factor augmentation and model selection," Bank of England working papers 723, Bank of England.
    36. Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
    37. George Christodoulakis, 2012. "Conditions for rational investment short-termism," Annals of Finance, Springer, vol. 8(1), pages 15-29, February.
    38. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
    39. Timmermann, Allan & Granger, Clive, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
    40. Dress, Korbinian & Lessmann, Stefan & von Mettenheim, Hans-Jörg, 2018. "Residual value forecasting using asymmetric cost functions," International Journal of Forecasting, Elsevier, vol. 34(4), pages 551-565.
    41. Demetrescu, Matei, 2006. "An extension of the Gauss-Newton algorithm for estimation under asymmetric loss," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 379-401, January.
    42. Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," Macroeconomics and Finance Series 200905, University of Hamburg, Department of Socioeconomics.
    43. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, February.
    44. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
    45. Michael J. Artis & Marco Buti, 2000. "Close to Balance or in Surplus. A Policy Maker’s Guide to the Implementation of the Stability and Growth Pact," EUI-RSCAS Working Papers 28, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
    46. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
    47. Joanna Bruzda, 2016. "Quantile forecasting in operational planning and inventory management – an initial empirical verification," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 5-20.
    48. Patton, Andrew J. & Timmermann, Allan, 2005. "Testable implications of forecast optimality," LSE Research Online Documents on Economics 6834, London School of Economics and Political Science, LSE Library.
    49. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
    50. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
    51. Yen, Yu-Min & Yen, Tso-Jung, 2021. "Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions," International Journal of Forecasting, Elsevier, vol. 37(2), pages 733-758.
    52. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre, 2007. "Optimality of the RiskMetrics VaR model," Finance Research Letters, Elsevier, vol. 4(3), pages 137-145, September.
    53. de Mendonça, Helder Ferreira & de Deus, Joseph David Barroso Vasconcelos, 2019. "Central bank forecasts and private expectations: An empirical assessment from three emerging economies," Economic Modelling, Elsevier, vol. 83(C), pages 234-244.
    54. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    55. Timmermann, Allan & Elliott, Graham & Komunjer, Ivana, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers.
    56. Mawuli Segnon & Mark Trede, 2017. "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers 6617, Center for Quantitative Economics (CQE), University of Muenster.
    57. Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
    58. Vasconcelos de Deus, Joseph David Barroso & de Mendonça, Helder Ferreira, 2017. "Fiscal forecasting performance in an emerging economy: An empirical assessment of Brazil," Economic Systems, Elsevier, vol. 41(3), pages 408-419.
    59. Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
    60. Artur Tarassow & Sven Schreiber, 2018. "FEP - the forecast evaluation package for gretl," IMK Working Paper 190-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    61. Adam Gorajek, 2019. "The Well-meaning Economist," RBA Research Discussion Papers rdp2019-08, Reserve Bank of Australia.
    62. Mamatzakis, E. & Koutsomanoli-Filippaki, A., 2014. "Testing the rationality of DOE's energy price forecasts under asymmetric loss preferences," Energy Policy, Elsevier, vol. 68(C), pages 567-575.
    63. Timmermann, Allan & Patton, Andrew, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
    64. Tsyplakov, Alexander, 2013. "Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments," MPRA Paper 45186, University Library of Munich, Germany.
    65. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
    66. Joseph David Barroso Vasconcelos de Deus & Helder Ferreira de Mendonça, 2015. "Empirical evidence on fiscal forecasting in Eurozone countries," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 838-860, October.
    67. Capistrán Carlos, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
    68. Nazaria Solferino & Robert Waldmann, 2010. "Predicting the signs of forecast errors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 476-485.
    69. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
    70. Li, Jia & Patton, Andrew J., 2018. "Asymptotic inference about predictive accuracy using high frequency data," Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.
    71. Matei Demetrescu & Christoph Roling & Anna Titova, 2021. "Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 151-161, January.
    72. 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.
    73. Giovannelli, Alessandro & Pericoli, Filippo Maria, 2020. "Are GDP forecasts optimal? Evidence on European countries," International Journal of Forecasting, Elsevier, vol. 36(3), pages 963-973.

  49. Granger, Clive W. J. & Terasvirta, Timo, 1999. "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, vol. 62(2), pages 161-165, February.
    See citations under working paper version above.
  50. Clive W. J. Granger & Namwon Hyung, 1999. "Spurious Stochastics in a Short Time-Series Panel Data," Annals of Economics and Statistics, GENES, issue 55-56, pages 299-315.

    Cited by:

    1. Lin, Shuanglin & ROWE, Wei, 2006. "Determinants of the profitability of China's regional SOEs," China Economic Review, Elsevier, vol. 17(2), pages 120-141.
    2. Denitsa Angelova & Jan Käbel, 2019. "Weather Volatility and Production Efficiency," Sustainability, MDPI, vol. 11(24), pages 1-12, December.

  51. Clive Granger & Tae-Hwy Lee, 1999. "The effect of aggregation on nonlinearity," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 259-269.

    Cited by:

    1. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
    2. Maria Nikoloudaki & Dikaios Tserkezos, 2008. "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.
    3. Dick van Dijk & Dennis Fok & Philip Hans Franses, 2005. "A multi-level panel STAR model for US manufacturing sectors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 811-827.
    4. Hashem M. Pesaran & Alexander Chudik, 2011. "Aggregation in Large Dynamic Panels," CESifo Working Paper Series 3346, CESifo.
    5. Valerie Grossman & Enrique Martínez García & Efthymios Pavlidis, 2017. "Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices," Globalization Institute Working Papers 325, Federal Reserve Bank of Dallas.
    6. Fok, Dennis & van Dijk, Dick & Franses, Philip Hans, 2005. "Forecasting aggregates using panels of nonlinear time series," International Journal of Forecasting, Elsevier, vol. 21(4), pages 785-794.
    7. Sarno, Lucio & Taylor, Mark P. & Chowdhury, Ibrahim, 2004. "Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 1-25, February.
    8. Dramane Coulibaly & Hubert Kempf, 2017. "Inflation Targeting and the Forward Bias Puzzle in Emerging Countries," EconomiX Working Papers 2017-12, University of Paris Nanterre, EconomiX.
    9. Denny Meyer & Rob J. Hyndman, 2005. "Rating Forecasts for Television Programs," Monash Econometrics and Business Statistics Working Papers 1/05, Monash University, Department of Econometrics and Business Statistics.
    10. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    11. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
    12. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
    13. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2017. "Are linear models really unuseful to describe business cycle data?," MPRA Paper 79413, University Library of Munich, Germany.
    14. Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
    15. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    16. Psaradakis Zacharias, 2000. "p-Value Adjustments for Multiple Tests for Nonlinearity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(3), pages 1-8, October.
    17. Ivan Paya & David A. Peel, 2011. "Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 192-203, February.
    18. Maria Simona Andreano & Giovanni Savio, 2002. "Further evidence on business cycle asymmetries in G7 countries," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 895-904.
    19. 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.

  52. Clive Granger & Allan Timmermann, 1999. "Data mining with local model specification uncertainty: a discussion of Hoover and Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 220-225.

    Cited by:

    1. Lorenzo Bencivelli & Massimiliano Marcellino & Gianluca Moretti, 2017. "Forecasting economic activity by Bayesian bridge model averaging," Empirical Economics, Springer, vol. 53(1), pages 21-40, August.
    2. Beenstock, Michael & Szpiro, George, 2002. "Specification search in nonlinear time-series models using the genetic algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 811-835, May.
    3. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    4. Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    5. Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
    6. Sucarrat, Genaro & Escribano, Álvaro, 2009. "Automated financial multi-path GETS modelling," UC3M Working papers. Economics we093620, Universidad Carlos III de Madrid. Departamento de Economía.
    7. Marco Aiolfi & Carlo Ambrogio Favero, "undated". "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
    9. Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).

  53. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
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    Cited by:

    1. Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]," MPRA Paper 57017, University Library of Munich, Germany.
    2. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    3. John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Working Papers 200414, Geary Institute, University College Dublin.
    4. Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
    5. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    6. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
    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, Informatica, Applicazioni "G. Parenti".
    8. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June.

  56. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    See citations under working paper version above.
  57. Granger, Clive W J & Haldrup, Niels, 1997. "Separation in Cointegrated Systems and Persistent-Transitory Decompositions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 449-463, November.

    Cited by:

    1. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December.
    2. Haldrup, Niels, "undated". "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, Department of Economics and Business Economics, Aarhus University.
    3. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates," Textos para discussão 401, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    4. F. Bacchini & M. E. Bontempi & R. Golinelli & C. Jona Lasinio, 2014. "ICT and Non-ICT investments: short and long run macro dynamics," Working Papers wp956, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Fabio Bacchini & Maria Elena Bontempi & Roberto Golinelli & Cecilia Jona-Lasinio, 2018. "Short- and long-run heterogeneous investment dynamics," Empirical Economics, Springer, vol. 54(2), pages 343-378, March.
    6. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
    7. Kurita, Takamitsu, 2011. "Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(9), pages 1733-1740.
    8. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
    9. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502, Decembrie.
    10. 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 & Francis Journals, vol. 21(3), pages 273-307.
    11. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
    12. Granger, Clive W.J. & Jeon, Yongil, 2007. "Evaluation of global models," Economic Modelling, Elsevier, vol. 24(6), pages 980-989, November.
    13. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2011. "Are The Baltic Countries Ready To Adopt The Euro? A Generalized Purchasing Power Parity Approach," Manchester School, University of Manchester, vol. 79(3), pages 429-454, June.
    14. Reinhold Heinlein & Hans-Martin Krolzig, 2013. "Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach," Studies in Economics 1321, School of Economics, University of Kent.
    15. Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    16. Greasley, David & Oxley, Les, 2000. "British Industrialization, 1815-1860: A Disaggregate Time-Series Perspective," Explorations in Economic History, Elsevier, vol. 37(1), pages 98-119, January.
    17. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
    18. Root, Thomas H. & Lien, Donald, 2003. "Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 117-133.
    19. Kurita, Takamitsu, 2019. "Separate cointegration in a VAR system subject to structural breaks," Economics Letters, Elsevier, vol. 179(C), pages 19-23.
    20. Heinlein, Reinhold & Krolzig, Hans-Martin, 2012. "On the construction of two-country cointegrated VAR models with an application to the UK and US," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62310, Verein für Socialpolitik / German Economic Association.

  58. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.

    Cited by:

    1. Webel, Karsten & Smyk, Anna, 2023. "Towards seasonal adjustment of infra-monthly time series with JDemetra+," Discussion Papers 24/2023, Deutsche Bundesbank.
    2. Jahanpour, Ehsan & Ko, Hoo Sang & Nof, Shimon Y., 2016. "Collaboration protocols for sustainable wind energy distribution networks," International Journal of Production Economics, Elsevier, vol. 182(C), pages 496-507.
    3. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    4. Pielow, Amy & Sioshansi, Ramteen & Roberts, Matthew C., 2012. "Modeling short-run electricity demand with long-term growth rates and consumer price elasticity in commercial and industrial sectors," Energy, Elsevier, vol. 46(1), pages 533-540.
    5. Ericson, Torgeir, 2009. "Direct load control of residential water heaters," Energy Policy, Elsevier, vol. 37(9), pages 3502-3512, September.
    6. Jinseok Kim & Hyungseop Hong & Ki-Il Kim, 2018. "Adaptive Optimized Pattern Extracting Algorithm for Forecasting Maximum Electrical Load Duration Using Random Sampling and Cumulative Slope Index," Energies, MDPI, vol. 11(7), pages 1-23, July.
    7. Yildiz, B. & Bilbao, J.I. & Sproul, A.B., 2017. "A review and analysis of regression and machine learning models on commercial building electricity load forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 73(C), pages 1104-1122.
    8. Ahajjam, Mohamed Aymane & Bonilla Licea, Daniel & Ghogho, Mounir & Kobbane, Abdellatif, 2022. "Experimental investigation of variational mode decomposition and deep learning for short-term multi-horizon residential electric load forecasting," Applied Energy, Elsevier, vol. 326(C).
    9. Rocha Souza, Leonardo & Jorge Soares, Lacir, 2007. "Electricity rationing and public response," Energy Economics, Elsevier, vol. 29(2), pages 296-311, March.
    10. Joan Batalla-Bejerano & Maria Teresa Costa-Campi & Elisa Trujillo-Baute, 2015. "Unexpected consequences of liberalisation: metering, losses, load profiles and cost settlement in Spain’s electricity system," Working Papers 2015/16, Institut d'Economia de Barcelona (IEB).
    11. Magnano, L. & Boland, J.W., 2007. "Generation of synthetic sequences of electricity demand: Application in South Australia," Energy, Elsevier, vol. 32(11), pages 2230-2243.
    12. Charlton, Nathaniel & Singleton, Colin, 2014. "A refined parametric model for short term load forecasting," International Journal of Forecasting, Elsevier, vol. 30(2), pages 364-368.
    13. Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016. "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers 2016-23, Department of Economics and Business Economics, Aarhus University.
    14. Taylor, James W., 2008. "An evaluation of methods for very short-term load forecasting using minute-by-minute British data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 645-658.
    15. Harding, Matthew & Kettler, Kyle & Lamarche, Carlos & Ma, Lala, 2021. "The (Alleged) Environmental and Social Benefits of Dynamic Pricing," IZA Discussion Papers 14846, Institute of Labor Economics (IZA).
    16. Vaz, Lucélia Viviane & Filho, Getulio Borges da Silveira, 2017. "Functional Autoregressive Models: An Application to Brazilian Hourly Electricity Load," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(2), November.
    17. Cancelo, José Ramón & Espasa, Antoni & Grafe, Rosmarie, 2007. "Forecasting from one day to one week ahead for the Spanish system operator," DES - Working Papers. Statistics and Econometrics. WS ws078418, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
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    20. Clements, A.E. & Hurn, A.S. & Li, Z., 2016. "Forecasting day-ahead electricity load using a multiple equation time series approach," European Journal of Operational Research, Elsevier, vol. 251(2), pages 522-530.
    21. Joanna Nowicka-Zagrajek & Rafal Weron, 2002. "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports HSC/02/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    22. Tristan Launay & Anne Philippe & Sophie Lamarche, 2015. "Construction of an informative hierarchical prior for a small sample with the help of historical data and application to electricity load forecasting," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 361-385, June.
    23. Nuno Ornelas Martins & Ricardo Morais, 2015. "The influence of critical realism on managerial prediction," Working Papers de Gestão (Management Working Papers) 02, Católica Porto Business School, Universidade Católica Portuguesa.
    24. Wang, Pu & Liu, Bidong & Hong, Tao, 2016. "Electric load forecasting with recency effect: A big data approach," International Journal of Forecasting, Elsevier, vol. 32(3), pages 585-597.
    25. A. Smyk & K. Webel, 2024. "Vers une désaisonnalisation des séries temporelles infra-mensuelles avec JDemetra+," Documents de Travail de l'Insee - INSEE Working Papers m2024-04, Institut National de la Statistique et des Etudes Economiques.
    26. Kisi, Ozgur & Shiri, Jalal & Karimi, Sepideh & Shamshirband, Shahaboddin & Motamedi, Shervin & Petković, Dalibor & Hashim, Roslan, 2015. "A survey of water level fluctuation predicting in Urmia Lake using support vector machine with firefly algorithm," Applied Mathematics and Computation, Elsevier, vol. 270(C), pages 731-743.
    27. Kim, Myung Suk, 2013. "Modeling special-day effects for forecasting intraday electricity demand," European Journal of Operational Research, Elsevier, vol. 230(1), pages 170-180.
    28. Avci, Ezgi & Ketter, Wolfgang & van Heck, Eric, 2018. "Managing electricity price modeling risk via ensemble forecasting: The case of Turkey," Energy Policy, Elsevier, vol. 123(C), pages 390-403.
    29. Gould, Phillip G. & Koehler, Anne B. & Ord, J. Keith & Snyder, Ralph D. & Hyndman, Rob J. & Vahid-Araghi, Farshid, 2008. "Forecasting time series with multiple seasonal patterns," European Journal of Operational Research, Elsevier, vol. 191(1), pages 207-222, November.
    30. Matteo Manera & Angelo Marzullo, 2003. "Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components," Working Papers 2003.95, Fondazione Eni Enrico Mattei.
    31. Fezzi, Carlo & Fanghella, Valeria, 2021. "Tracking GDP in real-time using electricity market data: Insights from the first wave of COVID-19 across Europe," European Economic Review, Elsevier, vol. 139(C).
    32. Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004. "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers 28/04, Monash University, Department of Econometrics and Business Statistics, revised Oct 2005.
    33. Fan, Shu & Hyndman, Rob J., 2011. "The price elasticity of electricity demand in South Australia," Energy Policy, Elsevier, vol. 39(6), pages 3709-3719, June.
    34. Harding, Matthew & Lamarche, Carlos, 2019. "A panel quantile approach to attrition bias in Big Data: Evidence from a randomized experiment," Journal of Econometrics, Elsevier, vol. 211(1), pages 61-82.
    35. Alipour, Panteha & Mukherjee, Sayanti & Nateghi, Roshanak, 2019. "Assessing climate sensitivity of peak electricity load for resilient power systems planning and operation: A study applied to the Texas region," Energy, Elsevier, vol. 185(C), pages 1143-1153.
    36. Wang, Chi-hsiang & Grozev, George & Seo, Seongwon, 2012. "Decomposition and statistical analysis for regional electricity demand forecasting," Energy, Elsevier, vol. 41(1), pages 313-325.
    37. Deihimi, Ali & Orang, Omid & Showkati, Hemen, 2013. "Short-term electric load and temperature forecasting using wavelet echo state networks with neural reconstruction," Energy, Elsevier, vol. 57(C), pages 382-401.
    38. Lacir J. Soares & Marcelo Cunha Medeiros, 2005. "Modelling and forecasting short-term electricity load: a two step methodology," Textos para discussão 495, Department of Economics PUC-Rio (Brazil).
    39. Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017. "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS 24614, Universidad Carlos III de Madrid. Departamento de Estadística.
    40. Kamal Chapagain & Somsak Kittipiyakul & Pisut Kulthanavit, 2020. "Short-Term Electricity Demand Forecasting: Impact Analysis of Temperature for Thailand," Energies, MDPI, vol. 13(10), pages 1-29, May.
    41. Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008. "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
    42. Kahvecioğlu, Gökçe & Morton, David P. & Wagner, Michael J., 2022. "Dispatch optimization of a concentrating solar power system under uncertain solar irradiance and energy prices," Applied Energy, Elsevier, vol. 326(C).
    43. Palacio, Sebastián M., 2020. "Predicting collusive patterns in a liberalized electricity market with mandatory auctions of forward contracts," Energy Policy, Elsevier, vol. 139(C).
    44. Miguel López & Carlos Sans & Sergio Valero & Carolina Senabre, 2019. "Classification of Special Days in Short-Term Load Forecasting: The Spanish Case Study," Energies, MDPI, vol. 12(7), pages 1-31, April.
    45. Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.
    46. Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
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    56. Ismail Shah & Hasnain Iftikhar & Sajid Ali & Depeng Wang, 2019. "Short-Term Electricity Demand Forecasting Using Components Estimation Technique," Energies, MDPI, vol. 12(13), pages 1-17, July.
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    1. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    2. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand.
    3. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    4. Lena Vogel, 2007. "The Endogeneity of the Natural Rate of Growth – an Empirical Study for Latin-American Countries," Macroeconomics and Finance Series 200704, University of Hamburg, Department of Socioeconomics.
    5. Suzanne McCoskey & Chihwa Kao, 1999. "A Monte Carlo Comparison of Tests for Cointegration in Panel Data," Center for Policy Research Working Papers 3, Center for Policy Research, Maxwell School, Syracuse University.
    6. Satish Chand, 1999. "Trade Liberalization and Productivity Growth: Time‐Series Evidence from Australian Manufacturing," The Economic Record, The Economic Society of Australia, vol. 75(1), pages 28-36, March.
    7. B Bhaskara Rao & Gyaneshwar Rao, 2005. "Are Us Gasoline Price Adjustments Asymmetric?," Microeconomics 0510001, University Library of Munich, Germany.
    8. Chinna Kannapiran, 2001. "Stability of Money Demand and Monetary Policy in Papua New Guinea (PNG): An Error Correction Model Analysis," International Economic Journal, Taylor & Francis Journals, vol. 15(3), pages 73-84.
    9. Markus Eberhardt & Francis Teal, 2010. "Aggregation versus Heterogeneity in Cross-Country Growth Empirics," CSAE Working Paper Series 2010-32, Centre for the Study of African Economies, University of Oxford.
    10. Francis Teal & Markus Eberhardt, 2010. "Productivity Analysis in Global Manufacturing Production," Economics Series Working Papers 515, University of Oxford, Department of Economics.
    11. Dominique M. Gross & Mr. Nicolas Schmitt, 1999. "Exchange Rate Pass-Through and Dynamic Oligopoly: An Empirical Investigation," IMF Working Papers 1999/047, International Monetary Fund.
    12. Carlisle E. Moody & Thomas B. Marvell, 2010. "On the Choice of Control Variables in the Crime Equation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 696-715, October.
    13. Aninday Banerjee & Markus Eberhardt & J James Reade, 2010. "Panel Estimation for Worriers," Discussion Papers 10-33, Department of Economics, University of Birmingham.
    14. Shirvani, Hassan & Wilbratte, Barry, 1999. "The Asymmetric Response of Domestic Prices to Changes in Import Prices: A Cointegration Test of the Rachet Effect," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 381-396, April.
    15. Bruce Morley, 2002. "Output, consumption and the stock market: implications for European convergence," Applied Economics, Taylor & Francis Journals, vol. 34(3), pages 317-323.
    16. Deb, Surajit, 2004. "Terms of Trade and Investment Behaviour in Indian Agriculture: A Cointegration Analysis," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 59(2), pages 1-22.
    17. Miguel A. LeÛn-Ledesma & A. P. Thirlwall, 2002. "The endogeneity of the natural rate of growth," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 26(4), pages 441-459, July.
    18. Markus Eberhardt & Francis Teal, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series 2009-07, Centre for the Study of African Economies, University of Oxford.
    19. H. Sonmez Atesoglu, 2002. "Defense Spending Promotes Aggregate Output in the United States--Evidence from Cointegration Analysis," Defence and Peace Economics, Taylor & Francis Journals, vol. 13(1), pages 55-60.
    20. Halicioglu Ferda, 2005. "An Econometric Analysis Of The Effects Of Aggregate Defense Spending On Aggregate Output: The Case Of Turkey, 1950-2002," Macroeconomics 0503009, University Library of Munich, Germany.
    21. Kevin S. Nell, 1999. "The Endogenous/Exogenous Nature of South Africa's Money Supply Under Direct and Indirect Monetary Control Measures," Studies in Economics 9912, School of Economics, University of Kent.
    22. Pitruzzello, Salvatore, 2004. "Trade Globalization, Economic Performance, and Social Protection: Nineteenth-Century British Laissez-Faire and Post–World War II U.S.-Embedded Liberalism," International Organization, Cambridge University Press, vol. 58(4), pages 705-744, October.
    23. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    24. Mise, Emi & Kim, Tae-Hwan & Newbold, Paul, 2005. "On suboptimality of the Hodrick-Prescott filter at time series endpoints," Journal of Macroeconomics, Elsevier, vol. 27(1), pages 53-67, March.
    25. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.

  60. Granger, Clive W. J. & Inoue, Tomoo & Morin, Norman, 1997. "Nonlinear stochastic trends," Journal of Econometrics, Elsevier, vol. 81(1), pages 65-92, November.

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    1. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
    2. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    3. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
    4. George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song, 2013. "Domestic and outbound tourism demand in Australia: a System-of-Equations Approach," Monash Econometrics and Business Statistics Working Papers 6/13, Monash University, Department of Econometrics and Business Statistics.
    5. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
    6. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.
    7. Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
    8. Dagum, Estela Bee & Giannerini, Simone, 2006. "A critical investigation on detrending procedures for non-linear processes," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 175-191, March.
    9. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
    10. Dilip M. Nachane, 2011. "Selected Problems in the Analysis of Nonstationary & Nonlinear Time Series," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 1-17.
    11. Tomoo INOUE & Tatsuyoshi OKIMOTO, 2022. "Exploring the Dynamic Relationship between Mobility and the Spread of COVID-19, and the Role of Vaccines," Discussion papers 22011, Research Institute of Economy, Trade and Industry (RIETI).
    12. Onour, Ibrahim, 2009. "Rational bubbles and volatility persistence in India stock market," MPRA Paper 18545, University Library of Munich, Germany.
    13. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    14. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
    15. Jiti Gao, 2012. "Identification, Estimation and Specification in a Class of Semiparametic Time Series Models," Monash Econometrics and Business Statistics Working Papers 6/12, Monash University, Department of Econometrics and Business Statistics.

  61. Andersen, Lykke E. & Granger, Clive W.J. & Reis, Eustáquio J., 1997. "A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(1), May.

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    1. Dani Gamerman & Ajax R. B. Moreira, 2015. "Multivariate Spatial Regression Models," Discussion Papers 0116, Instituto de Pesquisa Econômica Aplicada - IPEA.
    2. Ferreira, Marcelo D P & Feres, Jose, 2018. "The Role of Climate Risk on Land Allocation in Brazilian Amazon," 2018 Annual Meeting, August 5-7, Washington, D.C. 274436, Agricultural and Applied Economics Association.
    3. Gamerman, Dani & Moreira, Ajax R. B. & Rue, Havard, 2003. "Space-varying regression models: specifications and simulation," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 513-533, March.
    4. Claudio Ferraz, 2015. "Explaining Agriculture Expansion and Deforestation: Evidence from the Brazilian Amazon – 1980/98," Discussion Papers 0106, Instituto de Pesquisa Econômica Aplicada - IPEA.
    5. Mendonça, Mário Jorge & Loureiro, Paulo R.A. & Sachsida, Adolfo, 2012. "The dynamics of land-use in Brazilian Amazon," Ecological Economics, Elsevier, vol. 84(C), pages 23-36.
    6. Mr. Alessandro Rebucci, 2003. "On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications," IMF Working Papers 2003/073, International Monetary Fund.
    7. Gamerman, Dani & Moreira, Ajax R. B., 2004. "Multivariate spatial regression models," Journal of Multivariate Analysis, Elsevier, vol. 91(2), pages 262-281, November.

  62. Siklos, Pierre L. & Granger, Clive W.J., 1997. "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, vol. 1(3), pages 640-657, September.
    See citations under working paper version above.
  63. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-386, July.
    See citations under working paper version above.
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    1. Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    2. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    3. 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.
    4. 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.
    5. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
    6. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    7. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
    8. Kousik Guhathakurta & Sharad Nath Bhattacharya & Mousumi Bhattacharya, 2012. "Exploring Presence of Long Memory in Emerging and Developed Stock Markets," Working papers 107, Indian Institute of Management Kozhikode.
    9. Tang, Ta-Lun & Shieh, Shwu-Jane, 2006. "Long memory in stock index futures markets: A value-at-risk approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 437-448.
    10. Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," SSE/EFI Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
    11. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    12. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    13. Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]," MPRA Paper 57017, University Library of Munich, Germany.
    14. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
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    17. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
    18. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
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    21. 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.
    22. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
    23. Kumar, Dilip, 2014. "Long range dependence in the high frequency USD/INR exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 134-148.
    24. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
    25. Wu, Hanlin & Li, Pan & Cao, Jiawei & Xu, Zijian, 2024. "Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model," Energy Economics, Elsevier, vol. 134(C).
    26. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
    27. L.A. Gil‐Alana, 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, John Wiley & Sons, vol. 15(1), pages 28-48.
    28. Christos Christodoulou-Volos & Fotios Siokis, 2006. "Long range dependence in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(18), pages 1331-1338.
    29. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.
    30. Ruiz Esther & Pérez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.
    31. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    32. Paulo M.M. Rodrigues & Uwe Hassler, 2014. "Persistence in the Banking Industry: Fractional integration and breaks in memory," Working Papers w201406, Banco de Portugal, Economics and Research Department.
    33. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
    34. Elie Bouri & Luis A. Gil-Alana & Rangan Gupta & David Roubaud, 2016. "Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks," Working Papers 201654, University of Pretoria, Department of Economics.
    35. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
    36. Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
    37. Kris Brabanter & Farzad Sabzikar, 2021. "Asymptotic theory for regression models with fractional local to unity root errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(7), pages 997-1024, October.
    38. Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
    39. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Naushad Mamode Khan, 2019. "Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework," JRFM, MDPI, vol. 12(2), pages 1-13, April.
    40. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
    41. Smith, Aaron D., 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.
    42. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    43. Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
    44. Quoreshi, Shahiduzzaman, 2006. "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies 675, Umeå University, Department of Economics.
    45. 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.
    46. D.S.G. Pollock, 2008. "Statistical Fourier Analysis: Clarifications and Interpretations," Discussion Papers in Economics 08/36, Division of Economics, School of Business, University of Leicester.
    47. Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020. "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 192-202.
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    2. Rodrigo Cerda & Alvaro Donoso & Aldo Lema, 2003. "Fundamentos del Tipo de Cambio Real en Chile," Documentos de Trabajo 244, Instituto de Economia. Pontificia Universidad Católica de Chile..
    3. Wu, Yi-Yen & Wang, Hsiao-Lin & Ho, Yu-Feng, 2010. "Urban ecotourism: Defining and assessing dimensions using fuzzy number construction," Tourism Management, Elsevier, vol. 31(6), pages 739-743.
    4. Stumpf, T.S. & Swanger, Nancy, 2017. "Institutions and transaction costs in foreign-local hotel ventures: A grounded investigation in the developing Pacific," Tourism Management, Elsevier, vol. 61(C), pages 368-379.
    5. George, Richard, 2010. "Visitor perceptions of crime-safety and attitudes towards risk: The case of Table Mountain National Park, Cape Town," Tourism Management, Elsevier, vol. 31(6), pages 806-815.
    6. Rodrigo Cerda & Álvaro Donoso & Aldo Lema, 2005. "Análisis del Tipo de Cambio Real: Chile 1986-1999," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(126), pages 329-356.
    7. Forgas-Coll, Santiago & Palau-Saumell, Ramon & Sánchez-García, Javier & Callarisa-Fiol, Luís J., 2012. "Urban destination loyalty drivers and cross-national moderator effects: The case of Barcelona," Tourism Management, Elsevier, vol. 33(6), pages 1309-1320.
    8. Glenz, C. & Iorgulescu, I. & Kienast, F. & Schlaepfer, R., 2008. "Modelling the impact of flooding stress on the growth performance of woody species using fuzzy logic," Ecological Modelling, Elsevier, vol. 218(1), pages 18-28.
    9. Modell, Sven & Vinnari, Eija & Lukka, Kari, 2017. "On the virtues and vices of combining theories: The case of institutional and actor-network theories in accounting research," Accounting, Organizations and Society, Elsevier, vol. 60(C), pages 62-78.

  66. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 396-397, July.

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    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, Department of Economics.
    2. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    3. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    4. Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
    5. Saman, Corina, 2011. "Scenarios of the Romanian GDP Evolution With Neural Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 129-140, December.
    6. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
    7. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
    8. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    9. Myladis R. Cogollo & Gilberto González-Parra & Abraham J. Arenas, 2021. "Modeling and Forecasting Cases of RSV Using Artificial Neural Networks," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    10. Zhang, G. Peter & Qi, Min, 2005. "Neural network forecasting for seasonal and trend time series," European Journal of Operational Research, Elsevier, vol. 160(2), pages 501-514, January.
    11. Antonio Matas-Mir & Denise R. Osborn & Marco Lombardi, 2005. "The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes," Econometrics Working Papers Archive wp2005_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    12. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    13. Chu, Ching-Wu & Zhang, Guoqiang Peter, 2003. "A comparative study of linear and nonlinear models for aggregate retail sales forecasting," International Journal of Production Economics, Elsevier, vol. 86(3), pages 217-231, December.
    14. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, June.
    15. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
    16. Rabindra Nepal & John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, , vol. 37(4), pages 215-238, October.
    17. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    18. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
    19. Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.
    20. Ching-Chih Chang & Chin-Yuan Hsieh & Yung-Chih Lin, 2012. "A predictive model of the freight rate of the international market in Capesize dry bulk carriers," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 313-317, March.
    21. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    22. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
    23. Supachoke Thawornkaiwong, 2016. "Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series," PIER Discussion Papers 25, Puey Ungphakorn Institute for Economic Research.
    24. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
    25. Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
    26. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    27. Franses, Philip Hans & de Bruin, Paul, 2002. "On data transformations and evidence of nonlinearity," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
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    31. Tarlok Singh, 2012. "Testing nonlinearities in economic growth in the OECD countries: an evidence from SETAR and STAR models," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3887-3908, October.
    32. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
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    34. Renaud Lacroix, 2008. "Analyse conjoncturelle de donn es brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers 210, Banque de France.

  67. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.

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    3. Chin Wen Cheong, 2010. "Estimating the Hurst parameter in financial time series via heuristic approaches," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(2), pages 201-214.
    4. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
    5. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    6. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    7. Cristiana Tudor & Aura Girlovan & Gabriel Robert Saiu & Daniel Dumitru Guse, 2025. "Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market," Mathematics, MDPI, vol. 13(7), pages 1-29, March.
    8. Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
    9. Yao, Juan & Gao, Jiti & Alles, Lakshman, 2005. "Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 225-245, March.
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    1. Chi Wei Su & Heng-Guo Zhang & Hsu-Ling Chang & Rui Nian, 2016. "Is exchange rate stability beneficial for stabilizing consumer prices in China?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(6), pages 857-879, September.
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    4. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
    5. Kai-Hua WANG & Chi-Wei SU & Hsu-Ling CHANG & Ji MA & Cristina IOVU, 2017. "Purchasing Power Parity In China: An Empirical Investigation Based On Bootstrap Rollingwindow Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 166-181, December.
    6. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
    7. 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, Informatica, Applicazioni "G. Parenti".
    8. Guo, Zi-Yi, 2017. "Comparison of Error Correction Models and First-Difference Models in CCAR Deposits Modeling," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 17(4).
    9. Wang, Kai-Hua & Zhao, Yan-Xin & Jiang, Cui-Feng & Li, Zheng-Zheng, 2022. "Does green finance inspire sustainable development? Evidence from a global perspective," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 412-426.
    10. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015. "International Stock Return Predictability: Is the Role of U.S. Time-Varying?," Working Papers 201524, University of Pretoria, Department of Economics.
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    1. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "A nonparametric study of real exchange rate persistence over a century," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 406-418.
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    3. Gilles Dufrenot & Elisabeth Grimaud & Eugénie Latil & Valerie Mignon, 2008. "Modelling The Slow Mean‐Reversion Of The Central And Eastern European Countries' Real Exchange Rates," Manchester School, University of Manchester, vol. 76(1), pages 21-43, January.
    4. Yoichi Arai, 2015. "Testing for Linearity in Regressions with I(1) Processes," GRIPS Discussion Papers 15-11, National Graduate Institute for Policy Studies.
    5. Juan Gabriel Brida & Bibiana Lanzilotta & Lucía Rosich, 2019. "Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting," Documentos de Trabajo (working papers) 19-28, Instituto de Economía - IECON.
    6. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
    7. Ghoshray, A., 2018. "The Dynamic Properties of Natural Resource Prices," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277210, International Association of Agricultural Economists.
    8. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    9. Dittmann, Ingolf & Granger, Clive W. J., 2000. "Properties of nonlinear transformations of fractionally integrated processes," Technical Reports 2000,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    10. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
    11. Escribano, Álvaro & Mira, Santiago, 1997. "Nonlinear cointegration with mixing errors," DES - Working Papers. Statistics and Econometrics. WS 6204, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, vol. 102(2), pages 365-398, June.
    13. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP.
    14. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
    15. Hyeongwoo Kim & Deockhyun Ryu, 2013. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2013-06, Department of Economics, Auburn University.
    16. Luiz de Mello & Diego Moccero & Matteo Mogliani, 2009. "Do Latin American Central Bankers Behave Non-Linearly?: The Experiences of Brazil, Chile, Colombia and Mexico," OECD Economics Department Working Papers 679, OECD Publishing.
    17. Swanson, Norman R., 2002. "Comments on 'A vector error-correction forecasting model of the US economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 599-606, December.
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    20. Schorderet, Yann, 2001. "Revisiting Okun's Law: An Hysteretic Perspective," University of California at San Diego, Economics Working Paper Series qt2fb7n2wd, Department of Economics, UC San Diego.
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    1. Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
    2. de Menezes, Lilian M. & W. Bunn, Derek & Taylor, James W., 2000. "Review of guidelines for the use of combined forecasts," European Journal of Operational Research, Elsevier, vol. 120(1), pages 190-204, January.
    3. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Yi-Chung Hu, 2023. "Tourism combination forecasting using a dynamic weighting strategy with change-point analysis," Current Issues in Tourism, Taylor & Francis Journals, vol. 26(14), pages 2357-2374, July.
    5. Zhang, Feng, 2007. "An application of vector GARCH model in semiconductor demand planning," European Journal of Operational Research, Elsevier, vol. 181(1), pages 288-297, August.
    6. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106, Elsevier.
    7. Chan, Chi Kin & Kingsman, Brian G. & Wong, H., 2004. "Determining when to update the weights in combined forecasts for product demand--an application of the CUSUM technique," European Journal of Operational Research, Elsevier, vol. 153(3), pages 757-768, March.
    8. David, DE LA CROIX & Bo, MALMBERG, 2006. "Growth and Longevity from the Industrial Revolution to the Future of an Aging Society," Discussion Papers (ECON - Département des Sciences Economiques) 2006037, Université catholique de Louvain, Département des Sciences Economiques.
    9. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    10. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
    11. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
    12. Rendon-Sanchez, Juan F. & de Menezes, Lilian M., 2019. "Structural combination of seasonal exponential smoothing forecasts applied to load forecasting," European Journal of Operational Research, Elsevier, vol. 275(3), pages 916-924.
    13. Benavides Guillermo & Capistrán Carlos, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers 2009-01, Banco de México.
    14. Sancetta, Alessio, 2007. "Online forecast combinations of distributions: Worst case bounds," Journal of Econometrics, Elsevier, vol. 141(2), pages 621-651, December.
    15. Pesaran, M. Hashem & Weale, Martin, 2006. "Survey Expectations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 14, pages 715-776, Elsevier.
    16. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
    17. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
    18. Bacci, Livio Agnew & Mello, Luiz Gustavo & Incerti, Taynara & Paulo de Paiva, Anderson & Balestrassi, Pedro Paulo, 2019. "Optimization of combined time series methods to forecast the demand for coffee in Brazil: A new approach using Normal Boundary Intersection coupled with mixture designs of experiments and rotated fact," International Journal of Production Economics, Elsevier, vol. 212(C), pages 186-211.
    19. AsadUllah, Muhammad & Mujahid, Hira & I. Tabash, Mosab & Ayubi, Sharique & Sabri, Rabia, 2020. "Forecasting indian rupee/us dollar: arima, exponential smoothing, naïve, nardl, combination techniques," MPRA Paper 111150, University Library of Munich, Germany.
    20. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    21. Heinrich, Torsten & Sabuco, Juan & Farmer, J. Doyne, 2019. "A simulation of the insurance industry: The problem of risk model homogeneity," MPRA Paper 95096, University Library of Munich, Germany.
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    23. Junrong Liu & Zhiping Chen & Qihong Duan, 2024. "Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2351-2370, June.
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    28. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
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    33. Aguilar, Ruben & Valdivia, Daney, 2011. "Precios de exportación de gas natural para Bolivia: Modelación y pooling de pronósticos [Bolivian natural gas export prices: Modeling and forecast pooling]," MPRA Paper 35485, University Library of Munich, Germany.
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    38. DE LA CROIX, David & LINDH, Thomas & MALMBERG, Bo, 2009. "Demographic change and economic growth in Sweden: 1750-2050," LIDAM Reprints CORE 2104, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    39. Chan, Chi Kin & Kingsman, Brian G. & Wong, H., 1999. "The value of combining forecasts in inventory management - a case study in banking," European Journal of Operational Research, Elsevier, vol. 117(2), pages 199-210, September.
    40. Charalampos Stasinakis & Georgios Sermpinis & Konstantinos Theofilatos & Andreas Karathanasopoulos, 2016. "Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 569-587, April.
    41. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    42. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    43. Chan, Chi Kin & Witt, Stephen F. & Lee, Y.C.E. & Song, H., 2010. "Tourism forecast combination using the CUSUM technique," Tourism Management, Elsevier, vol. 31(6), pages 891-897.
    44. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    45. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
    46. Wenzel, Thomas, 1999. "Combination of biased forecasts: Bias correction or bias based weights?," Technical Reports 1999,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    47. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.
    48. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
    49. Bin Chen & Kenwin Maung, 2020. "Time-varying Forecast Combination for High-Dimensional Data," Papers 2010.10435, arXiv.org.
    50. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    51. Li Fuchun & Tkacz Greg, 2004. "Combining Forecasts with Nonparametric Kernel Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-18, December.
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    1. Witold Orzeszko, 2010. "Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 97-106.
    2. Matilla-García, Mariano & Marín, Manuel Ruiz, 2010. "A new test for chaos and determinism based on symbolic dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 600-614, December.
    3. Piotr Fiszeder & Witold Orzeszko, 2012. "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 430-449, November.
    4. Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto, 2007. "Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 57-70.
    5. Henry Lam, 2018. "Sensitivity to Serial Dependency of Input Processes: A Robust Approach," Management Science, INFORMS, vol. 64(3), pages 1311-1327, March.
    6. G. Dufrenot & E. Grimaud & E. Latil & V. Mignon, 2003. "Real exchange rate misalignment in Hungary: a fractionally integrated threshold model," THEMA Working Papers 2003-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    7. Subhadeep Mukhopadhyay & Emanuel Parzen, 2018. "Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application," JRFM, MDPI, vol. 11(3), pages 1-17, July.
    8. Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute.
    9. Diks, C.G.H. & Mudelsee, M., 2000. "Redundancies in the Earth's climatological time series," CeNDEF Working Papers 00-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    10. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.
    11. Paulo Jorge Silveira Ferreira, 2012. "Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece," CEFAGE-UE Working Papers 2012_24, University of Evora, CEFAGE-UE (Portugal).
    12. Wei, Pengfei & Lu, Zhenzhou & Song, Jingwen, 2015. "Variable importance analysis: A comprehensive review," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 399-432.
    13. Arthur Lewbel, 2000. "Asymptotic Trimming for Bounded Density Plug-in Estimators," Boston College Working Papers in Economics 479, Boston College Department of Economics, revised 30 Oct 2000.
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    1496. Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen & Skander Slim, 2018. "Value‐at‐risk under market shifts through highly flexible models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 790-804, December.
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    1501. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
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    1506. Mile Bošnjak, 2018. "Swiss Franc from the Croatian Perspective," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(3), pages 41-56.
    1507. Bladt, Martin & McNeil, Alexander J., 2022. "Time series copula models using d-vines and v-transforms," Econometrics and Statistics, Elsevier, vol. 24(C), pages 27-48.
    1508. Dilip Kumar, 2018. "Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 313-335, June.
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    1. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," Borradores de Economia 2591, Banco de la Republica.
    2. Ghysels, Eric & Lee, Hahn S & Siklos, Pierre L, 1993. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data," Empirical Economics, Springer, vol. 18(4), pages 747-760.
    3. McErlean, Seamus & Wu, Ziping & Moss, Joan E. & IJpelaar, Jos & Doherty, Andrew, 2003. "Do EU direct payments to beef producers belong in the ‘blue box’?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(01), pages 1-19.
    4. Cellini, Roberto & Cuccia, Tiziana, 2009. "Museum and monument attendance and tourism flow: A time series analysis approach," MPRA Paper 18908, University Library of Munich, Germany.
    5. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    6. Frank Reinhardt & David Giles, 2001. "Are cigarette bans really good economic policy?," Applied Economics, Taylor & Francis Journals, vol. 33(11), pages 1365-1368.
    7. Haldrup, Niels Prof. & Montanes, Antonio & Sansó, Andreu, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series qt0gw7q9hk, Department of Economics, UC San Diego.
    8. Jacek Kotlowski, 2005. "Money and prices in the Polish economy. Seasonal cointegration approach," Working Papers 20, Department of Applied Econometrics, Warsaw School of Economics.
    9. Moosa, Imad A. & Choe, Chongwoo, 1998. "Is the Korean economy export-driven?," Economic Modelling, Elsevier, vol. 15(2), pages 237-255, April.
    10. Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022. "On cointegration for processes integrated at different frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
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    72. Gupteswar Patel & Mantu Kumar Mahalik & Hrushikesh Mallick, 2025. "Asymmetry Effects of International Trade Components on Environmental Quality in BRICS Economies: Implications for Sustainable Circular Economy," Circular Economy and Sustainability, Springer, vol. 5(1), pages 393-411, February.
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    1. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2020. "High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    2. Kempf, Alexander & Korn, Olaf, 1999. "Market depth and order size1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 29-48, February.
    3. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    4. Stan Hurn & Ralf Becker, 2009. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy, Elsevier, vol. 39(2), pages 311-326, September.
    5. Andrew P. Blake & George Kapetanios, 2003. "Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 253-267, May.
    6. Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023. "Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series," Post-Print hal-04312314, HAL.
    7. Yuehjen E. Shao & Yi-Shan Tsai, 2018. "Electricity Sales Forecasting Using Hybrid Autoregressive Integrated Moving Average and Soft Computing Approaches in the Absence of Explanatory Variables," Energies, MDPI, vol. 11(7), pages 1-22, July.
    8. Canaydin, Ada & Fu, Chun & Balint, Attila & Khalil, Mohamad & Miller, Clayton & Kazmi, Hussain, 2024. "Interpretable domain-informed and domain-agnostic features for supervised and unsupervised learning on building energy demand data," Applied Energy, Elsevier, vol. 360(C).
    9. Heather M. Anderson & Farshid Vahid, 2003. "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers 19/03, Monash University, Department of Econometrics and Business Statistics.
    10. Anoop S. KUMAR & Bandi KAMAIAH, 2016. "Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(606), S), pages 103-118, Spring.
    11. Messaoud, Amor & Weihs, Claus & Hering, Franz, 2008. "Detection of chatter vibration in a drilling process using multivariate control charts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3208-3219, February.
    12. Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019. "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, vol. 81(C), pages 136-147.
    13. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    14. Dr. James Mitchell, 2010. "A Nonlinear Panel Data Model of Cross-sectional Dependence," National Institute of Economic and Social Research (NIESR) Discussion Papers 370, National Institute of Economic and Social Research.
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    329. Seppo Pynnönen & Warren Hogan & Jonathan Batten, 2002. "Expectations and Liquidity in Yen Bond Markets," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 7(3), pages 335-354.
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    331. Musti, Silvana & D'Ecclesia, Rita Laura, 2008. "Term structure of interest rates and the expectation hypothesis: The euro area," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1596-1606, March.
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    333. A. Mansur & M. Masih & Vicky Ryan, 2005. "The term structure of interest rates in Australia: an application of long run structural modelling," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 557-573.
    334. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
    335. Jamshed Y. Uppal, 2017. "External Debt Management in Pakistan: A Market-Based Assessment," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(Special E), pages 25-51, September.
    336. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.

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    Cited by:

    1. M. Hashem Pesaran, 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," CESifo Working Paper Series 3116, CESifo.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields," CESifo Working Paper Series 8976, CESifo.
    3. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 329-344.
    4. Pal, Shanoli Samui & Kar, Samarjit, 2019. "Time series forecasting for stock market prediction through data discretization by fuzzistics and rule generation by rough set theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 162(C), pages 18-30.
    5. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019. "Crisis transmission: visualizing vulnerability," Working Papers 2019-07, University of Tasmania, Tasmanian School of Business and Economics.
    6. 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.
    7. 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.
    8. Robert Brooks & John Lee, 1997. "The stability of ARCH models across Australian financial futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 347-359.
    9. Jeffrey Jarrett & Eric Kyper, 2006. "Capital market efficiency and the predictability of daily returns," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 631-636.
    10. Pesaran, Mohammad Hashem, 2005. "Market efficiency today," CFS Working Paper Series 2006/01, Center for Financial Studies (CFS).
    11. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, June.
    12. Beltrametti, Luca & Fiorentini, Riccardo & Marengo, Luigi & Tamborini, Roberto, 1997. "A learning-to-forecast experiment on the foreign exchange market with a classifier system," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1543-1575, June.
    13. Peter Buhlmann, 1998. "Extreme events from the return-volume process: a discretization approach for complexity reduction," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 267-278.
    14. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
    15. Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
    16. Frank J. Fabozzi & Sergio Focardi & Caroline Jonas, 2007. "Trends in quantitative equity management: survey results," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 115-122.
    17. Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian, 2005. "STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 490-509, June.
    18. Paul Soderlind, 2006. "Prediction of stock returns (in Russian)," Quantile, Quantile, issue 1, pages 27-38, September.
    19. 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.
    20. 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, Informatica, Applicazioni "G. Parenti".
    21. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    22. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    23. Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
    24. Samantha Kleinberg & Petter N. Kolm & Bud Mishra, 2010. "Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods," Papers 1006.1791, arXiv.org.
    25. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
    26. Herwartz, Helmut, 2017. "Stock return prediction under GARCH — An empirical assessment," International Journal of Forecasting, Elsevier, vol. 33(3), pages 569-580.
    27. Tristan Nguyen & Thi Thanh Mai Bui, 2018. "Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30)," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(4), pages 72-92, 04-2018.
    28. Yang, Jian & Cabrera, Juan & Wang, Tao, 2010. "Nonlinearity, data-snooping, and stock index ETF return predictability," European Journal of Operational Research, Elsevier, vol. 200(2), pages 498-507, January.
    29. Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
    30. 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.
    31. Martín González-Rozada & Luis Pereiro, 2013. "Forecasting Prices in Regime-Switching Markets," Department of Economics Working Papers 2013_2, Universidad Torcuato Di Tella.
    32. Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
    33. Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
    34. Bayraci, Selcuk, 2010. "Econometric testing of the CAPM: A granger causality analysis on the Turkish banking industry," MPRA Paper 30839, University Library of Munich, Germany, revised 10 May 2011.
    35. Andy Kwan & Ah-Boon Sim & Yangru Wu, 2005. "On the size and power of normalized autocorrelation coefficients," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 1-11.
    36. Erol Eğrioğlu & Robert Fildes, 2022. "A New Bootstrapped Hybrid Artificial Neural Network Approach for Time Series Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1355-1383, April.

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    1. Gianluca Mattarocci, 2009. "Market Characteristics and Chaos Dynamics in Stock Markets: an International Comparison," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 6, pages 89-106, Palgrave Macmillan.
    2. Pierdzioch, Christian & Stadtmann, Georg, 1999. "Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung," Kiel Working Papers 911, Kiel Institute for the World Economy (IfW Kiel).
    3. Domenico Mignacca & Mauro Gallegati, 1994. "Is US Real GNP Chaotic? On Using the BDS test to Decide Whether an ARMA Model forthe US GNP Genreates I.I.D. Residuals," International Finance 9410002, University Library of Munich, Germany, revised 09 Nov 1994.
    4. Cheteni, Priviledge, 2013. "Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa," MPRA Paper 56369, University Library of Munich, Germany.
    5. Eduardo Pozo & Lucia Amboj, 2001. "Noise reduction methods and the Grassberger-Procaccia algorithm. A simulation study," Applied Economics Letters, Taylor & Francis Journals, vol. 8(2), pages 71-75.
    6. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    7. Jose-Manuel Rey & Manuel Morán, 1999. "A Formalism for the Dimensional Analysis of Time Series," Computing in Economics and Finance 1999 1331, Society for Computational Economics.
    8. Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, vol. 63(2), pages 265-279, March.
    9. Kaboudan, M. A., 2001. "Genetically evolved models and normality of their fitted residuals," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1719-1749, November.
    10. M. Shibley Sadique, 2011. "Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 77-88, June.
    11. Richard T. Baillie & Aydin A. Cecen & Young-Wook Han, 2000. "High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 247-267, September.
    12. Letícia P D Mortoza & José R C Piqueira, 2017. "Measuring complexity in Brazilian economic crises," PLOS ONE, Public Library of Science, vol. 12(3), pages 1-12, March.

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    1. Song, Tao & Zheng, Tingguo & Tong, Lianjun, 2008. "An empirical test of the environmental Kuznets curve in China: A panel cointegration approach," China Economic Review, Elsevier, vol. 19(3), pages 381-392, September.
    2. Kunst, R.M. & Franses, Ph.H.B.F., 2009. "Testing for seasonal unit roots in monthly panels of time series," Econometric Institute Research Papers EI 2009-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Gang Liu & Terje Skjerpen & Kjetil Telle, 2009. "Unit roots, polynomial transformations and the environmental Kuznets curve," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 285-288.
    4. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    5. Helmut Lütkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo.
    6. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    7. Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
    8. Dittmann, Ingolf & Granger, Clive W. J., 2000. "Properties of nonlinear transformations of fractionally integrated processes," Technical Reports 2000,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    9. Tutulmaz, Onur, 2015. "Environmental Kuznets Curve time series application for Turkey: Why controversial results exist for similar models?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 50(C), pages 73-81.
    10. Madden, Gary G & Savage, Scott J, 1998. "Sources of Australian labour productivity change 1950-1994," MPRA Paper 11452, University Library of Munich, Germany.
    11. Leschinski, Christian, 2017. "On the memory of products of long range dependent time series," Economics Letters, Elsevier, vol. 153(C), pages 72-76.
    12. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
    13. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
    14. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
    15. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 607-617.
    16. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
    17. Wang, Yi-Chia, 2013. "Functional sensitivity of testing the environmental Kuznets curve hypothesis," Resource and Energy Economics, Elsevier, vol. 35(4), pages 451-466.
    18. Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
    19. Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.
    20. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
    21. Don Harding, 2020. "Econometric Foundations of the Great Ratios of Economics," Centre of Policy Studies/IMPACT Centre Working Papers g-300, Victoria University, Centre of Policy Studies/IMPACT Centre.
    22. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
    23. Jinping Zhang & Hongbin Li & Xixi Shi & Yang Hong, 2019. "Wavelet-Nonlinear Cointegration Prediction of Irrigation Water in the Irrigation District," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(8), pages 2941-2954, June.
    24. McAleer, Michael, 1994. "Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-370, December.
    25. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
    26. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    27. Granger, C.W.J. & Swanson, N., 1995. "Further Developments in the Study of Cointegrated Variables," Papers 4-95-13, Pennsylvania State - Department of Economics.
    28. Neil R. Ericsson & Steven B. Kamin, 1993. "Dollarization in Argentina," International Finance Discussion Papers 460, Board of Governors of the Federal Reserve System (U.S.).
    29. Banerjee Anurag & Pitarakis Jean-Yves, 2014. "Functional cointegration: definition and nonparametric estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 507-520, December.
    30. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    31. Matías Piaggio & Emilio Padilla, 2010. "CO2 Emissions and Economic Activity: heterogeneity across countries and non stationary series," Working Papers wpdea1009, Department of Applied Economics at Universitat Autonoma of Barcelona.
    32. Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
    33. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
    34. Norman J. Morin & John M. Roberts, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
    35. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    36. Aparicio, Felipe M., 2003. "On the record properties of integrated time series," DES - Working Papers. Statistics and Econometrics. WS ws036414, Universidad Carlos III de Madrid. Departamento de Estadística.
    37. Sephton, Peter & Mann, Janelle, 2013. "Further evidence of an Environmental Kuznets Curve in Spain," Energy Economics, Elsevier, vol. 36(C), pages 177-181.
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    39. Jürgen Holl & Robert M. Kunst, 2009. "Unit Root in Unemployment - New Evidence from Nonparametric Tests," Vienna Economics Papers vie0915, University of Vienna, Department of Economics.
    40. Franses, Philip Hans & de Bruin, Paul, 2002. "On data transformations and evidence of nonlinearity," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
    41. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
    42. Shahidur Rahman, 2005. "An Alternative Estimation to Spurious Regression Model," Economic Growth Centre Working Paper Series 0507, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
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    44. Caraiani, Petre, 2010. "Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 130-136, March.
    45. Stergios B. Fotopoulos & Sung K. Ahn, 2003. "Rank Based Dickey–Fuller Test Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 647-662, November.
    46. Muhammad Shahbaz & Naceur Khraief & Mantu Kumar Mahalik, 2020. "Investigating the environmental Kuznets’s curve for Sweden: evidence from multivariate adaptive regression splines (MARS)," Empirical Economics, Springer, vol. 59(4), pages 1883-1902, October.
    47. Burnett, J. Wesley & Bergstrom, John C. & Wetzstein, Michael E., 2013. "Carbon dioxide emissions and economic growth in the U.S," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 1014-1028.
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    Cited by:

    1. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
    2. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
    3. Alvaro Escribano & M. Santos & Ana Sipols, 2008. "Testing for cointegration using induced-order statistics," Computational Statistics, Springer, vol. 23(1), pages 131-151, January.
    4. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
    5. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
    6. Escribano, Álvaro & Mira, Santiago, 1997. "Nonlinear cointegration with mixing errors," DES - Working Papers. Statistics and Econometrics. WS 6204, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Angelos Kanas & Yue Ma, 2004. "Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 237-250.
    8. A. Kanas, 2003. "Non-linear cointegration between stock prices and dividends," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 401-405.
    9. Kanas, Angelos, 2005. "Nonlinearity in the stock price-dividend relation," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 583-606, June.
    10. Tang, Xiaolei & Zhou, Jizhong, 2013. "Nonlinear relationship between the real exchange rate and economic fundamentals: Evidence from China and Korea," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 304-323.
    11. Aparicio, Felipe M. & Escribano, Álvaro, 1997. "Searching for linear and nonlinear cointegration: a new approach," DES - Working Papers. Statistics and Econometrics. WS 6219, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Jinping Zhang & Hongbin Li & Xixi Shi & Yang Hong, 2019. "Wavelet-Nonlinear Cointegration Prediction of Irrigation Water in the Irrigation District," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(8), pages 2941-2954, June.
    13. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
    14. Canegrati, Emanuele, 2008. "In Search of Market Index Leaders: Evidence from World Financial Markets," MPRA Paper 11292, University Library of Munich, Germany.
    15. Shu-Ching Cheng & Tsung-Pao Wu, 2013. "Nonlinear Behavior of the US Stock Price-Dividend: Evidence from Threshold Unit Root Tests," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 82-93, December.
    16. Aldrin Herwany & Erie Febrian, 2010. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Business, Management and Finance 201001, Department of Management and Business, Padjadjaran University, revised Jan 2010.
    17. Granger, C.W.J. & Swanson, N., 1995. "Further Developments in the Study of Cointegrated Variables," Papers 4-95-13, Pennsylvania State - Department of Economics.
    18. Mainardi, Stefano, 2001. "Limited arbitrage in international wheat markets: threshold and smooth transition cointegration," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 45(3), pages 1-26.
    19. R. Gopinathan & S. Raja Sethu Durai, 2019. "Stock market and macroeconomic variables: new evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-17, December.
    20. ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.
    21. Aparicio, Felipe M. & Escribano, Álvaro, 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
    22. Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
    23. Canegrati, Emanuele, 2008. "In Search of Market Index Leaders: Evidence from Asian Markets," MPRA Paper 11246, University Library of Munich, Germany.
    24. Aldrin Herwany & Erie Febrian, 2013. "Global Stock Price Linkages Around The Us Financial Crisis: Evidence From Indonesia," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 7(5), pages 35-45.
    25. Jian Zhou, 2010. "Testing for Cointegration between House Prices and Economic Fundamentals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 599-632, Winter.
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    2. McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, vol. 132(2), pages 311-336, June.
    3. Han Lin Shang & Kaiying Ji & Ufuk Beyaztas, 2021. "Granger causality of bivariate stationary curve time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 626-635, July.
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    6874. Thampanya, Natthinee & Wu, Junjie & Nasir, Muhammad Ali & Liu, Jia, 2020. "Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    6875. Ülke, Volkan & Ergun, Ugur, 2013. "The Relationship between Consumer Price and Producer Price Indices in Turkey," MPRA Paper 59437, University Library of Munich, Germany.
    6876. Chen, Yu-Lun & Gau, Yin-Feng, 2010. "News announcements and price discovery in foreign exchange spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1628-1636, July.
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    6878. Krylova, Elizaveta, 2002. "The Credit Channel of Monetary Policy. Case of Austria," Economics Series 111, Institute for Advanced Studies.
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    6881. Sa-ngasoongsong, Akkarapol & Bukkapatnam, Satish T.S. & Kim, Jaebeom & Iyer, Parameshwaran S. & Suresh, R.P., 2012. "Multi-step sales forecasting in automotive industry based on structural relationship identification," International Journal of Production Economics, Elsevier, vol. 140(2), pages 875-887.
    6882. Petri Hilli & Matti Koivu & Teemu Pennanen & Antero Ranne, 2007. "A stochastic programming model for asset liability management of a Finnish pension company," Annals of Operations Research, Springer, vol. 152(1), pages 115-139, July.
    6883. Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000 121, Society for Computational Economics.
    6884. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University.
    6885. Ramirez Chaparro, Maria Nathalia & Chacón Mejía, Catalina, 2021. "Human Capital and Inequality: A Cointegration Analysis for Colombia for the last 29 years," MPRA Paper 109508, University Library of Munich, Germany.
    6886. Lili Song & Jianing Mi, 2016. "Port infrastructure and regional economic growth in China: a Granger causality analysis," Maritime Policy & Management, Taylor & Francis Journals, vol. 43(4), pages 456-468, May.
    6887. Benjamin Ighodalo Ehikioya & Alexander Ehimare Omankhanlen & Ayopo Abiola Babajide & Godswill Osagie Osuma & Cordelia Onyinyechi Omodero, 2020. "Oil Price Fluctuations and Exchange Rate in Selected Sub-Saharan Africa countries: A Vector Error Correction Model Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 242-249.
    6888. Abbasi, Kashif Raza & Hussain, Khadim & Radulescu, Magdalena & Ozturk, Ilhan, 2022. "Asymmetric impact of renewable and non-renewable energy on the industrial sector in Pakistan: Fresh evidence from Bayesian and non-linear ARDL," Renewable Energy, Elsevier, vol. 187(C), pages 944-957.
    6889. Liao, Fang-nan & Gong, Yuanyuan & Ji, Xiangfeng & Afzal, Anees, 2024. "Evaluating the effect of mineral resources on the accessibility of green power: A global perspective," Resources Policy, Elsevier, vol. 89(C).
    6890. Josef Taušer & Markéta Arltová & Pavel Žamberský, 2015. "Czech Exports and German GDP: A Closer Look," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 17-37.
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    6893. Olukemi I. Lawanson & Dominic I. Umar, 2020. "Education Expenditure-Led Growth: Evidence from Nigeria (1980-2018)," International Business Research, Canadian Center of Science and Education, vol. 13(3), pages 133-133, March.
    6894. Wei Han, 2020. "The analysis on Chinese e-commerce tax losses based on the perspective of information asymmetry," Electronic Commerce Research, Springer, vol. 20(3), pages 651-677, September.
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    6899. Yasmin Bani & Ali Abdulkadir Ali Gutale & Abdul Samad Abdul-Rahim & Syamsul Herman Mohammad Afandi, 2024. "A Threshold Effect of Financial Development on Natural Resource Rents-Sustainable Human Development Nexus: Empirical Evidence from Sub-Saharan Africa," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 63-79, November.
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    6901. Marcos Gon alves Perroni & S rgio Eduardo Gouv a da Costa & S rgio Eduardo Gouv a da Costa & Wesley Vieira da Silva & Edson Pinheiro de Lima & Edson Pinheiro de Lima & Claudimar Pereira da Veiga & Cla, 2016. "Analysis of Income Elasticities of Brazil s Energy Matrix," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 431-441.
    6902. Barhoumi Karim, 2009. "How Structural Macroeconomic Shocks Can Explain Exchange Rate Pass-Through in Developing Countries: A Common Trend Approach," Global Economy Journal, De Gruyter, vol. 9(2), pages 1-37, June.
    6903. Joyeux, Roselyne & Ripple, Ronald D., 2007. "Household energy consumption versus income and relative standard of living: A panel approach," Energy Policy, Elsevier, vol. 35(1), pages 50-60, January.
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    6909. Nick, Sebastian & Tischler, Benjamin, 2014. "The Law of one Price in Global Natural Gas Markets - A Threshold Cointegration Analysis," EWI Working Papers 2014-16, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
    6910. Chonglan Guo & Xiaoxia Xu & Zaiwu Gong, 2014. "Co-integration analysis between GDP and meteorological catastrophic factors of Nanjing city based on the buffer operator," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 71(2), pages 1091-1105, March.
    6911. Felicia C. Abada & Benedict I. Uzoechina & Charles O. Manasseh & Ifeoma C. Nwakoby & Paul C. Obidike & Adedoyin I. Lawal & Bukola B. Lawal-Adedoyin & Felix C. Alio, 2021. "Curbing Unemployment Through Job Creation as Panacea to Inclusive Growth in Nigeria," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 376-388, April.
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    6914. Freitas, Carlos J. Pereira & Silva, Patrícia Pereira da, 2015. "European Union emissions trading scheme impact on the Spanish electricity price during phase II and phase III implementation," Utilities Policy, Elsevier, vol. 33(C), pages 54-62.
    6915. Mohsen Bahmani-Oskooee & Yongqing Wang, 2007. "How Stable Is The Demand For Money In China?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 32(1), pages 21-33, June.
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    6917. Herzer, Dierk, 2020. "How does mortality affect innovative activity in the long run?," World Development, Elsevier, vol. 125(C).
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    6919. Kunlapath Sukcharoen & Hankyeung Choi & David J. Leatham, 2015. "Optimal gasoline hedging strategies using futures contracts and exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 47(32), pages 3482-3498, July.
    6920. Charles Ka Yui Leung & Edward Chi Ho Tang, 2023. "The dynamics of the house price‐to‐income ratio: Theory and evidence," Contemporary Economic Policy, Western Economic Association International, vol. 41(1), pages 61-78, January.
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    6924. Ramez Abubakr Badeeb & Jeremy Clark & Abey P. Philip, 2021. "The Nonlinear Effects of Oil Rent Dependence on Malaysian Manufacturing: Implications from Structural Change using a Markov-Regime Switching Model," Working Papers in Economics 21/11, University of Canterbury, Department of Economics and Finance.
    6925. Eggoh, Jude C. & Bangake, Chrysost & Rault, Christophe, 2011. "Energy consumption and economic growth revisited in African countries," Energy Policy, Elsevier, vol. 39(11), pages 7408-7421.
    6926. Yu, Philip L.H. & Lu, Renjie, 2017. "Cointegrated market-neutral strategy for basket trading," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 112-124.
    6927. Pinar Evrim-Mandaci & Hakan Kahyaoglu & Efe Caglar Cagli, 2011. "Stock and bond market interactions with two regime shifts: evidence from Turkey," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1355-1368.
    6928. Lord, Montague, 2004. "Partial-Equilibrium and Industrial-Shift Analysis of the U.S.–Colombia FTA," MPRA Paper 50635, University Library of Munich, Germany.
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    6930. Abu N.M. Wahid & Mohammad Salahuddin & Abdullah M. Noman, 2010. "Savings and investment in South Asia," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 37(6), pages 658-666, November.
    6931. Akhand Akhtar Hossain, 2015. "The Evolution of Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 14611, March.
    6932. Pacheco, Ricardo Rodrigues & Fernandes, Elton, 2017. "International air passenger traffic, trade openness and exchange rate in Brazil: A Granger causality test," Transportation Research Part A: Policy and Practice, Elsevier, vol. 101(C), pages 22-29.
    6933. Frank, Murray Z. & Goyal, Vidhan K., 2004. "The effect of market conditions on capital structure adjustment," Finance Research Letters, Elsevier, vol. 1(1), pages 47-55, March.
    6934. Jean-Paul Chavas, 2021. "The dynamics and volatility of prices in multiple markets: a quantile approach," Empirical Economics, Springer, vol. 60(4), pages 1607-1628, April.
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    6937. Rodriguez Garcia, V. & Meyfroidt, P. & Gaspart, F., 2018. "Agricultural intensification and land use change: A panel cointegration approach to test induced intensification, land sparing and rebound-effect," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277206, International Association of Agricultural Economists.
    6938. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Regional and global integration of Asian stock markets," Research in International Business and Finance, Elsevier, vol. 50(C), pages 357-368.
    6939. Julio Pereira de Araujo & Marcos Roberto Gois de Oliveira Macedo, 2018. "Cointegration Analysis among the Variables of the Ohlson Model for Brazilian Companies," Applied Finance and Accounting, Redfame publishing, vol. 4(1), pages 122-145, February.
    6940. Oikarinen, Elias, 2005. "Is Housing Overvalued in the Helsinki Metropolitan Area?," Discussion Papers 992, The Research Institute of the Finnish Economy.
    6941. Ngare, Lucy W. & Wambugu, Stephen K. & Nzuma, Jonathon M. & Shisanya, Chris, 2016. "Testing the central market hypothesis for food markets in the highlands of Central Kenya," 2016 Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia 246957, African Association of Agricultural Economists (AAAE).
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    6944. Tobechi F. Agbanike & Kevin O. Onwuka & Michael O. Enyoghasim & Solomon S. Ikuemonisan & H. O. R. Ogwuru & Augustine C. Osigwe, 2018. "Seemingly Unrelated Regression Analysis of Bank Lending and Economic Growth in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 260-267.
    6945. Josh Stillwagon, 2013. "The Excess Returns Puzzle in Currency Markets: Clues on Moving Forward," Working Papers 1313, Trinity College, Department of Economics.
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    6947. Levent, Korap, 2009. "The search for co-integration between money, prices and income: low frequency evidence from the Turkish economy," MPRA Paper 19557, University Library of Munich, Germany.
    6948. Erdal Dursun, 2022. "The Nexus among Civil Aviation, Energy Performance Efficiency and GDP in terms of Ecological Footprint: Evidence from France and Finland," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 243-251, September.
    6949. Abdulaziz A. Alfalih & Toseef Azid & Mohammad Jaboob & Muhammad Tahir, 2025. "Natural Resources Management as Drivers of Economic Growth: Fresh Insights from a Time Series Analysis of Saudi Arabia," Sustainability, MDPI, vol. 17(4), pages 1-14, February.
    6950. Ibrahim Worku, 2011. "Road Sector Development and Economic Growth in Ethiopia," Working Papers 004, Policy Studies Institute.
    6951. Belaïd, Fateh & Zrelli, Maha Harbaoui, 2019. "Renewable and non-renewable electricity consumption, environmental degradation and economic development: Evidence from Mediterranean countries," Energy Policy, Elsevier, vol. 133(C).
    6952. Hao, Linna & Meng, Qin & Umar, Muhammad & Long, Chi, 2024. "Mineral resources and intellectual capital: Asymmetrical impacts and sustainable development outcomes," Resources Policy, Elsevier, vol. 91(C).
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    6954. Klimis Vogiatzoglou, 2019. "Export Composition and Long-run Economic Growth Impact: A Cointegration Analysis for ASEAN ‘Latecomer’ Economies," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 13(2), pages 168-191, May.
    6955. Egnonto Koffi-Tessio, 2000. "Incitations et offre du coton au Togo. Une estimation économétrique," Économie rurale, Programme National Persée, vol. 257(1), pages 78-88.
    6956. Birindelli, Giuliana & Miazza, Aline & Paimanova, Viktoriia & Palea, Vera, 2023. "Just “blah blah blah”? Stock market expectations and reactions to COP26," International Review of Financial Analysis, Elsevier, vol. 88(C).
    6957. Tolga Omay & Perihan Iren, 2023. "Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 233-265, January.
    6958. Tanattrin Bunnag, 2022. "Causality Relationship between Electric Power Consumption and Economic Growth in Malaysia and Thailand: Autoregressive Distributed Lag Bound Testing Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 17-22.
    6959. Haryo Kuncoro, 2020. "Interest Rate Policy and Exchange Rates Volatility Lessons from Indonesia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 19-42.
    6960. Fabian Woebbeking, 2021. "Cryptocurrency volatility markets," Digital Finance, Springer, vol. 3(3), pages 273-298, December.
    6961. Arusha Cooray, 2009. "Is the adjustment to real interest rate parity asymmetric?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(4), pages 407-418, November.
    6962. Wlazlowski, Szymon & Binner, Jane & Giulietti, Monica & Joseph, Nathan, 2006. "Non-linearities in mark-up on costs," MPRA Paper 1468, University Library of Munich, Germany.
    6963. Das, Ramesh Chandra & Dinda, Soumyananda & Ray, Kamal, 2015. "Causal link between military expenditure and GDP - A study of selected countries," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 5(2), pages 114-126.
    6964. Paleologou, Suzanna-Maria, 2013. "Asymmetries in the revenue–expenditure nexus: A tale of three countries," Economic Modelling, Elsevier, vol. 30(C), pages 52-60.
    6965. Fisayo Fagbemi & Tolulope Temilola Osinubi & Geraldine Ejiaka Nzeribe & Taofik Olatunji Bankole, 2022. "Human Capital Development Challenge: Why Corruption Eradication is a Panacea in Nigeria," Journal of Development Policy and Practice, , vol. 7(2), pages 180-205, July.
    6966. Zhang, Xiaofeng & Chen, Xinnan & Fang, Zheng & Zhu, Yujuan & Liang, Jiabo, 2022. "Investment in energy resources, natural resources and environment: Evidence from China," Resources Policy, Elsevier, vol. 76(C).
    6967. Sarwar, Muhammad Nadeem & Hussain, Hamid & Maqbool, Muhammad Bilal, 2020. "Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach," Resources Policy, Elsevier, vol. 69(C).
    6968. Cosimo Magazzino & Gordon L. Brady, 2018. "The relationship among renewable energy, economic growth, labor and capital formation in Italy," RIVISTA DI STUDI SULLA SOSTENIBILITA', FrancoAngeli Editore, vol. 2018(1), pages 35-48.
    6969. Ramirez, Miguel D., 2006. "Is foreign direct investment beneficial for Mexico? An empirical analysis, 1960-2001," World Development, Elsevier, vol. 34(5), pages 802-817, May.
    6970. Stewart, Chris, 2023. "The autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are 𝑰(𝟎)," Economics Discussion Papers 2023-2, School of Economics, Kingston University London.
    6971. Zhou, Kaile & Hu, Dingding & Li, Fangyi, 2022. "Impact of COVID-19 on private driving behavior: Evidence from electric vehicle charging data," Transport Policy, Elsevier, vol. 125(C), pages 164-178.
    6972. Akhmat, Ghulam & Zaman, Khalid & Shukui, Tan & Sajjad, Faiza, 2014. "Does energy consumption contribute to climate change? Evidence from major regions of the world," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 123-134.
    6973. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
    6974. Kelly, Robert & McQuinn, Kieran, 2013. "On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?," Research Technical Papers 01/RT/13, Central Bank of Ireland.
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    6977. Bashar Al-Zu'bi & Victor Murinde, 2011. "Household portfolio behaviour: evidence from Middle East economies," Applied Financial Economics, Taylor & Francis Journals, vol. 21(17), pages 1281-1289.
    6978. Alam, Naushad, 2017. "Analysis of the impact of select macroeconomic variables on the Indian stock market: A heteroscedastic cointegration approach," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(01).
    6979. Grigori Fainstein & Igor Novikov, 2011. "The role of macroeconomic determinants in credit risk measurement in transition country: Estonian example," International Journal of Transitions and Innovation Systems, Inderscience Enterprises Ltd, vol. 1(2), pages 117-137.
    6980. Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
    6981. McMillan, David G. & Philip, Dennis, 2012. "Short-sale constraints and efficiency of the spot–futures dynamics," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 129-136.
    6982. Arzoo Mushtaq & Shahnawaz Malik & Muhammad Hanif Akhtar, 2022. "Nonlinear Taylor Rule And Inflation-Targeting In Pakistan: A Time Series Analysis," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(2), pages 185-197, June.
    6983. Madhu Sehrawat & A. Giri, 2016. "Financial development, poverty and rural-urban income inequality: evidence from South Asian countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(2), pages 577-590, March.
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    6985. Sultana, Nahid & Rahman, Mohammad Mafizur & Khanam, Rasheda & Islam, K.M. Zahidul, 2022. "The causative factors of environmental degradation in South Asia," Journal of Asian Economics, Elsevier, vol. 79(C).
    6986. Sassi, Maria, 2015. "The welfare cost of maize price volatility in Malawi," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 4(01), pages 1-24, April.
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    6988. Albert Okunade & Mustafa Karakus, 2001. "Unit root and cointegration tests: timeseries versus panel estimates for international health expenditure models," Applied Economics, Taylor & Francis Journals, vol. 33(9), pages 1131-1137.
    6989. Walker, David A., 2010. "Costs of short-term credit for small and large firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 485-491, November.
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    6991. Suparna Biswas & Santanu Dutta, 2015. "Assessing Market Risk of Indian Index Funds," Global Business Review, International Management Institute, vol. 16(3), pages 511-523, June.
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    6993. Chan, Chi Kin & Witt, Stephen F. & Lee, Y.C.E. & Song, H., 2010. "Tourism forecast combination using the CUSUM technique," Tourism Management, Elsevier, vol. 31(6), pages 891-897.
    6994. Alaaeddin Al-Tarawneh, 2016. "Trade Openness and Real Investment: Is there Asymmetric Cointegration Relationship? Evidence from Jordan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(8), pages 237-237, August.
    6995. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    6996. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
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    6998. Korhan Gokmenoglu & Siamand Hesami, 2019. "Real estate prices and stock market in Germany: analysis based on hedonic price index," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 12(4), pages 687-707, April.
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    7004. Dettoni, Robinson & Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2024. "Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?," International Review of Financial Analysis, Elsevier, vol. 94(C).
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    7025. Guna Raj Bhatta, 2013. "Remittanceand Trade Deficit Nexus in Nepal: A VECM Approach," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 25(1), pages 37-50, April.
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    7028. Hounaida Daly & Taha Khairy Taha Ibrahim, 2023. "Stability and performance of monetary and fiscal policies in the euro area," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 16(2), pages 208-221.
    7029. Christopoulos, Dimitris K., 2003. "Does underground economy respond symmetrically to tax changes? Evidence from Greece," Economic Modelling, Elsevier, vol. 20(3), pages 563-570, May.
    7030. Abderrazek Ben Hamouda, 2023. "Revisiting the Causality between Oil Prices and Stock Markets in Selected MENA Countries: A Bootstrap Rolling-window Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 13(5), pages 109-118, September.
    7031. Jun Wen & Waheed Ali & Jamal Hussain & Nadeem Akhtar Khan & Hadi Hussain & Najabat Ali & Rizwan Akhtar, 2022. "Dynamics between green innovation and environmental quality: new insights into South Asian economies," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 39(2), pages 543-565, July.
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    7034. Glen, D.R. & Martin, B.T., 2004. "2. A Survey Of The Modelling Of Dry Bulk And Tanker Markets," Research in Transportation Economics, Elsevier, vol. 12(1), pages 19-64, January.
    7035. Kwakwa, Paul Adjei, 2015. "An investigation into the determinants of hydropower generation in Ghana," MPRA Paper 68033, University Library of Munich, Germany.
    7036. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    7037. Charfeddine, Lanouar & Mrabet, Zouhair, 2017. "The impact of economic development and social-political factors on ecological footprint: A panel data analysis for 15 MENA countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 76(C), pages 138-154.
    7038. Lindström, Hanna, 2021. "Price transmission for organic and conventional milk products in Sweden," Umeå Economic Studies 999, Umeå University, Department of Economics.
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    7040. Alpaslan AKÇORAOĞLU & Erkan AĞASLAN, 2009. "Current Account Deficits, Sustainability and Global Financial Crisis: Evidence from Turkey, 1987-2008," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 20(72), pages 1-20.
    7041. K.O. Adenegan & J.A. Bamidele & L.O.E. Nwauwa, 2016. "Spatial Price Linkages of Brown Cowpea (Vigna unguiculata) in Nigerian National Markets," Review of Market Integration, India Development Foundation, vol. 8(1-2), pages 65-78, April.
    7042. Wang, Kai-Hua & Umar, Muhammad & Akram, Rabia & Caglar, Ersin, 2021. "Is technological innovation making world "Greener"? An evidence from changing growth story of China," Technological Forecasting and Social Change, Elsevier, vol. 165(C).
    7043. Kőrösi, Gábor & Lovrics, László & Mátyás, László, 1995. "Aggregation and the long run properties of economic time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 279-286.
    7044. Serena Ng, 1997. "Accounting for Trends in the Almost Ideal Demand System," Boston College Working Papers in Economics 368, Boston College Department of Economics.
    7045. Hassouneh, Islam & Radwan, Amr & Serra, Teresa & Gil, José M., 2012. "Food scare crises and developing countries: The impact of avian influenza on vertical price transmission in the Egyptian poultry sector," Food Policy, Elsevier, vol. 37(3), pages 264-274.
    7046. Jimborean, Ramona, 2013. "The exchange rate pass-through in the new EU member states," Economic Systems, Elsevier, vol. 37(2), pages 302-329.
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    7048. Kristian Orsini & Arian Perić, 2021. "Understanding the Croatian Export Boom," European Economy - Economic Briefs 065, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    7049. Will Jennings & Peter John, 2009. "The Dynamics of Political Attention: Public Opinion and the Queen's Speech in the United Kingdom," American Journal of Political Science, John Wiley & Sons, vol. 53(4), pages 838-854, October.
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    7051. Tim Lloyd, 2017. "Forty Years of Price Transmission Research in the Food Industry: Insights, Challenges and Prospects," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(1), pages 3-21, February.
    7052. Jinzhao Chen, 2009. "Beyond Cheap Talks: Assessing the Undervaluation of the Chinese Currency Between 1994 and 2007," Economie Internationale, CEPII research center, issue 119, pages 47-82.
    7053. In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
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    7057. Moutinho, Victor & Robaina, Margarita, 2016. "Is the share of renewable energy sources determining the CO2 kWh and income relation in electricity generation?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 65(C), pages 902-914.
    7058. Ikeda,Yuki & Medvedev,Denis & Rama,Martin G., 2015. "Advanced-country policies and emerging-market currencies : the impact of U.S. tapering on India's Rupee," Policy Research Working Paper Series 7219, The World Bank.
    7059. Paleologos J. & Georgantelis S., 2002. "Testing the Degree of Openness of the Greek Capital Account: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 59-70, July-Dece.
    7060. Magazzino, Cosimo, 2010. "Wagner's law and augmented Wagner's law in EU-27. A time-series analysis on stationarity, cointegration and causality," MPRA Paper 26668, University Library of Munich, Germany.
    7061. Ekrem Erdem & Can Tansel Tugcu, 2015. "Business ethics and economic growth: An empirical analysis for Turkish economy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 8(3), pages 7-12, December.
    7062. Andrey Davydenko & Krishnamoorthy Charith, 2021. "Informationswert von Dividendenausschüttungen: Einfluss von Bardividenden auf die Aktienkurse von produzierenden Unternehmen in Sri Lanka [Informational value of dividend initiations: Impact of cas," Post-Print hal-03359177, HAL.
    7063. Adel Mohsen & Soo Chua & Che Sab, 2015. "Determinants of industrial output in Syria," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 4(1), pages 1-12, December.
    7064. Tsung Wu Ho, 1999. "Export-orientation and investment-saving correlation: a case of Taiwan," Applied Economics, Taylor & Francis Journals, vol. 31(7), pages 805-813.
    7065. Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron, 2017. "Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 711-732, September.
    7066. Yashodha Warunie Senadheera, 2015. "Impact of the Effective Exchange Rate on the Trade Balance of Sri Lanka: Evidence from 2000 to 2013," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(2), pages 93-108, May.
    7067. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Research 73, National Bank of Belgium.
    7068. Gourène, Grakolet Arnold Zamereith & Mendy, Pierre & Ake N'gbo, Gilbert Marie, 2017. "Multiple time-xcales analysis of global stock markets spillovers effects in African stock markets," MPRA Paper 77632, University Library of Munich, Germany.
    7069. Zohor , Ahmad Kanishka & Ebad , Ebadullah & rashid , Nabila, 2021. "A Study on the Contribution of Foreign Direct Investment to Economic Growth in Afghanistan," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(4), pages 555-568, December.
    7070. Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
    7071. Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
    7072. Amjad Ali & Nooreen Mujahid & Yahya Rashid & Muhammad Shahbaz, 2015. "Human Capital Outflow and Economic Misery: Fresh Evidence for Pakistan," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 124(3), pages 747-764, December.
    7073. Shu-Chen Chang, 2008. "Asymmetric cointegration relationship among Asian exchange rates," Economic Change and Restructuring, Springer, vol. 41(2), pages 125-141, June.
    7074. Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2013. "Alternative representations for cointegrated panels with global stochastic trends," Economics Letters, Elsevier, vol. 118(3), pages 485-488.
    7075. Prabir De & Buddhadeb Ghosh, 2003. "Causality between performance and traffic: an investigation with Indian ports," Maritime Policy & Management, Taylor & Francis Journals, vol. 30(1), pages 5-27, January.
    7076. Im, K S. & Pesaran, M. H. & Shin, Y., 2023. "Reflections on "Testing for Unit Roots in Heterogeneous Panels"," Cambridge Working Papers in Economics 2310, Faculty of Economics, University of Cambridge.
    7077. Bernard Bensaid & Michel Boutillier, 1997. "Le contrat notionnel : efficience et causalit ," Working papers 44, Banque de France.
    7078. Rahman, Mohammad Mafizur, 2017. "Do population density, economic growth, energy use and exports adversely affect environmental quality in Asian populous countries?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 77(C), pages 506-514.
    7079. Kemal Soyer & Hale Ozgit & Husam Rjoub, 2020. "Applying an Evolutionary Growth Theory for Sustainable Economic Development: The Effect of International Students as Tourists," Sustainability, MDPI, vol. 12(1), pages 1-20, January.
    7080. Tang, Chor Foon & Tan, Eu Chye, 2013. "Exploring the nexus of electricity consumption, economic growth, energy prices and technology innovation in Malaysia," Applied Energy, Elsevier, vol. 104(C), pages 297-305.
    7081. Farkas, Richárd & Yontcheva, Biliana, 2019. "Price transmission in the presence of a vertically integrated dominant firm: Evidence from the gasoline market," Energy Policy, Elsevier, vol. 126(C), pages 223-237.
    7082. Awadh Ahmed Mohammed Gamal & Jauhari Dahalan & K. Kuperan Viswanathan, 2019. "Estimating the underground economy, illegal money and tax evasion in Qatar," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 26(4), pages 1048-1064, October.
    7083. Melina Dritsaki & Chaido Dritsaki, 2024. "Immigration, Growth and Unemployment: Panel VAR Evidence From Ε.U. Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(4), pages 19928-19963, December.
    7084. Beckmann, Joscha & Czudaj, Robert & Pilbeam, Keith, 2015. "Causality and volatility patterns between gold prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 292-300.
    7085. Wajahat Ali & Inam Ur Rahman & Muhammad Zahid & Muhammad Anees Khan & Tafazal Kumail, 2020. "Do technology and structural changes favour environment in Malaysia: an ARDL-based evidence for environmental Kuznets curve," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(8), pages 7927-7950, December.
    7086. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00511979, HAL.
    7087. Joao Paulo A. de Souza, 2014. "Real wages and labor-saving technical change: evidence from a panel of manufacturing industries in mature and labor-surplus economies," UMASS Amherst Economics Working Papers 2014-03, University of Massachusetts Amherst, Department of Economics.
    7088. Rangan Gupta, 2009. "Bayesian Methods Of Forecasting Inventory Investment," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 113-126, March.
    7089. Flavio Vilela Vieira & Cleomar Gomes da Silva, 2021. "What drives export performance in the BRICS countries? An ARDL investigation," Economics Bulletin, AccessEcon, vol. 41(2), pages 686-695.
    7090. Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
    7091. Linde Götz & Ivan Djuric & Oleg Nivievskyi, 2016. "Regional Price Effects of Extreme Weather Events and Wheat Export Controls in Russia and Ukraine," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(3), pages 741-763, September.
    7092. ANORUO, Emmanuel & AKPOM, Uchenna, 2016. "Military Spending-Household Consumption Nexus: A Heterogeneous Panel Data Approach - La relazione tra spesa militare e consumi delle fam iglie: un approccio panel data," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(3), pages 175-192.
    7093. Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos de Trabajo del ICAE 2011-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    7094. Christos Kollias & Suzanna-Maria Paleologou, 2002. "Is there a Greek-Turkish arms race? Some further empirical results from causality tests," Defence and Peace Economics, Taylor & Francis Journals, vol. 13(4), pages 321-328.
    7095. KARGI, Bilal, 2014. "Türkiye Ekonomisinde Sürekli Gelir Hipotezine İlişkin Kanıtlar: Zaman Serileri Analizi (2004-2012) [Evidence for Turkey's Economy Permanent Income Hypothesis: Time Series Analysis (2004-2012)]," MPRA Paper 55696, University Library of Munich, Germany.
    7096. Razgūnė Aušra & Lazutka Romas, 2017. "Labor Share in National Income: Implications in the Baltic Countries," Review of Economic Perspectives, Sciendo, vol. 17(2), pages 121-139, June.
    7097. Masato Shizume, 2007. "Sustainability of Public Debt: Evidence from Pre-World War II Japan," Working Papers 7013, Economic History Society.
    7098. Junaid Ashraf, 2023. "Does political risk undermine environment and economic development in Pakistan? Empirical evidence from China–Pakistan economic corridor," Economic Change and Restructuring, Springer, vol. 56(1), pages 581-608, February.
    7099. Ana María Cuadros Ramos, 2000. "Exportaciones y crecimiento económico: Un análisis de causalidad para México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 15(1), pages 37-64.
    7100. Nelissa Jamora & Stephan Cramon-Taubadel, 2016. "Transaction Cost Thresholds in International Rice Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(2), pages 292-307, June.
    7101. Salah A. Nusair & Khalid M. Kisswani, 2015. "Asian Real Exchange Rates And Oil Prices: A Cointegration Analysis Under Structural Breaks," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 1-25, December.
    7102. Maritta Paloviita, 2009. "Estimating open economy Phillips curves for the euro area with directly measured expectations," New Zealand Economic Papers, Taylor & Francis Journals, vol. 43(3), pages 233-254.
    7103. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
    7104. Ang, James B. & McKibbin, Warwick J., 2007. "Financial liberalization, financial sector development and growth: Evidence from Malaysia," Journal of Development Economics, Elsevier, vol. 84(1), pages 215-233, September.
    7105. Lin, Ling & Li, Mu & Hou, Xinmeng & Zahid Piprani, Arsalan, 2024. "The resource curse in least developed countries: The roles of foreign direct investment, energy efficiency, and electricity access," Resources Policy, Elsevier, vol. 89(C).
    7106. Waheed, Muhammad, 2009. "Forward rate unbiased hypothesis, risk premium and exchange rate expectations: estimates on Pakistan Rupee-US Dollar," MPRA Paper 33167, University Library of Munich, Germany, revised Jul 2010.
    7107. Heike Joebges & Evelyn Herrmann, 2008. "Euro area exports and imports: Do determinants of intra- and extra-EMU trade differ?," IMK Working Paper 08-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    7108. Kargi, Bilal, 2014. "Electricity Consumption and Economic Growth: Long-Term Co-Integrated Analysis on Turkey," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 6(4), pages 285-293.
    7109. Eiji OGAWA & Zhiqian WANG, 2013. "How Did the Global Financial Crisis Misalign East Asian Currencies?," Discussion papers 13096, Research Institute of Economy, Trade and Industry (RIETI).
    7110. Taeyoung Jin & Jinsoo Kim, 2018. "Coal Consumption and Economic Growth: Panel Cointegration and Causality Evidence from OECD and Non-OECD Countries," Sustainability, MDPI, vol. 10(3), pages 1-15, March.
    7111. Chi-Wei Su, 2009. "An empirical study of Taiwan's bond market based on the nonlinear dynamic model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 563-574.
    7112. Jana Šimáková, 2014. "The Effects of Exchange Rate Change on the Trade Balance of Slovakia," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2014(3), pages 50-66.
    7113. Erwin Nijsse & Elmer Sterken,, 1996. "Shortages, interest rates, and money demand in Poland, 1969-1995," Working Papers 25, Centre for Economic Research, University of Groningen and University of Twente.
    7114. Marius Surugiu & Raluca Mazilescu & Camelia Surugiu, 2020. "Tax compliance: cointegration analysis in romanian context," Manager Journal, Faculty of Business and Administration, University of Bucharest, vol. 32(1), pages 116-122, December.
    7115. Boufateh, Talel, 2016. "Cycle-Trend Dichotomy of the Dutch Disease Phenomenon," MPRA Paper 71741, University Library of Munich, Germany.
    7116. Passant M. B. Selim & Hasan Güngör, 2021. "Inequality and financial development: Evidence from selected MENA region countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2732-2747, April.
    7117. Yi Zhang, 2013. "The Links between the Price of Oil and the Value of US Dollar," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 341-351.
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    7119. Abdelbari El Khamlichi & Kabir Sarkar Humayun & Mohamed Arouri & Frédéric Teulon, 2014. "Are Islamic equity indices more efficient than their conventional counterparts ? Evidence from major global index families," Working Papers 2014-91, Department of Research, Ipag Business School.
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    8094. Sanu, Md Sahnewaz, 2019. "Re-examining the Environmental Kuznets Curve Hypothesis in India: The Role of Coal Consumption, Financial Development and Trade Openness," MPRA Paper 107845, University Library of Munich, Germany, revised Dec 2019.
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    8110. Christos Tsirimokos & Georgios Maroulis, 2016. "Price and Income Elasticities of Demand for Crude Oil. A study of thirteen OECD and Non-OECD Countries," Bulletin of Political Economy, Bulletin of Political Economy, vol. 10(2), pages 161-180, December.
    8111. Mohammed Abumunshar & Mehmet Aga & Ahmed Samour, 2020. "Oil Price, Energy Consumption, and CO 2 Emissions in Turkey. New Evidence from a Bootstrap ARDL Test," Energies, MDPI, vol. 13(21), pages 1-15, October.
    8112. Carolina Cosculluela Martínez & Rafael Flores de Frutos, 2010. "Housing investment in Spain: has it been the main engine of growth?," Documentos de Trabajo del ICAE 1003, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8113. Mohammed Shuaibu & Mutiu Abimbola Oyinlola, 2017. "An Empirical Analysis of Nigeria’s Current Account Sustainability," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(1), pages 54-76, February.
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    8628. Hamzah, Nurrawaida Husna & Masih, Mansur, 2018. "Revisiting effectiveness of interest rate as a tool to control inflation: evidence from Malaysia based on ARDL and NARDL," MPRA Paper 87576, University Library of Munich, Germany.
    8629. Daniel Lo & Yung Yau & Michael McCord & Martin Haran, 2022. "Dynamics between Direct Industrial Real Estate and the Macroeconomy: An Empirical Study of Hong Kong," Land, MDPI, vol. 11(10), pages 1-23, September.
    8630. Doszyń Mariusz, 2023. "Integration and Cointegration of Apartment Prices on the Primary and Secondary Market in Szczecin in the Years 2006-2022," Real Estate Management and Valuation, Sciendo, vol. 31(4), pages 36-44, December.
    8631. James Payne, 2003. "Post stabilization estimates of money demand in Croatia: error correction model using the bounds testing approach," Applied Economics, Taylor & Francis Journals, vol. 35(16), pages 1723-1727.
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    8637. Rafindadi, Abdulkadir Abdulrashid & Ozturk, Ilhan, 2017. "Impacts of renewable energy consumption on the German economic growth: Evidence from combined cointegration test," Renewable and Sustainable Energy Reviews, Elsevier, vol. 75(C), pages 1130-1141.
    8638. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
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    8641. Mohd Yusof Saari & Kabiru Maji Ibrahim & Muzafar Shah Habibullah, 2022. "Assessing the Income Distributional Effect of Lockdowns in Malaysia," Journal of Economic Impact, Science Impact Publishers, vol. 4(1), pages 132-138.
    8642. Bittmann, Thomas & Bronnmann, Julia & Gordon, Daniel V., 2020. "Product differentiation and dynamics of cost pass-through in the German fish market: An error-correction-distance measure approach," Journal of Commodity Markets, Elsevier, vol. 19(C).
    8643. Emmanuel Numapau Gyamfi & Anokye Mohammed Adam & Emily Frimpomaa Appiah, 2019. "Macroeconomic convergence in the West African monetary zone: Evidence from rank tests," Economics and Business Letters, Oviedo University Press, vol. 8(4), pages 191-198.
    8644. Kohler, Marcel, 2014. "Differential electricity pricing and energy efficiency in South Africa," Energy, Elsevier, vol. 64(C), pages 524-532.
    8645. Ke Tang, 2012. "Time-varying long-run mean of commodity prices and the modeling of futures term structures," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 781-790, April.
    8646. Bibhuti Sarker & Farid Khan, 2020. "Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    8647. Raffaele Lagravinese & Paolo Liberati & Agnese Sacchi, 2016. "The growth and variability of local taxes: An application to the Italian regions," Working Papers. Collection B: Regional and sectoral economics 1601, Universidade de Vigo, GEN - Governance and Economics research Network.
    8648. Aurora A.C. Teixeira & Natércia Fortuna, 2006. "Human capital, trade and long-run productivity. Testing the technological absorption hypothesis for the Portuguese economy, 1960-2001," FEP Working Papers 226, Universidade do Porto, Faculdade de Economia do Porto.
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    8650. Ranjan Aneja & Arjun, 2022. "Impact of Terms of Trade on GDP in the Context of Prebisch–Singer Theorem: Evidence from Egypt and Guinea," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 34(5), pages 2561-2575, October.
    8651. Jiranyakul, Komain, 2011. "Are Thai Manufacturing Exports and Imports of Capital Goods Related?," MPRA Paper 45654, University Library of Munich, Germany.
    8652. Fifi Syafika Othman & Suhana Mohamed & Fatin Farazh Ya’acob, 2024. "Examining the Impact of Macroeconomic Factors on Housing Prices in Malaysia," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(11), pages 592-603, November.
    8653. Wesseh, Presley K. & Zoumara, Babette, 2012. "Causal independence between energy consumption and economic growth in Liberia: Evidence from a non-parametric bootstrapped causality test," Energy Policy, Elsevier, vol. 50(C), pages 518-527.
    8654. Moore, Alvon, 2011. "Demand elasticity of oil in Barbados," Energy Policy, Elsevier, vol. 39(6), pages 3515-3519, June.
    8655. Tursoy, Turgut & Faisal, Faisal & Berk, Niyazi & Shahbaz, Muhammad, 2018. "How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL," MPRA Paper 88899, University Library of Munich, Germany.
    8656. Douangngeune, Bounlouane & Hayami, Yujiro & Godo, Yoshihisa, 2005. "Education and natural resources in economic development: Thailand compared with Japan and Korea," Journal of Asian Economics, Elsevier, vol. 16(2), pages 179-204, April.
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    8659. M Mafizur Rahman & M Salahuddin, 2010. "The determinants of economic growth in Pakistan: Does stock market development play a major role?," Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 69-86, September.
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    8662. Iyke, Bernard Njindan, 2015. "Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate," Energy Economics, Elsevier, vol. 51(C), pages 166-176.
    8663. de Jong, Pieter J. & Swanson, Peggy E., 2006. "The Euro deposit market in a global perspective," Global Finance Journal, Elsevier, vol. 16(3), pages 354-365, March.
    8664. Roy, Rudra Prosad & Sinha Roy, Saikat, 2022. "Commodity futures prices pass-through and monetary policy in India: Does asymmetry matter?," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    8665. Van-Hop Nguyen, 2019. "Dynamics Between Exchange Rates And Stock Prices: Evidence From Developed And Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 13(1), pages 73-84.
    8666. Jahanger, Atif & Yu, Yang & Hossain, Mohammad Razib & Murshed, Muntasir & Balsalobre-Lorente, Daniel & Khan, Uzma, 2022. "Going away or going green in NAFTA nations? Linking natural resources, energy utilization, and environmental sustainability through the lens of the EKC hypothesis," Resources Policy, Elsevier, vol. 79(C).
    8667. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June.
    8668. Sathye, Milind, 2006. "US Coffee C Futures: Some results from test of cointegration and GARCH," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
    8669. Pedro R.D. Bom & Jenny E. Ligthart, 2014. "What Have We Learned From Three Decades Of Research On The Productivity Of Public Capital?," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 889-916, December.
    8670. Choudhry, Taufiq & Hassan, Syed S., 2015. "Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 89-101.
    8671. Guo, Yanfeng & Zhao, Huanyu, 2024. "Volatility spillovers between oil and coal prices and its implications for energy portfolio management in China," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 446-457.
    8672. Hussin, Syaryanti & Masih, Mansur, 2017. "Does interest rate affect the saving account deposits of islamic banks ? evidence from Malaysia," MPRA Paper 107370, University Library of Munich, Germany.
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    8676. Boris I. Alekhin, 2023. "Monetary Poverty and Education in Russia," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 43-62, August.
    8677. Guindon, G. Emmanuel & Perucic, Anne-Marie & Boisclair, David, 2004. "Higher Tobacco Prices and Taxes in South East Asia: An Effective Tool to Reduce Tobacco Use, Save Lives and Generate Revenue," University of California at San Francisco, Center for Tobacco Control Research and Education qt1t41d7kz, Center for Tobacco Control Research and Education, UC San Francisco.
    8678. Long, Zhiming & Herrera, Rémy, 2018. "Some considerations on China’s long-run economic growth: 1952–2015 from the analysis of factor contributions to that of the profit rate," Structural Change and Economic Dynamics, Elsevier, vol. 44(C), pages 14-22.
    8679. Alfredo Cuecuecha Mendoza & Miguel Cruz, 2022. "Impact of the Covid19 Pandemic on Remittances to Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(3), pages 1-26, Julio - S.
    8680. Eduardo Acosta-Gonz�lez & Reinaldo Armas-Herrera & Fernando Fern�ndez-Rodr�guez, 2015. "On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1075-1091, June.
    8681. Alnaa, Samuel Erasmus & Matey, Juabin, 2022. "Macroeconomic Policy Formulation: The Driver of Economic Welfare in Ghana," MPRA Paper 113041, University Library of Munich, Germany, revised 11 Apr 2022.
    8682. Olanipekun, Ifedolapo O. & Usman, Ojonugwa, 2019. "Modelling Food and Nonfood Production in India: The Effects of Oil Price using Bayer-Hanck Combined Cointegration Approach," MPRA Paper 96336, University Library of Munich, Germany, revised 2019.
    8683. Ardeshir Sepehri & A Haroon Akram-lodhi, 2005. "Transition, savings and growth in Vietnam: a three-gap analysis," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(4), pages 553-574.
    8684. Afshin Honarvar, 2010. "Modeling of Asymmetry between Gasoline and Crude Oil Prices: A Monte Carlo Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 237-262, October.
    8685. Lin, Chu-Bin & Chou, Robin K. & Wang, George H.K., 2018. "Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 17-31.
    8686. Ain Shahrier, Nur, 2022. "Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    8687. Nikiforos Laopodis & Bansi Sawhney, 2007. "Dynamic interactions between private investment and the stock market: evidence from cointegration and error correction models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(4), pages 257-269.
    8688. ÇELİK, İsmail, 2021. "Optimal Hedge Ratio In Turkish Stock Index Futures Market: A Deco-Fiaparch Approach," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 25(4), pages 17-33, December.
    8689. Mohamed Maher & Yanzhi Zhao, 2022. "Do Political Instability and Military Expenditure Undermine Economic Growth in Egypt? Evidence from the ARDL Approach," Defence and Peace Economics, Taylor & Francis Journals, vol. 33(8), pages 956-979, November.
    8690. Audi, Marc & Ali, Amjad & Fayad Hamadeh, Hani, 2022. "Nexus among innovations, financial development and economic growth in developing countries," MPRA Paper 115220, University Library of Munich, Germany.
    8691. Takahashi, Kohya & Maeda, Koshi, 2018. "Impacts of the TPP Agreement on Beef Demand in Japan: An Analysis by Class," Japanese Journal of Agricultural Economics (formerly Japanese Journal of Rural Economics), Agricultural Economics Society of Japan (AESJ), vol. 20.
    8692. Brooks B. Robinson, 2009. "Black Unemployment And Infotainment," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 98-117, January.
    8693. Aluwani Tagwi, 2022. "The Impacts of Climate Change, Carbon Dioxide Emissions (CO 2 ) and Renewable Energy Consumption on Agricultural Economic Growth in South Africa: ARDL Approach," Sustainability, MDPI, vol. 14(24), pages 1-25, December.
    8694. Katsuya Ito, 2009. "The Russian Economy and the Oil Price: A Co-integrated VAR Approach," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 16(1), pages 220-227, May.
    8695. Galay, Gregory, 2019. "Are crude oil markets cointegrated? Testing the co-movement of weekly crude oil spot prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
    8696. Hermann González B. & Esteban Jadresic M. & Felipe Jaque S, 2005. "Relación entre Tasas de Interés Internas y Externas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 8(2), pages 91-94, August.
    8697. Karikallio, Hanna & Mäki-Fränti, Petri & Suhonen, Niko, 2011. "Competition in the global pulp and paper industries - An evaluation based on three approaches," Journal of Forest Economics, Elsevier, vol. 17(1), pages 91-104, January.
    8698. Noor Hashim Khan & Weijun He & An Min, 2025. "Predicting the nexus between globalization, public debt, and human development index: an empirical analysis," SN Business & Economics, Springer, vol. 5(5), pages 1-25, May.
    8699. Regli, Frederik & Nomikos, Nikos K., 2019. "The eye in the sky – Freight rate effects of tanker supply," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 402-424.
    8700. Fi̇li̇z Eryilmaz & Mehmet Mercan, 2015. "Political Budget Cycles: Evidence From Turkey," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 5-14, April.
    8701. Chiquiar Daniel & Ramos Francia Manuel, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
    8702. Jeung-Lak Lee & Carolyn Clark & Sung Ahn, 1998. "Long- and short-run Fisher effects: new tests and new results," Applied Economics, Taylor & Francis Journals, vol. 30(1), pages 113-124.
    8703. Tang, Chor Foon & Aviral Kumar, Tiwari & Shahbaz, Muhammad, 2016. "Dynamic Inter-relationships among tourism, economic growth and energy consumption in India," MPRA Paper 69848, University Library of Munich, Germany, revised 04 Mar 2016.
    8704. Gilles Margirier, 2018. "Recent trends in Okun's law : eleven countries from 1995 to 2017," Working Papers halshs-02482421, HAL.
    8705. J. Stephen Ferris & Soo-Bin Park & Stanley L. Winer, 2005. "Political Competition and Convergence to Fundamentals: With Application to the Politcal Business Cycle and the Size of the Public Sector," Carleton Economic Papers 05-09, Carleton University, Department of Economics.
    8706. Dandume, Muhammad Yusuf, 2013. "Institution and Economic Growth performance in Nigeria," MPRA Paper 52356, University Library of Munich, Germany, revised 2013.
    8707. Alisher Tleubayev & Tinoush Jamali Jaghdani & Linde Gotz & Miranda Svanidze, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," Journal of New Economy, Ural State University of Economics, vol. 22(3), pages 44-68, October.
    8708. Buch, Claudia M., 2000. "Information or Regulation: What Is Driving the International Activities of Commercial Banks?," Kiel Working Papers 1011, Kiel Institute for the World Economy (IfW Kiel).
    8709. Pei-Tha Gan & Nyuk-Ling Lee & Mohammed Yahya Mohammed Hussin & Norimah Rambeli, 2016. "Monetary Policy and External Factors: Empirical Evidence for Association of Southeast Asian Nations 3," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1585-1590.
    8710. Veenstra, Albert Willem & Franses, Philip Hans, 1997. "A co-integration approach to forecasting freight rates in the dry bulk shipping sector," Transportation Research Part A: Policy and Practice, Elsevier, vol. 31(6), pages 447-458, November.
    8711. Wan-Jiun Paul Chiou & Shan-Heng Fu & Jeng-Bau Lin & Wei Tsai, 2025. "Exploring the Impacts of Economic Policies, Policy Uncertainty, and Politics on Carbon Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 88(4), pages 895-919, April.
    8712. Ivan D. TROFIMOV & Nazaria Md. ARIS & Muhammad Khairil Firdaus Bin ROSLI, 2018. "Macroeconomic determinants of the labour share of income: Evidence from OECD economies," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(616), A), pages 25-48, Autumn.
    8713. Jai S. Mah, 2003. "Countervailing Duties in the USA," Working papers 2003-45, University of Connecticut, Department of Economics.
    8714. Dietmar Bauer & Martin Wagner, 2003. "The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study," Diskussionsschriften dp0308, Universitaet Bern, Departement Volkswirtschaft.
    8715. Jorge M. Uribe & Helena Chuliá & Montserrat Guillen, 2018. "Trends in the Quantiles of the Life Table Survivorship Function," European Journal of Population, Springer;European Association for Population Studies, vol. 34(5), pages 793-817, December.
    8716. Ageli, Mohammed, 2013. "Econometric Testing of the Displacement Effect: the Saudi Experience," MPRA Paper 50565, University Library of Munich, Germany.
    8717. Diana Kasparova & Michael White, 2001. "The Responsiveness Of House Prices To Macroeconomic Forces: A Cross-Countr Y Comparison," European Journal of Housing Policy, Taylor and Francis Journals, vol. 1(3), pages 385-416.
    8718. Dimitrios PAPARAS & Christian RICHTER & Alexandros PAPARAS, 2016. "Military Spending and Economic Growth in Greece and the Arms Race between Greece and Turkey," Journal of Economics Library, KSP Journals, vol. 3(1), pages 38-56, March.
    8719. Acaravci, Ali & Ozturk, Ilhan, 2010. "Electricity consumption-growth nexus: Evidence from panel data for transition countries," Energy Economics, Elsevier, vol. 32(3), pages 604-608, May.
    8720. Pieter J. de Jong, 2007. "The relationship between capital investment and R&D spending: a panel cointegration analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(11), pages 871-880.
    8721. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS.
    8722. Zare, Roohollah, 2016. "House Price Rigidity and the Asymmetric Response of Housing Prices to Monetary Policy in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(4), pages 401-417, October.
    8723. Mustafa Alpin Gülşen, 2022. "The Effect of Fiscal Policies on Business Cycles in Turkey," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 8(3), pages 218-235.
    8724. Forgenie, David & Khoiriyah, Nikmatul, 2023. "Analyzing Food Import Demand in Indonesia: An ARDL Bounds Testing Approach," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 11(01), January.
    8725. Dao, Chi-Mai & Wolters, Jürgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.
    8726. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
    8727. Fahmida Khatun & Syed Yusuf Saadat, 2019. "Governance and Competitiveness: An Econometric Analysis of the Banking Sector of Bangladesh," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(4), pages 1-4.
    8728. Bley, Jorg, 2009. "European stock market integration: Fact or fiction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 759-776, December.
    8729. Olorunfemi Yasiru Alimi & Akinola Christopher Fagbohun & Mohammed Abubakar, 2021. "Is population an asset or a liability to Nigeria’s economic growth? Evidence from FM-OLS and ARDL approach to cointegration," Future Business Journal, Springer, vol. 7(1), pages 1-12, December.
    8730. Zeb, Raheel & Salar, Laleena & Awan, Usama & Zaman, Khalid & Shahbaz, Muhammad, 2014. "Causal links between renewable energy, environmental degradation and economic growth in selected SAARC countries: Progress towards green economy," Renewable Energy, Elsevier, vol. 71(C), pages 123-132.
    8731. GAO Hui & GAO Tian Chen, 2022. "Volatility Asymmetry and Spillover Effects in Crude Oil Futures Market: Evidence from China," Applied Economics and Finance, Redfame publishing, vol. 9(3), pages 82-101, August.
    8732. Jungho Baek & Won W. Koo, 2009. "Assessing the Exchange Rate Sensitivity of U.S. Bilateral Agricultural Trade," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 57(2), pages 187-203, June.
    8733. Yuan, Jia-Hai & Kang, Jian-Gang & Zhao, Chang-Hong & Hu, Zhao-Guang, 2008. "Energy consumption and economic growth: Evidence from China at both aggregated and disaggregated levels," Energy Economics, Elsevier, vol. 30(6), pages 3077-3094, November.
    8734. Bosupeng, Mpho, 2016. "The Effects of Chinese Interest Rates and Inflation: A Decomposition of The Fisher Effect," MPRA Paper 78160, University Library of Munich, Germany, revised 2016.
    8735. Maria Ward Otoo, 1999. "Temporary employment and the natural rate of unemployment," Finance and Economics Discussion Series 1999-66, Board of Governors of the Federal Reserve System (U.S.).
    8736. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
    8737. Laxman Tandan & Ananta Raj Kafle & Khageshyor Khanal, 2022. "An Econometric Analysis on Interest Rate Reforms and Financial Deepening," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 12(3), pages 3-22.
    8738. Assefa Tafesse, 2024. "Analysis of Factors Affecting Private Saving in Ethiopia," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 14(2), pages 60-86.
    8739. Wadud, Zia, 2014. "The asymmetric effects of income and fuel price on air transport demand," Transportation Research Part A: Policy and Practice, Elsevier, vol. 65(C), pages 92-102.
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    8741. Bradley T. Ewing & James E. Payne & Shawn M. Forbes, 1998. "Co-Movements Of The Prime Rate, Cd Rate, And The S&P Financial Stock Index," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 469-482, December.
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    8743. Braga, Francesco S. & Nardella, Michele, 2003. "Supply Chain Management, Agricultural Policies And Anti-Trust: The Case Of Parmigiano Reggiano And Grana Padano," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 5(4), pages 1-15.
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    8969. Armeanu, Daniel Stefan & Joldes, Camelia Catalina & Gherghina, Stefan Cristian & Andrei, Jean Vasile, 2021. "Understanding the multidimensional linkages among renewable energy, pollution, economic growth and urbanization in contemporary economies: Quantitative assessments across different income countries’ g," Renewable and Sustainable Energy Reviews, Elsevier, vol. 142(C).
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    8978. Muhammad Kamran Khan & Jian-Zhou Teng & Muhammad Imran Khan, 2019. "Cointegration between macroeconomic factors and the exchange rate USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-15, December.
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    8981. Sheng-Ping Yang, 2018. "Entry and Exit Decisions with Switching Regime Excess Capacity," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 351-369, November.
    8982. Sinha, Avik & Mishra, Shekhar & Sharif, Arshian & Yarovaya, Larisa, 2021. "Does Green Financing help to improve the Environmental & Social Responsibility? Designing SDG framework through Advanced Quantile modelling," MPRA Paper 108150, University Library of Munich, Germany, revised 2021.
    8983. Ulrich Gunter & Irem Önder & Stefan Gindl, 2019. "Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria," Tourism Economics, , vol. 25(3), pages 375-401, May.
    8984. Zhu, Lichao, 2023. "Comparative evaluation of CO2 emissions from transportation in countries around the world," Journal of Transport Geography, Elsevier, vol. 110(C).
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    8988. Angelini, Eliana & Foglia, Matteo & Ortolano, Alessandra & Leone, Maria, 2018. "The “Donald” and the market: Is there a cointegration?," Research in International Business and Finance, Elsevier, vol. 45(C), pages 30-37.
    8989. Omoshoro-Jones, Oyeyinka Sunday, 2016. "A Cointegration and Causality Test on Government Expenditure –Economic Growth Nexus: Empirical Evidence from a South African Province," MPRA Paper 102085, University Library of Munich, Germany, revised 17 Oct 2017.
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    8991. Jesser Roberto Paladines Amaiquema, 2017. "Is Ecuador Real Gross Domestic Product per Capita and Other Macroeconomic Variables Cointegrated? An Autoregressive Distribution Lag Bound Test Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 9-13.
    8992. Najia Saqib & Priyanka Aggarwal & Ms. Saima Rashid, 2016. "Women Empowerment and Economic Growth: Empirical Evidence from Saudi Arabia," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 6(5), pages 1-5.
    8993. Kalkuhl, Matthias, 2014. "How Strong Do Global Commodity Prices Influence Domestic Food Prices in Developing Countries? A Global Price Transmission and Vulnerability Mapping Analysis," Discussion Papers 168591, University of Bonn, Center for Development Research (ZEF).
    8994. Mark J. Holmes & Arthur Grimes, 2008. "Is There Long-run Convergence among Regional House Prices in the UK?," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1531-1544, July.
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    8996. Gupta, Rakesh & Yuan, Tian & Roca, Eduardo, 2016. "Linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 230-239.
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    9043. Khan, Saleheen & Jam, Farooq Ahmed & Shahbaz, Muhammad & Mamun, Md Al, 2018. "Electricity Consumption, Economic Growth and Trade Openness in Kazakhstan: Evidence from Cointegration and Causality," MPRA Paper 87977, University Library of Munich, Germany, revised 14 Jul 2018.
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    9048. Rita I.L. Mendes & Luís Gomes & Patrícia Ramos, 2022. "Financial Contagion from the Subprime Crisis: A Copula Approach," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(4), pages 501-520, December.
    9049. Halicioglu, Ferda & Andrés, Antonio R. & Yamamura, Eiji, 2012. "Modeling crime in Japan," Economic Modelling, Elsevier, vol. 29(5), pages 1640-1645.
    9050. Wang, Yizhi & Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa, 2022. "The Effects of Central Bank Digital Currencies News on Financial Markets," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    9051. Yugang He & Renhong Wu & Yong-Jae Choi, 2021. "International Logistics and Cross-Border E-Commerce Trade: Who Matters Whom?," Sustainability, MDPI, vol. 13(4), pages 1-20, February.
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    9054. Paresh Kumar Narayan, 2006. "Determinants of Female Fertility in Taiwan, 1966–2001: Empirical Evidence from Cointegration and Variance Decomposition Analysis," Asian Economic Journal, East Asian Economic Association, vol. 20(4), pages 393-407, December.
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    9059. Khalil Ahmad & Amjad Ali & Michael Yang, 2022. "The Effect Of Trade Liberalization On Expenditure Structure Of Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(1), pages 73-84, March.
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    9074. Maria Leonor Pimenta Marques Verdete da Silva Carvalho & Pedro Damião de Sousa Henriques & Maria Raquel David Pereira Ventura Lucas, 2014. "Price Transmission in the Milk Portuguese Market," CEFAGE-UE Working Papers 2014_19, University of Evora, CEFAGE-UE (Portugal).
    9075. Yugang He & Panpan Huang, 2022. "Exploring the Forms of the Economic Effects of Renewable Energy Consumption: Evidence from China," Sustainability, MDPI, vol. 14(13), pages 1-16, July.
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    9093. Pasquale Pazienza & Caterina Lucia, 2020. "How does FDI in the “agricultural and fishing” sector affect methane emission? Evidence from the OECD countries," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 441-462, July.
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    9102. C. Cosculluela-Martínez & R. Ibar-Alonso & G. J. D. Hewings, 2019. "Life Expectancy Index: Age Structure of Population and Environment Evolution," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 142(2), pages 507-522, April.
    9103. Tsai, I-Chun, 2013. "The asymmetric impacts of monetary policy on housing prices: A viewpoint of housing price rigidity," Economic Modelling, Elsevier, vol. 31(C), pages 405-413.
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    9105. Olubode-Awosola, O.O. & Oyewumi, Olubukola Ayodeju & Jooste, Andre, 2006. "Vector error correction modelling of Nigerian agricultural supply response," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 45(4), pages 1-16, December.
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    9108. Lee, Yoonsuk & Ward, Clement E. & Brorsen, B. Wade, 2010. "Relationships among Prices across Alternative Marketing Arrangements for Fed Cattle and Hogs," 2010 Annual Meeting, February 6-9, 2010, Orlando, Florida 56282, Southern Agricultural Economics Association.
    9109. Isabel Ruiz, 2005. "Empirical analysis on the real effects of inflation and exchange rate uncertainty: The case of Colombia," International Finance 0511006, University Library of Munich, Germany.
    9110. Netti Natarida Marpaung & Irene Rini Demi Pangestuti, 2024. "Macroeconomic Factors and Jakarta Stock Exchange: A Comparative Analysis Pre- and Until the COVID-19 Pandemic," SAGE Open, , vol. 14(2), pages 21582440241, May.
    9111. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.
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    9116. Jha, Girish Kumar & Pal, Suresh & Singh, Alka, 2012. "Changing Energy-use Pattern and the Demand Projection for Indian Agriculture," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 25(01), June.
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    9118. Das, Narasingha & Bera, Pinki & Panda, Deepak, 2022. "Can economic development & environmental sustainability promote renewable energy consumption in India?? Findings from novel dynamic ARDL simulations approach," Renewable Energy, Elsevier, vol. 189(C), pages 221-230.
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    5. Torgeir Ericson, 2006. "Time-differentiated pricing and direct load control of residential electricity consumption," Discussion Papers 461, Statistics Norway, Research Department.
    6. Kapeller, Rudolf & Cohen, Jed J. & Kollmann, Andrea & Reichl, Johannes, 2023. "Incentivizing residential electricity consumers to increase demand during periods of high local solar generation," Energy Economics, Elsevier, vol. 127(PA).
    7. 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, Statistics Norway, Research Department.
    8. Torgeir Ericson, 2006. "Direct load control of residential water heaters," Discussion Papers 479, Statistics Norway, Research Department.
    9. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute.

  119. Granger, C. W. J. & Andersen, Allan, 1978. "On the invertibility of time series models," Stochastic Processes and their Applications, Elsevier, vol. 8(1), pages 87-92, November.

    Cited by:

    1. Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
    3. Wintenberger, Olivier, 2013. "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper 46027, University Library of Munich, Germany.
    4. Ghouse, Ghulam & Khan, Saud Ahmed & Arshad, Muhammad, 2015. "Time Varying Volatility Modeling of Pakistani and leading foreign stock markets," MPRA Paper 70117, University Library of Munich, Germany.
    5. Hai‐Bin Wang, 2008. "Nonlinear ARMA models with functional MA coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1032-1056, November.
    6. Martínez, Oscar & Gonzalo, Jesús, 2003. "Threshold integrated moving average models: does size matter? maybe so," DE - Documentos de Trabajo. Economía. DE 16008, Universidad Carlos III de Madrid. Departamento de Economía.
    7. Hafner, Christian & Kyriakopoulou, Dimitra, 2020. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA 2020029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
    9. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Maximum Likelihood Estimation for Score-Driven Models," Tinbergen Institute Discussion Papers 14-029/III, Tinbergen Institute, revised 23 Oct 2017.
    10. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
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    14. Shiqing Ling & Liang Peng & Fukang Zhu, 2015. "Inference For A Special Bilinear Time-Series Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 61-66, January.
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    16. Man Wang & Kun Chen & Qin Luo & Chao Cheng, 2018. "Multi-Step Inflation Prediction with Functional Coefficient Autoregressive Model," Sustainability, MDPI, vol. 10(6), pages 1-16, May.
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  120. Granger, C. W. J. & Newbold, P., 1976. "The use of R2 to determine the appropriate transformation of regression variables," Journal of Econometrics, Elsevier, vol. 4(3), pages 205-210, August.

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    1. Helmut Lütkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo.
    2. Madina D. Sharapiyeva & Kunanbayeva Duissekul & Nurseiytova Gulmira & Kozhamkulova Zhanna, 2019. "Energy Efficiency of Transport and Logistics Infrastructure: The Example of the Republic of Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 9(5), pages 331-338.
    3. Assis de Salles, Andre & Mendes Campanati, Ana Beatriz, 2019. "The Relevance of Crude Oil Prices on Natural Gas Pricing Expectations: A Dynamic Model Based Empirical Study," MPRA Paper 95982, University Library of Munich, Germany, revised 12 Sep 2019.
    4. Sharma, Rohit & Newman, Peter, 2018. "Does urban rail increase land value in emerging cities? Value uplift from Bangalore Metro," Transportation Research Part A: Policy and Practice, Elsevier, vol. 117(C), pages 70-86.
    5. Amiri, Arshia & Gerdtham, Ulf-G, 2011. "Relationship between exports, imports, and economic growth in France: evidence from cointegration analysis and Granger causality with using geostatistical models," MPRA Paper 34190, University Library of Munich, Germany.
    6. Amiri, Arshia & Zibaei, Mansour, 2012. "Granger causality between energy use and economic growth in France with using geostatistical models," MPRA Paper 36357, University Library of Munich, Germany.
    7. John McDonald, 1979. "A time series approach to forecasting Australian total live-births," Demography, Springer;Population Association of America (PAA), vol. 16(4), pages 575-601, November.
    8. Amiri, Arshia & Bakhshoodeh, Mohamad & Najafi, Bahaeddin, 2011. "Forecasting seasonality in prices of potatoes and onions: challenge between geostatistical models, neuro fuzzy approach and Winter method," MPRA Paper 34093, University Library of Munich, Germany.
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    11. Samuel H. Baker, 1983. "The Determinants of Median Voter Tax Liability: an Empirical Test of the Fiscal Illusion Hypothesis," Public Finance Review, , vol. 11(1), pages 95-108, January.

  121. C. Granger, 1976. "Tendency towards normality of linear combinations of random variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 23(1), pages 237-248, December.

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    1. Gilles R. Ducharme & Pierre Lafaye de Micheaux, 2004. "Goodness‐of‐fit tests of normality for the innovations in ARMA models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 373-395, May.
    2. de Menezes, Lilian M. & Bunn, Derek W., 1998. "The persistence of specification problems in the distribution of combined forecast errors," International Journal of Forecasting, Elsevier, vol. 14(3), pages 415-426, September.

  122. Granger, Clive W J, 1975. "Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts," Journal of Finance, American Finance Association, vol. 30(1), pages 135-145, March.

    Cited by:

    1. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Clive W. J. Granger, 2003. "Exchange rates and fundamentals - comments," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.

  123. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.

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    3. De Vita, Glauco & Abbott, Andrew, 2002. "Are saving and investment cointegrated? An ARDL bounds testing approach," Economics Letters, Elsevier, vol. 77(2), pages 293-299, October.
    4. Debasish Roy, 2024. "An Exploration in Sustainability and Lifespan of Enterprise: A Cross–Country Empirical Study (2011–2020)," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 5307-5328, June.
    5. Olga Fullana & Mariano González & David Toscano, 2021. "The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling," Mathematics, MDPI, vol. 9(5), pages 1-11, March.
    6. doğru, bülent, 2013. "Seigniorage Revenue and Inflation Tax in Turkish economy," MPRA Paper 45538, University Library of Munich, Germany.
    7. Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
    8. Uk Heo, 1998. "Modeling the Defense-Growth Relationship around the Globe," Journal of Conflict Resolution, Peace Science Society (International), vol. 42(5), pages 637-657, October.
    9. Moss, Charles B., 2006. "Valuing State-Level Funding for Research: Results for Florida," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 38(01), pages 1-15, April.
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    12. Mamingi, Nlandu & Martin, Kareem, 2018. "Foreign direct investment and growth in developing countries: evidence from the countries of the Organisation of Eastern Caribbean States," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    13. Wang, Shanchao & Alston, Julian M. & Pardey, Philip G., 2023. "R&D Lags in Economic Models," Staff Papers 330085, University of Minnesota, Department of Applied Economics.
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    4773. Vicente Aprigliano Fernandes & Ricardo R. Pacheco & Elton Fernandes & Manoela Cabo & Rodrigo V. Ventura & Rafael Caixeta, 2021. "Air Transportation, Economy and Causality: Remote Towns in Brazil’s Amazon Region," Sustainability, MDPI, vol. 13(2), pages 1-14, January.
    4774. Kovandzic, Tomislav V. & Sloan, John J., 2002. "Police levels and crime rates revisited: A county-level analysis from Florida (1980-1998)," Journal of Criminal Justice, Elsevier, vol. 30(1), pages 65-76.
    4775. Nicoleta Mihaela Florea & Roxana Maria Bădîrcea & Georgeta-Madalina Meghisan-Toma & Silvia Puiu & Alina Georgiana Manta & Dorel Berceanu, 2021. "Linking Public Finances’ Performance to Renewable-Energy Consumption in Emerging Economies of the European Union," Sustainability, MDPI, vol. 13(11), pages 1-14, June.
    4776. Jinke, Li & Hualing, Song & Dianming, Geng, 2008. "Causality relationship between coal consumption and GDP: Difference of major OECD and non-OECD countries," Applied Energy, Elsevier, vol. 85(6), pages 421-429, June.
    4777. Liu, Ming-Lei & Ji, Qiang & Fan, Ying, 2013. "How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index," Energy, Elsevier, vol. 55(C), pages 860-868.
    4778. Stanislav S Borysov & Alexander V Balatsky, 2014. "Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-11, August.
    4779. Nebiye Yamak & Sinem Kocak & Fatma Kolcu, 2016. "Causal Relationship Between Relative Price Variability and Inflation in Turkey:Evidence from Panel Data," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(60), pages 183-198, June.
    4780. João Sousa Andrade & Marta Simões & Adelaide Duarte, 2013. "Despesa Pública em Educação e Saúde e Crescimento Económico: Um Contributo para o Debate sobre as Funções Sociais do Estado," GEMF Working Papers 2013-18, GEMF, Faculty of Economics, University of Coimbra.
    4781. Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg, 2013. "Does monetary policy determine stock market liquidity? New evidence from the euro zone," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 54-68.
    4782. Tang, Chor Foon, 2009. "Does causality technique matter to savings-growth nexus in Malaysia?," MPRA Paper 38535, University Library of Munich, Germany.
    4783. David Dranove & Neil Gandal, 2003. "The Dvd‐vs.‐Divx Standard War: Empirical Evidence of Network Effects and Preannouncement Effects," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 12(3), pages 363-386, September.
    4784. Meysam Safari & M. Ariff & Shamsher M., 2013. "Do Debt Markets Price Sukuk and Conventional Bonds Differently? هل تُسَعِّر أسواق الدَّيْن الصكوك والسندات التقليدية بشكل مختلف؟," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 26(2), pages 113-149, July.
    4785. Shahbaz, Muhammad & Omay, Tolga & Roubaud, David, 2019. "Sharp and Smooth Breaks in Unit Root Testing of Renewable Energy Consumption: The Way Forward," MPRA Paper 92176, University Library of Munich, Germany, revised 11 Feb 2019.
    4786. Ravi Kashyap, 2021. "Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets," Papers 2109.03740, arXiv.org.
    4787. çenberci, engin, 2018. "Defense Expenditures and Income Inequality: Evidence from Chosen Euro Using Countries," MPRA Paper 97946, University Library of Munich, Germany.
    4788. Felice, Giulia & Tajoli, Lucia, 2021. "Trade balances and global value chains: Is there a link?," Structural Change and Economic Dynamics, Elsevier, vol. 59(C), pages 228-246.
    4789. Wamg, Jianxin, 2011. "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, vol. 28(2), pages 32-57.
    4790. Weiß, Christian, 2010. "The Ownership Concentration of Firms: Three Essays on the Determinants and Effects," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 30247.
    4791. Katharina Eck, 2010. "(Wie) Führt Außenhandel zu Wirtschaftswachstum?," Working Papers 284, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    4792. Ezzat, Hassan, 2014. "Impact of Political Instability on Cointegration: Evidence from MENA Region Stock Markets during Pre and Post Egyptian Revolution Period," MPRA Paper 110566, University Library of Munich, Germany.
    4793. Matesanz, David & Ortega, Guillermo J., 2016. "On business cycles synchronization in Europe: A note on network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 287-296.
    4794. Jaydeep Mukherjee & Debashis Chakraborty & Tanaya Sinha, 2013. "How has FDI influenced Current Account Balance In India? Time Series Results in presence of Endogenous Structural Breaks," Working Papers 1317, Indian Institute of Foreign Trade.
    4795. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    4796. Li, Shengfeng & Hoque, Hafiz & Thijssen, Jacco, 2021. "Firm financial behaviour dynamics and interactions: A structural vector autoregression approach," Journal of Corporate Finance, Elsevier, vol. 69(C).
    4797. Lee, Ju-Yeon & Fang, Eric & Kim, Jisu J. & Li, Xiaoling & Palmatier, Robert W., 2018. "The Effect of Online Shopping Platform Strategies on Search, Display, and Membership Revenues," Journal of Retailing, Elsevier, vol. 94(3), pages 247-264.
    4798. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    4799. Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.
    4800. E.A. Selvanathan, 1987. "Advertising and Consumption a New Approach with an Application to Alcohol," Economics Discussion / Working Papers 87-15, The University of Western Australia, Department of Economics.
    4801. Triacca, Umberto, 2018. "Granger causality between vectors of time series: A puzzling property," Statistics & Probability Letters, Elsevier, vol. 142(C), pages 39-43.
    4802. Jiranyakul, Komain, 2007. "The Relation between Government Expenditures and Economic Growth in Thailand," MPRA Paper 46070, University Library of Munich, Germany.
    4803. Rotem Zelingher & David Makowski & Thierry Brunelle, 2020. "Forecasting impacts of Agricultural Production on Global Maize Price [Prévision des impacts de la production agricole sur les prix mondiaux du maïs]," CIRED Working Papers hal-02945775, HAL.
    4804. Ghatak, Subrata & Moore, Tomoe, 2007. "Migration and the EU Labour Market: Granger Causality Tests on a Panel VAR," Economics Discussion Papers 2007-6, School of Economics, Kingston University London.

  126. C. W. J. Granger & H. J. B. Rees, 1968. "Spectral Analysis of the Term Structure of Interest Rates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(1), pages 67-76.

    Cited by:

    1. Feng Zhu, 2016. "Understanding the changing equilibrium real interest rates in Asia-Pacific," BIS Working Papers 567, Bank for International Settlements.
    2. Pedro Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Post-Print hal-02482675, HAL.
    3. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    4. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "The term structure of interest rates across frequencies," Working Paper Series 976, European Central Bank.
    5. Lim, G C & Martin, Vance L, 1994. "A Spectral-Temporal Index with an Application to U.S. Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 81-93, January.
    6. Gary S. Shea, 1985. "Long memory models of interest rates, the term structure, and variance bounds tests," International Finance Discussion Papers 258, Board of Governors of the Federal Reserve System (U.S.).

  127. C. W. J. Granger & C. M. Elliott, 1967. "A Fresh Look at Wheat Prices and Markets in the Eighteenth Century," Economic History Review, Economic History Society, vol. 20(2), pages 257-265, August.

    Cited by:

    1. Marcus J. Chambers & Roy E. Bailey, 1999. "A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850," Journal of Agricultural Economics, Wiley Blackwell, vol. 50(3), pages 564-588, September.
    2. Cormac Ó Gráda & Jean-Michel Chevet, 2000. "Market segmentation and famine in Ancien Régime France," Working Papers 200005, School of Economics, University College Dublin.
    3. Isaac Abunyuwah & Henry De-Graft Acquah, 2013. "Modelling non-linear Spatial Market Integration and Equilibrium Processes in Hidden Markov Framework," Journal of Economics and Behavioral Studies, AMH International, vol. 5(8), pages 535-545.
    4. Garcia-López, Miquel-Àngel & Herranz-Loncán, Alfonso & Tassinari, Filippo & Viladecans-Marsal, Elisabet, 2023. "Paving the way to modern growth: The Spanish Bourbon roads," Explorations in Economic History, Elsevier, vol. 90(C).
    5. Roy, Tirthankar, 2010. "Economic Conditions in Early Modern Bengal: A Contribution to the Divergence Debate," The Journal of Economic History, Cambridge University Press, vol. 70(1), pages 179-194, March.
    6. Marks, Daan, 2010. "Unity or diversity? On the integration and efficiency of rice markets in Indonesia, c. 1920-2006," Explorations in Economic History, Elsevier, vol. 47(3), pages 310-324, July.
    7. Walter Labys, 2005. "Commodity Price Fluctuations: A Century of Analysis," Working Papers Working Paper 2005-01, Regional Research Institute, West Virginia University.
    8. Ljungqvist, Fredrik Charpentier & Seim, Andrea, 2024. "Reassessing grain price variability in early modern Europe (c. 1500–1800)," European Economic Review, Elsevier, vol. 170(C).
    9. Olatunji Abdul Shobande & Joseph Onuche Enemona, 2021. "A Multivariate VAR Model for Evaluating Sustainable Finance and Natural Resource Curse in West Africa: Evidence from Nigeria and Ghana," Sustainability, MDPI, vol. 13(5), pages 1-15, March.
    10. Miquel-Àngel Garcia-López & Alfonso Herranz-Loncán & Filippo Tassinari & Elisabet Viladecans-Marsal, 2021. "Paving the way to modern growth. Evidence from Bourbon roads in Spain," Working Papers 0209, European Historical Economics Society (EHES).
    11. Jacks, David S., 2005. "Intra- and international commodity market integration in the Atlantic economy, 1800-1913," Explorations in Economic History, Elsevier, vol. 42(3), pages 381-413, July.

  128. Andre Gabor & C. W. J. Granger, 1961. "On the Price Consciousness of Consumers," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 10(3), pages 170-188, November.

    Cited by:

    1. Levy, Daniel & Lee, Dongwon & Chen, Haipeng (Allan) & Kauffman, Robert & Bergen, Mark, 2007. "Price Points and Price Rigidity," MPRA Paper 1472, University Library of Munich, Germany.
    2. Morales, Luis Emilio & Griffith, Garry R. & Wright, Vic & Umberger, Wendy J. & Fleming, Euan M., 2009. "Characteristics Of Different Consumer Segments In The Australian Beef Market," 2009 Conference (53rd), February 11-13, 2009, Cairns, Australia 48063, Australian Agricultural and Resource Economics Society.
    3. Avichai Snir & Daniel Levy, 2011. "Shrinking Goods and Sticky Prices: Theory and Evidence," Working Papers 2011-03, Bar-Ilan University, Department of Economics.
    4. Sara Suarez-Fernandez & Maria Jose Perez-Villadoniga & Juan Prieto-Rodriguez, 2018. "Are We (Un)Consciously Driven by First Impressions? Price Declarations vs. Observed Cinema Demand when VAT Increases," ACEI Working Paper Series AWP-02-2018, Association for Cultural Economics International, revised Jul 2018.
    5. Wedel, Michel & Leeflang, Peter S. H., 1998. "A model for the effects of psychological pricing in Gabor-Granger price studies," Journal of Economic Psychology, Elsevier, vol. 19(2), pages 237-260, April.
    6. Kapferer, Jean-Noël & Laurent, Gilles, 2016. "Where do consumers think luxury begins? A study of perceived minimum price for 21 luxury goods in 7 countries," Journal of Business Research, Elsevier, vol. 69(1), pages 332-340.
    7. Franco Mostacci & Roberto Sabbatini, 2003. "L 'euro ha creato inflazione? Changeover e arrotondamenti dei prezzi al consumo in Italia nel 2002," Moneta e Credito, Economia civile, vol. 56(221), pages 45-95.
    8. Campbell, Benjamin L. & Behe, Bridget K. & Khachatryan, Hayk & Hall, Charles R. & Dennis, Jennifer H. & Huddleston, Patricia T. & Fernandez, R. Thomas, 2013. "Incorporating Eye Tracking Technology and Conjoint Analysis to Better Understand the Green Industry Consumer," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150431, Agricultural and Applied Economics Association.
    9. Jensen, Birger Boutrup & Grunert, Klaus G., 2014. "Price Knowledge During Grocery Shopping: What We Learn and What We Forget," Journal of Retailing, Elsevier, vol. 90(3), pages 332-346.
    10. Franziska Rumpel & Michael Knuth & Micheal Schaefer, 2008. "Neural correlates for price involvement in purchase decisions with regards to fast-moving-consumer-goods," FEMM Working Papers 08033, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    11. Foxall, Gordon R. & Yan, Ji & Oliveira-Castro, Jorge M. & Wells, Victoria K., 2013. "Brand-related and situational influences on demand elasticity," Journal of Business Research, Elsevier, vol. 66(1), pages 73-81.
    12. Kemp, Simon & Willetts, Karyn, 1996. "Remembering the price of wool," Journal of Economic Psychology, Elsevier, vol. 17(1), pages 115-125, February.
    13. Dennis W. Carlton & Jeffrey M. Perloff, 1989. "The Economics of Information," Food Marketing Policy Center Research Reports 005, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
    14. Loy, Jens-Peter & Weaver, Robert D., 2003. "Retail Sales: Do They Mean Reduced Expenditures? German Grocery Evidence," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25914, International Association of Agricultural Economists.
    15. Chairy Chairy & Chandra Raharja & Jhanghiz Syahrivar & Mahjus Ekananda, 0. "Waste not: selling near-expired bread in Indonesia," International Review on Public and Nonprofit Marketing, Springer;International Association of Public and Non-Profit Marketing, vol. 0, pages 1-17.
    16. Marine Le Gall-Ely, 2009. "Définition, mesure et déterminants du consentement à payer du consommateur : synthèse critique et voies de recherche," Post-Print hal-00522826, HAL.
    17. Varsha Khandker & Kedar Pandurang Joshi, 2019. "Price determination for 4G service using price sensitivity model in India," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 18(2), pages 93-99, April.
    18. Loy, Jens-Peter & Ceynowa, Christian & Kuhn, Lena, 2020. "Price recall: Brand and store type differences," Journal of Retailing and Consumer Services, Elsevier, vol. 53(C).
    19. Zhu, Zhiwen & Behe, Bridget & Huddleston, Patricia & Sage, Lynnell, 2017. "How do pricing and the representation of price affect consumer evaluation of nursery products? A conjoint analysis," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 20(4), March.
    20. Filomena, Tiago Pascoal & Neto, Francisco Jos Kliemann & Duffey, Michael Robert, 2009. "Target costing operationalization during product development: Model and application," International Journal of Production Economics, Elsevier, vol. 118(2), pages 398-409, April.
    21. Ranyard, Rob & Missier, Fabio Del & Bonini, Nicolao & Duxbury, Darren & Summers, Barbara, 2008. "Perceptions and expectations of price changes and inflation: A review and conceptual framework," Journal of Economic Psychology, Elsevier, vol. 29(4), pages 378-400, August.
    22. Antonides, Gerrit, 2008. "How is perceived inflation related to actual price changes in the European Union?," Journal of Economic Psychology, Elsevier, vol. 29(4), pages 417-432, August.
    23. Hsin‐Hui Lin & Pin‐Han Chen & Chih‐Lun Wu, 2023. "Exploring the price anchoring effect in mobile commerce: An experimental study," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(3), pages 1601-1623, April.
    24. Laroche, Michel & Toffoli, Roy, 1999. "Strategic Brand Evaluations Among Fast-Food Franchises: A Test of Two Frameworks," Journal of Business Research, Elsevier, vol. 45(2), pages 221-233, June.
    25. Chairy Chairy & Chandra Raharja & Jhanghiz Syahrivar & Mahjus Ekananda, 2020. "Waste not: selling near-expired bread in Indonesia," International Review on Public and Nonprofit Marketing, Springer;International Association of Public and Non-Profit Marketing, vol. 17(4), pages 391-407, December.
    26. McClure, James & Kumcu, Erdogan, 2008. "Promotions and product pricing: Parsimony versus Veblenesque demand," Journal of Economic Behavior & Organization, Elsevier, vol. 65(1), pages 105-117, January.
    27. Guillard, Valérie, 2009. "La tendance de certains consommateurs à tout garder," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/5480 edited by Pinson, Christian.

Chapters

  1. Granger, Clive W.J. & Machina, Mark J., 2006. "Forecasting and Decision Theory," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 2, pages 81-98, Elsevier.

    Cited by:

    1. Mathias Drehmann, 2013. "Evaluating early warning indicators of banking crises: Satisfying policy requirements," BIS Working Papers 421, Bank for International Settlements.
    2. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    3. Shapoval, A., 2010. "Prediction problem for target events based on the inter-event waiting time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5145-5154.
    4. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 584, European Central Bank.
    5. Manganelli, Simone, 2016. "Deciding with judgment," Working Paper Series 1947, European Central Bank.
    6. Ari Hyytinen & Petri Rouvinen & Mika Pajarinen & Joosua Virtanen, 2023. "Ex Ante Predictability of Rapid Growth: A Design Science Approach," Entrepreneurship Theory and Practice, , vol. 47(6), pages 2465-2493, November.
    7. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    8. Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2011. "Forecast evaluation in call centers: combined forecasts, flexible loss functions and economic criteria," Departmental Working Papers 2011-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    9. Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.
    10. Emilian Dobrescu, 2014. "Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-21, December.
    11. Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
    12. Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017. "Robust Forecast Comparison," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
    13. Giacomini, Raffaella, 2014. "Economic theory and forecasting: lessons from the literature," CEPR Discussion Papers 10201, C.E.P.R. Discussion Papers.
    14. Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2016. "Forecasting global recessions in a GVAR model of actual and expected output," International Journal of Forecasting, Elsevier, vol. 32(2), pages 374-390.
    15. Fernando Martel Garcia & Leonard Wantchekon, 2010. "Theory, External Validity, and Experimental Inference: Some Conjectures," The ANNALS of the American Academy of Political and Social Science, , vol. 628(1), pages 132-147, March.
    16. Chiu, Ching-Wai (Jeremy) & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos, 2019. "A new approach for detecting shifts in forecast accuracy," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1596-1612.
    17. Jiun-Hua Su, 2019. "Model Selection in Utility-Maximizing Binary Prediction," Papers 1903.00716, arXiv.org, revised Jul 2020.
    18. Daniel Gutknecht & Stefan Hoderlein & Michael Peters, 2016. "Constrained Information Processing and Individual Income Expectations," Boston College Working Papers in Economics 898, Boston College Department of Economics.
    19. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
    20. Scott A. Brave & Jose A. Lopez, 2018. "Calibrating Macroprudential Policy to Forecasts of Financial Stability," Working Paper Series 2017-17, Federal Reserve Bank of San Francisco.
    21. Tito Nícias Teixeira da Silva Filho, 2013. "Banks, Asset Management or Consultancies' Inflation Forecasts: is there a better forecaster out there?," Working Papers Series 310, Central Bank of Brazil, Research Department.
    22. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
    23. Sergey Smirnov, 2011. "Those Unpredictable Recessions," HSE Working papers WP BRP 02/EC/2011, National Research University Higher School of Economics.
    24. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    25. Ziegelmann, Flávio Augusto & Borges, Bruna & Caldeira, João F., 2015. "Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    26. Daniel Borup & Martin Thyrsgaard, 2017. "Statistical tests for equal predictive ability across multiple forecasting methods," CREATES Research Papers 2017-19, Department of Economics and Business Economics, Aarhus University.
    27. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    28. Pablo Pincheira Brown & Nicolás Hardy, 2024. "Correlation‐based tests of predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1835-1858, September.
    29. Daniel Gutknecht & Stefan Hoderlein & Michael Peters, 2014. "Costly Information Processing and Income Expectations," Boston College Working Papers in Economics 861, Boston College Department of Economics.
    30. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    31. Catullo, Ermanno & Gallegati, Mauro & Palestrini, Antonio, 2015. "Towards a credit network based early warning indicator for crises," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 78-97.
    32. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
    33. Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
    34. Lieli, Robert P. & Stinchcombe, Maxwell B. & Grolmusz, Viola M., 2019. "Unrestricted and controlled identification of loss functions: Possibility and impossibility results," International Journal of Forecasting, Elsevier, vol. 35(3), pages 878-890.
    35. Alloza, Mario & Gonzalo, Jesús & Sanz, Carlos, 2025. "Dynamic effects of persistent shocks," UC3M Working papers. Economics 45381, Universidad Carlos III de Madrid. Departamento de Economía.
    36. Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2020. "Machine Learning Advances for Time Series Forecasting," Papers 2012.12802, arXiv.org, revised Apr 2021.
    37. Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
    38. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
    39. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    40. Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos, 2016. "Financial Bubble Detection : A Non-Linear Method with Application to S&P 500," MPRA Paper 74477, University Library of Munich, Germany.
    41. Jonas R. Brehmer & Tilmann Gneiting, 2020. "Properization: constructing proper scoring rules via Bayes acts," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(3), pages 659-673, June.
    42. Òscar Jordà, 2013. "Assessing the Historical Role of Credit: Business Cycles, Financial Crises, and the Legacy of Charles S. Peirce," Working Paper Series 2013-19, Federal Reserve Bank of San Francisco.
    43. Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013. "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, vol. 176(1), pages 80-91.
    44. Simionescu, Mihaela & Cifuentes-Faura, Javier, 2022. "Can unemployment forecasts based on Google Trends help government design better policies? An investigation based on Spain and Portugal," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 1-21.
    45. Su, Jiun-Hua, 2021. "Model selection in utility-maximizing binary prediction," Journal of Econometrics, Elsevier, vol. 223(1), pages 96-124.
    46. Manganelli, Simone, 2025. "Statistical decision functions with judgment," Journal of Economic Theory, Elsevier, vol. 223(C).
    47. Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
    48. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    49. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
    50. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2016. "Non-linearities in financial bubbles: Theory and Bayesian evidence from S&P500," Journal of Financial Stability, Elsevier, vol. 24(C), pages 61-70.
    51. Janus, Thorsten & Riera-Crichton, Daniel, 2013. "International gross capital flows: New uses of balance of payments data and application to financial crises," Journal of Policy Modeling, Elsevier, vol. 35(1), pages 16-28.

  2. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 311-326, National Bureau of Economic Research, Inc.

    Cited by:

    1. Dammak, Wael & Frikha, Wajdi & Souissi, Mohamed Naceur, 2024. "Market turbulence and investor decision-making in currency option market," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).
    2. Luis Arango & Andres Gonzalez, 2001. "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 155-162.
    3. Luis Eduardo Arango, 1998. "Some Univariate Time Series Properties of Output," Borradores de Economia 100, Banco de la Republica de Colombia.
    4. Nguyen, Quoc Phu & Vo, Duc Hong, 2022. "Artificial intelligence and unemployment:An international evidence," Structural Change and Economic Dynamics, Elsevier, vol. 63(C), pages 40-55.
    5. Knotek, Edward S. & Zaman, Saeed, 2021. "Asymmetric responses of consumer spending to energy prices: A threshold VAR approach," Energy Economics, Elsevier, vol. 95(C).
    6. 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.
    7. Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
    8. Nath, Hiranya K., 2016. "A note on the cyclical behavior of sectoral employment in the U.S," Economic Analysis and Policy, Elsevier, vol. 50(C), pages 52-61.
    9. Donayre, Luiggi & Panovska, Irina, 2016. "State-dependent exchange rate pass-through behavior," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 170-195.
    10. Maximo Camacho & Gabriel Perez-Quiros, 2002. "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
    11. Luis Eduardo Arango & Fernando Arias & Luz Adriana Flórez, 2008. "Trends, Fluctuations, and Determinants of Commodity Prices," Borradores de Economia 521, Banco de la Republica de Colombia.
    12. Huh, Hyeon-seung, 2002. "GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries," Economics Letters, Elsevier, vol. 77(1), pages 93-99, September.
    13. Granger, Clive W. J. & Jeon, Yongil, 2003. "A time-distance criterion for evaluating forecasting models," International Journal of Forecasting, Elsevier, vol. 19(2), pages 199-215.
    14. Javed Ahmad Bhat & Sajad Ahmad Bhat & Waseem Ahmad Parray, 2025. "Nonlinearity in exchange rate pass-through across BRICS: Role of business cycle and inflation," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-32, February.
    15. Ubilava, David, 2014. "On the Relationship between Financial Instability and Economic Performance: Stressing the Business of Nonlinear Modelling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170222, Agricultural and Applied Economics Association.
    16. Luis Eduardo Arango & Luis Fernando Melo, 2001. "Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models," Borradores de Economia 2691, Banco de la Republica.
    17. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, March.
    18. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.
    19. Akdi, Yilmaz & Varlik, Serdar & Berument, M. Hakan, 2020. "Duration of Global Financial Cycles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    20. Apergis, Nicholas, 2015. "Financial portfolio choice: Do business cycle regimes matter? Panel evidence from international household surveys," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 14-27.
    21. Yýlmaz Akdi & Serdar Varlik & Hakan Berument, 2018. "Cycle Duration in Production with Periodicity – Evidence from Turkey," International Econometric Review (IER), Econometric Research Association, vol. 10(2), pages 24-32, September.

  3. Terasvirta, Timo & Tjostheim, Dag & W.J. Granger, Clive, 1986. "Aspects of modelling nonlinear time series," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 48, pages 2917-2957, Elsevier.

    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.
    2. Kourtellos, Andros & Stengos, Thanasis & Sun, Yiguo, 2022. "Endogeneity In Semiparametric Threshold Regression," Econometric Theory, Cambridge University Press, vol. 38(3), pages 562-595, June.
    3. 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.
    4. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei.
    5. Bruce E. Hansen, 1996. "Estimation of TAR Models," Boston College Working Papers in Economics 325., Boston College Department of Economics.

  4. Granger, C.W.J. & Watson, Mark W., 1984. "Time series and spectral methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 17, pages 979-1022, Elsevier.

    Cited by:

    1. Carstensen, Kai & Schenkelberg, Heike, 2011. "Time- or State-Dependence? An Analysis of Inflation Dynamics using German Business Survey Data," Discussion Papers in Economics 12170, University of Munich, Department of Economics.
    2. Mohammad Ahmed, 1992. "Pakistan's Exchange Rate Policy: An Econometric Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 31(1), pages 49-74.
    3. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "On the Typical Spectral Shape of an Economic Variable," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 10(7), pages 417-423.
    4. Daniel Levy & Hashem Dezhbakhsh, 2002. "International Evidence on Output Fluctuation and Shock Persistence," Working Papers 2002-17, Bar-Ilan University, Department of Economics.
    5. Medel, Carlos A., 2014. "The Typical Spectral Shape of an Economic Variable: A Visual Guide with 100 Examples," MPRA Paper 53584, University Library of Munich, Germany.
    6. Steel, Mark F. J. & Richard, Jean-Francois, 1991. "Bayesian multivariate exogeneity analysis : An application to a UK money demand equation," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 239-274.
    7. Pedro Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Post-Print hal-02482675, HAL.
    8. Bruno Eeckels & George Filis & Costas Leon, 2012. "Tourism Income and Economic Growth in Greece: Empirical Evidence from Their Cyclical Components," Tourism Economics, , vol. 18(4), pages 817-834, August.
    9. Carlos A. Medel, 2014. "The typical spectral shape of an economic variable: a visual guide," Applied Economics Letters, Taylor & Francis Journals, vol. 21(14), pages 1017-1024, September.
    10. Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany.

  5. Clive W. J. Granger, 1978. "Seasonality: Causation, Interpretation, and Implications," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 33-56, National Bureau of Economic Research, Inc.

    Cited by:

    1. E. Philip Howrey, 1980. "The Role of Time Series Analysis in Econometric Model Evaluation," NBER Chapters, in: Evaluation of Econometric Models, pages 275-307, National Bureau of Economic Research, Inc.
    2. Cholette, Pierre A., 1983. "La désaisonnalisation pour le non-spécialiste," L'Actualité Economique, Société Canadienne de Science Economique, vol. 59(1), pages 144-152, mars.
    3. Ghysels, Eric & Perron, Pierre, 1996. "The effect of linear filters on dynamic time series with structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 69-97, January.
    4. Massimiliano Giacalone & Raffaele Mattera & Eugenia Nissi, 2020. "Economic indicators forecasting in presence of seasonal patterns: time series revision and prediction accuracy," Quality & Quantity: International Journal of Methodology, Springer, vol. 54(1), pages 67-84, February.
    5. Langley, Suchada Vichitakul, 1982. "The formation of price expectations: a case study of the soybean market," ISU General Staff Papers 198201010800009358, Iowa State University, Department of Economics.
    6. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    7. Larson, Ronald B., 1997. "Food Consumption And Seasonality," Journal of Food Distribution Research, Food Distribution Research Society, vol. 28(2), pages 1-9, July.
    8. Alper C. Emre & Aruoba S. Boragan, 2004. "Moving Holidays and Seasonal Adjustment: The Case of Turkey," Review of Middle East Economics and Finance, De Gruyter, vol. 2(3), pages 44-50, December.

Books

  1. G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.

    Cited by:

    1. Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
    2. Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
    3. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
    4. Viet Hoang Dinh & Didier Nibbering & Benjamin Wong, 2024. "Random Subspace Local Projections," Papers 2406.01002, arXiv.org.
    5. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
    6. Manuel Lukas & Eric Hillebrand, 2014. "Bagging Weak Predictors," CREATES Research Papers 2014-01, Department of Economics and Business Economics, Aarhus University.
    7. Jannsen, Nils & Wolters, Maik H., 2016. "Zu Produktionspotenzial und Produktionslücke in den Vereinigten Staaten," Kiel Insight 2016.2, Kiel Institute for the World Economy (IfW Kiel).
    8. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016. "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 97-131, June.
    9. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    10. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    11. Klick, Larissa & Schaffner, Sandra, 2019. "FDZ data description: Regional real estate price indices for Germany (RWI-GEO-REDX) - Version 2: 2008-02/2019," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 202066.
    12. Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
    13. Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202212, University of Kansas, Department of Economics.
    14. Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
    15. Eguren-Martin, Fernando & O'Neill, Cian & Sokol, Andrej & von dem Berge, Lukas, 2024. "Capital flows-at-risk: Push, pull and the role of policy," Journal of International Money and Finance, Elsevier, vol. 147(C).
    16. Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
    17. Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
    18. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
    19. Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari, 2016. "Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries," Working Papers 201605, University of Pretoria, Department of Economics.
    20. Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020. "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers 202017, University of Pretoria, Department of Economics.
    21. Cipullo, Davide & Reslow, André, 2022. "Electoral Cycles in Macroeconomic Forecasts," Working Paper Series 415, Sveriges Riksbank (Central Bank of Sweden).
    22. Kraft, Holger & Munk, Claus & Weiss, Farina, 2019. "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 1-27.
    23. Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2014. "Are there Gains from Pooling Real-Time Oil Price Forecasts?," CEPR Discussion Papers 10075, C.E.P.R. Discussion Papers.
    24. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
    25. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    26. Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020. "What’s up with the Phillips Curve?," Working Paper Series 2435, European Central Bank.
    27. Magdalena Grothe & Aidan Meyler, 2018. "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 171-188, January.
    28. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
    29. Gholamreza Hajargasht & D.S. Prasada Rao, 2019. "Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness," CEPA Working Papers Series WP032019, School of Economics, University of Queensland, Australia.
    30. David S. Jacks & Martin Stuermer, 2016. "What drives commodity price booms and busts?," Working Papers 1614, Federal Reserve Bank of Dallas.
    31. Lima, Luiz Renato & Meng, Fanning & Godeiro, Lucas, 2020. "Quantile forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1149-1162.
    32. Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
    33. Afees A. Salisu & Umar B. Ndako, 2017. "A new look at the stock price-exchange rate nexus," Working Papers 031, Centre for Econometric and Allied Research, University of Ibadan.
    34. Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," ERSA Working Paper Series, Economic Research Southern Africa, vol. 0.
    35. Michele Loberto & Andrea Luciani & Marco Pangallo, 2020. "What do online listings tell us about the housing market?," Papers 2004.02706, arXiv.org.
    36. Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
    37. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016. "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1005-1025, September.
    38. Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
    39. Richard H. Clarida, 2019. "The Federal Reserve's Review of Its Monetary Policy Strategy, Tools, and Communication Practices : a speech the 2019 U.S. Monetary Policy Forum, sponsored by the Initiative on Global Markets at the Un," Speech 1038, Board of Governors of the Federal Reserve System (U.S.).
    40. Rossi, Barbara & Wang, Yiru, 2019. "Vector autoregressive-based Granger causality test in the presence of instabilities," MPRA Paper 101492, University Library of Munich, Germany.
    41. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    42. Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Business School.
    43. Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2017. "Forecasting the U.S. Real House Price Index," Papers 1707.04868, arXiv.org.
    44. Davide Ferrari & Francesco Ravazzolo & Joaquin Vespignani, 2021. "Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach," BEMPS - Bozen Economics & Management Paper Series BEMPS83, Faculty of Economics and Management at the Free University of Bozen.
    45. Lutz Kilian & Xiaoqing Zhou, 2020. "Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts," CESifo Working Paper Series 8516, CESifo.
    46. Michele Ca' Zorzi & Jakub Muck & Michal Rubaszek, 2015. "Real exchange rate forecasting and ppp: this time the random walk loses," Globalization Institute Working Papers 229, Federal Reserve Bank of Dallas.
    47. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    48. Janet L. Yellen, 2015. "Inflation Dynamics and Monetary Policy : A speech at the Philip Gamble Memorial Lecture, University of Massachusetts, Amherst, Amherst, Massachusetts, September 24, 2015," Speech 863, Board of Governors of the Federal Reserve System (U.S.).
    49. Tovonony Razafindrabe & Valérie Mignon & Marc Joëts, 2016. "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print hal-01667080, HAL.
    50. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
    51. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    52. Sungje Byun & Soojin Jo, 2015. "Heterogeneity in the Dynamic Effects of Uncertainty on Investment," Staff Working Papers 15-34, Bank of Canada.
    53. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
    54. Nonejad, Nima, 2021. "Predicting equity premium by conditioning on macroeconomic variables: A prediction selection strategy using the price of crude oil," Finance Research Letters, Elsevier, vol. 41(C).
    55. Mueller, Hannes & Rauh, Christopher, 2019. "The Hard Problem of Prediction for Conflict Prevention," CEPR Discussion Papers 13748, C.E.P.R. Discussion Papers.
    56. Rahul Deb & Mallesh M. Pai & Maher Said, 2017. "Evaluating Strategic Forecasters," Working Papers 17-02, New York University, Leonard N. Stern School of Business, Department of Economics.
    57. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    58. Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2020. "Online Appendix to "Output Gap, Monetary Policy Trade-offs, and Financial Frictions"," Online Appendices 20-29, Review of Economic Dynamics.
    59. Marcin Kolasa & Michal Rubaszek, 2016. "Does foreign sector help forecast domestic variables in DSGE models?," EcoMod2016 9393, EcoMod.
    60. Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2012. "Prediction Markets for Economic Forecasting," CESifo Working Paper Series 3884, CESifo.
    61. Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    62. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    63. Michael Dotsey & Shigeru Fujita & Tom Stark, 2011. "Do Phillips curves conditionally help to forecast inflation?," Working Papers 11-40, Federal Reserve Bank of Philadelphia.
    64. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
    65. Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni, 2015. "Nowcasting Indonesia," ADB Economics Working Paper Series 471, Asian Development Bank.
    66. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    67. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    68. Reslow, André, 2019. "Inefficient Use of Competitors’ Forecasts?," Working Paper Series 2019:9, Uppsala University, Department of Economics.
    69. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).
    70. Richard H. Clarida, 2019. "The Federal Reserve’s Review of Its Monetary Policy Strategy, Tools, and Communication Practices : A speech at \"New England Perspectives on Fed Policymaking: A 'Fed Listens' Conference\" ho," Speech 1063, Board of Governors of the Federal Reserve System (U.S.).
    71. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    72. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    73. Nikolaos Kourentzes & George Athanasopoulos, 2018. "Cross-temporal coherent forecasts for Australian tourism," Monash Econometrics and Business Statistics Working Papers 24/18, Monash University, Department of Econometrics and Business Statistics.
    74. Christian Glocker & Philipp Wegmüller, 2017. "Business Cycle Dating and Forecasting with Real-time Swiss GDP Data," WIFO Working Papers 542, WIFO.
    75. Baumeister, Christiane & Korobilis, Dimitris & Lee, Thomas K., 2020. "Energy Markets and Global Economic Conditions," CEPR Discussion Papers 14580, C.E.P.R. Discussion Papers.
    76. Igor L. Kheifets, 2015. "Specification tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
    77. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    78. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
    79. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    80. Graziano Moramarco, 2021. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," Papers 2111.00822, arXiv.org, revised Jan 2024.
    81. Shirai, Daichi, 2016. "Persistence and Amplification of Financial Frictions," MPRA Paper 72187, University Library of Munich, Germany.
    82. Kajal Lahiri & Liu Yang, 2018. "Confidence Bands for ROC Curves With Serially Dependent Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 115-130, January.
    83. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    84. Wieland, V. & Afanasyeva, E. & Kuete, M. & Yoo, J., 2016. "New Methods for Macro-Financial Model Comparison and Policy Analysis," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1241-1319, Elsevier.
    85. Tuhkuri, Joonas, 2016. "Forecasting Unemployment with Google Searches," ETLA Working Papers 35, The Research Institute of the Finnish Economy.
    86. Aleksandra Riedl & Julia Wörz, 2018. "A simple approach to nowcasting GDP growth in CESEE economies," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/18, pages 56-74.
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    27. Shamaila Butt & Suresh Ramakrishnan & Nanthakumar Loganathan & Muhammad Ali Chohan, 2020. "Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
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    29. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    30. Degui Li & Dag Tjøstheim & Jiti Gao, 2012. "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers 14/12, Monash University, Department of Econometrics and Business Statistics.
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    32. Eric Hillebrand & Marcelo C. Medeiros, 2012. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers 2012-30, Department of Economics and Business Economics, Aarhus University.
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    35. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
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    38. Giovanni Pellegrino, 2017. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series wp2017n06, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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    42. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
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    23. Marina Diakonova & Luis Molina & Hannes Mueller & Javier J. Pérez & Cristopher Rauh, 2022. "The information content of conflict, social unrest and policy uncertainty measures for macroeconomic forecasting," Working Papers 2232, Banco de España.
    24. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    25. Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, Department of Economics and Business Economics, Aarhus University.
    26. Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
    27. Kim, Hyun Hak & Swanson, Norman R., 2018. "Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods," International Journal of Forecasting, Elsevier, vol. 34(2), pages 339-354.
    28. Eckert, Florian & Hyndman, Rob J. & Panagiotelis, Anastasios, 2021. "Forecasting Swiss exports using Bayesian forecast reconciliation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 693-710.
    29. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    30. Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Center for Research in Economics and Statistics.
    31. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
    32. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
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    Cited by:

    1. Mastrangelo, Joao Paulo S. & Gori Maia, Alexandre, 2021. "Impacts of land tenure security on deforestation: evidence for the Amazon rainforest," 2021 Annual Meeting, August 1-3, Austin, Texas 313918, Agricultural and Applied Economics Association.
    2. Claudio Araujo & Catherine Araujo Bonjean & Jean-Louis Combes & Pascale Combes Motel & Eustaquio J. Reis, 2011. "Property rights and deforestation in the Brazilian Amazon," CERDI Working papers halshs-00556699, HAL.
    3. Wilder Robles, 2018. "Revisiting Agrarian Reform in Brazil, 1985–2016," Journal of Developing Societies, , vol. 34(1), pages 1-34, March.
    4. Thiemo Fetzer & Samuel Marden, 2016. "Take what you can: property rights, contestability and conflict," HiCN Working Papers 214, Households in Conflict Network.
    5. Felipe Figueiredo Silva & Lilyan E. Fulginiti & Richard K. Perrin & Marcelo Jose Braga, 2022. "The increasing opportunity cost of sequestering CO2 in the Brazilian Amazon forest," Empirical Economics, Springer, vol. 62(2), pages 439-460, February.
    6. Ariane Manuela Amin & Johanna Choumert & Jean-Louis Combes & Pascale Combes Motel & Eric Nazindigouba Kere & Jean-Galbert Ongono Olinga & Sonia Schwartz, 2015. "A spatial econometric approach to spillover effects between protected areas and deforestation in the Brazilian Amazon," CERDI Working papers halshs-00960476, HAL.
    7. Sébastien Marchand, 2011. "Technical Efficiency, Farm Size and Tropical Deforestation in the Brazilian Amazonian Forest," CERDI Working papers halshs-00552981, HAL.
    8. Sergio L. Franklin, Jr. & Robert S. Pindyck, 2017. "Tropical Forests, Tipping Points, and the Social Cost of Deforestation," NBER Working Papers 23272, National Bureau of Economic Research, Inc.
    9. Gregory S. Amacher & Erkki Koskela & Markku Ollikainen, 2004. "Deforestation, Production Intensity and Land Use under Insecure Property Rights," CESifo Working Paper Series 1128, CESifo.
    10. Andersen, Lykke E., 2014. "La economía del cambio climático en Bolivia: Impactos sobre la biodiversidad," Coediciones, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 39835 edited by Cepal, September.
    11. World Bank, 2007. "Republic of Peru - Environmental Sustainability : A Key to Poverty Reduction in Peru," World Bank Publications - Reports 7761, The World Bank Group.
    12. Marcelo Bentes Diniz & Ricardo Bruno Santos do Nascimento & Márcia Jucá Teixeira Diniz & Cláudio Castelo Branco Puty & Sérgio Luiz de Medeiros Rivero, 2007. "A Amazônia (Legal) Brasileira: Evidências De Uma Condição De Armadilha Da Pobreza?," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 090, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    13. Danilo Igliori, 2008. "Deforestation, Growth and Agglomeration Effects: Evidence from Agriculture in the Brazilian Amazon," Environmental Economy and Policy Research Working Papers 29.2008, University of Cambridge, Department of Land Economics, revised 2008.
    14. Giudice, Renzo & Börner, Jan, 2021. "Benefits and costs of incentive-based forest conservation in the Peruvian Amazon," Forest Policy and Economics, Elsevier, vol. 131(C).
    15. Juliano Assunção & Robert McMillan & Joshua Murphy & Eduardo Souza-Rodrigues, 2019. "Optimal Environmental Targeting in the Amazon Rainforest," NBER Working Papers 25636, National Bureau of Economic Research, Inc.
    16. Vera-Diaz, Maria del Carmen & Kaufmann, Robert K. & Nepstad, Daniel C. & Schlesinger, Peter, 2008. "An interdisciplinary model of soybean yield in the Amazon Basin: The climatic, edaphic, and economic determinants," Ecological Economics, Elsevier, vol. 65(2), pages 420-431, April.
    17. Claudio ARAUJO & Catherine ARAUJO BONJEAN & Jean-Louis COMBES & Pascale COMBES MOTEL & Eustaquio J. REIS, 2005. "Insécurité foncière et déforestation dans l'Amazonie brésilienne," Working Papers 200516, CERDI.
    18. Canchari Nadia Nora Urriola & Baral Pradeep & Wang Lanhui, 2018. "Local Contributions of Forests to Economic Growth of Peru: A Case of Pinus radiata Plantations," Economics, Sciendo, vol. 6(1), pages 17-31, June.
    19. Isabella Alcañiz & RicardoA. Gutierrez, 2020. "Between the Global Commodity Boom and Subnational State Capacities:Payment for Environmental Services to Fight Deforestation inArgentina," Global Environmental Politics, MIT Press, vol. 20(1), pages 38-59, February.
    20. Nicholas J Arisco & Cassio Peterka & Marcia C Castro, 2024. "Spatiotemporal analysis of within-country imported malaria in Brazilian municipalities, 2004–2022," PLOS Global Public Health, Public Library of Science, vol. 4(7), pages 1-17, July.
    21. Danilo Camargo Igliori, 2005. "Determinants Of Technical Efficiency In Agriculture And Cattle Ranching: A Spatial Analysis For The Brazilian Amazon," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 137, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    22. Saraly ANDRADE DE SA & Philippe DELACOTE & Eric Nazindigouba KERE, 2015. "Spatial Interactions in Tropical Deforestation: An application to the Brazilian Amazon," Working Papers 201503, CERDI.
    23. Granger, Clive W.J., 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series qt2nb9f668, Department of Economics, UC San Diego.
    24. Silva, Felipe & Fulginiti, Lilyan & Perrin, Richard, 2016. "Trade-off between amazon forest and agriculture in Brazil – shadow price and their substitution estimative for 2006," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235800, Agricultural and Applied Economics Association.
    25. Sergio Margulis, 2004. "Causes of Deforestation of the Brazilian Amazon," World Bank Publications - Books, The World Bank Group, number 15060, April.
    26. Andersen, Lykke & Busch, Jonah & Curran, Elizabeth & Ledezma, Juan Carlos & Mayorga, Joaquín & Ruiz, Pablo, 2014. "Impactos socioeconómicos y ambientales de compensaciones por la reducción de emisiones de deforestación en Bolivia: resultados del modelo OSIRIS-Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 22, pages 7-48, Noviembre.
    27. MacKenzie, Ian A. & Ohndorf, Markus & Palmer, Charles, 2010. "Enforcement-proof contracts with moral hazard in precaution: ensuring ‘permanence’ in carbon sequestration," LSE Research Online Documents on Economics 30846, London School of Economics and Political Science, LSE Library.
    28. Karpavicius, Luiza & Chimeli, Ariaster, 2023. "Forest Protection and Human Health: The Case of Malaria in the Brazilian Amazon," TD NEREUS 6-2023, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS).
    29. Barbier, Edward B., 2004. "Agricultural Expansion, Resource Booms and Growth in Latin America: Implications for Long-run Economic Development," World Development, Elsevier, vol. 32(1), pages 137-157, January.
    30. Andrade de Sá, Saraly & Palmer, Charles & di Falco, Salvatore, 2013. "Dynamics of indirect land-use change: Empirical evidence from Brazil," Journal of Environmental Economics and Management, Elsevier, vol. 65(3), pages 377-393.
    31. Claudio ARAUJO & Catherine ARAUJO BONJEAN & Jean-Louis COMBES & Pascale COMBES MOTEL & Eustaquio J. REIS, 2006. "Land tenure insecurity and deforestation in the Brazilian Amazonia," Working Papers 200615, CERDI.
    32. Claudio Araujo & Catherine Araujo Bonjean & Jean-Louis Combes & Pascale Combes Motel & Eustaquio J. Reis, 2011. "Does Land Tenure Insecurity Drive Deforestation in the Brazilian Amazon?," CERDI Working papers halshs-00553158, HAL.
    33. Sébastien MARCHAND & Alexandre SAUQUET & José Gustavo FERES, 2012. "Ecological Fiscal Incentives and Spatial Strategic Interactions: the Case of the ICMS-E in the Brazilian state of Paraná," Working Papers 201219, CERDI.
    34. Mann, Michael L. & Kaufmann, Robert K. & Bauer, Dana & Gopal, Sucharita & Vera-Diaz, Maria Del Carmen & Nepstad, Daniel & Merry, Frank & Kallay, Jennifer & Amacher, Gregory S., 2010. "The economics of cropland conversion in Amazonia: The importance of agricultural rent," Ecological Economics, Elsevier, vol. 69(7), pages 1503-1509, May.
    35. Genowefa Blundo-Canto & Gisella S. Cruz-Garcia & Elise F. Talsma & Wendy Francesconi & Ricardo Labarta & Jose Sanchez-Choy & Lisset Perez-Marulanda & Paula Paz-Garcia & Marcela Quintero, 2020. "Changes in food access by mestizo communities associated with deforestation and agrobiodiversity loss in Ucayali, Peruvian Amazon," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 12(3), pages 637-658, June.
    36. Andrea Chávez Michaelsen & Leticia Huamani Briceño & Ronny Fernandez Menis & Nemin Bejar Chura & Frank Valera Tito & Stephen Perz & I. Foster Brown & Sandro Domínguez Del Aguila & Raúl Pinedo Mora & G, 2013. "Regional Deforestation Trends within Local Realities: Land-Cover Change in Southeastern Peru 1996–2011," Land, MDPI, vol. 2(2), pages 1-27, April.
    37. Luiza M Karpavicius & Ariaster Chimeli, 2023. "Forest Protection and Human Health: The Case of Malaria in the Brazilian Amazon," Working Papers, Department of Economics 2023_08, University of São Paulo (FEA-USP), revised 26 Jul 2023.
    38. Lykke E. Andersen & Clive W. J. Granger, 2007. "Modeling Amazon deforestation for policy purposes: reconciling conservation priorities and human development," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 8(3), pages 201-210, September.
    39. Alexander Pfaff & Juan Robalino & Robert Walker & Steven Aldrich & Marcellus Caldas & Eustaquio Reis & Stephen Perz & Claudio Bohrer & Eugenio Arima & William Laurance & Kathryn Kirby, 2007. "Road Investments, Spatial Spillovers, And Deforestation In The Brazilian Amazon," Journal of Regional Science, Wiley Blackwell, vol. 47(1), pages 109-123, February.
    40. Matteo Coronese & Martina Occelli & Francesco Lamperti & Andrea Roventini, 2021. "AgriLOVE: agriculture, land-use and technical change in an evolutionary, agent-based model," LEM Papers Series 2021/35, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    41. Gardner, Toby A. & Ferreira, J. & Barlow, J. & Lees, A. C. & Parry, L. & Vieira, I. C. G. & Berenguer, E. & Abramovay, R. & Aleixo, A. & Andretti, C. & Aragao, L. E. O. C. & Araujo, I. & de Avila, W. , 2013. "A social and ecological assessment of tropical land uses at multiple scales: the Sustainable amazon network," LSE Research Online Documents on Economics 50120, London School of Economics and Political Science, LSE Library.
    42. Robert Walker, 2004. "Theorizing Land-Cover and Land-Use Change: The Case of Tropical Deforestation," International Regional Science Review, , vol. 27(3), pages 247-270, July.
    43. Demals, Thierry & Hyard, Alexandra, 2014. "Is Amartya Sen's sustainable freedom a broader vision of sustainability?," Ecological Economics, Elsevier, vol. 102(C), pages 33-38.
    44. da Silva, Jorge Hargrave Gonçalves & Kis-Katos, Krisztina, 2010. "Economic Causes of Deforestation in the Brazilian Amazon: A Panel Data Analysis for 2000s," Proceedings of the German Development Economics Conference, Hannover 2010 34, Verein für Socialpolitik, Research Committee Development Economics.
    45. Strand, Jon, 2017. "Modeling the marginal value of rainforest losses: A dynamic value function approach," Ecological Economics, Elsevier, vol. 131(C), pages 322-329.
    46. Sullivan, Karen & Deng, Xiangzheng & Huang, Jikun & Rozelle, Scott & Farnsworth, Helen F. & Gibson, John, 2010. "Reaching Far into the Woods: Impact of Roads on Forest Structure in China," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 271512, Agricultural and Applied Economics Association.
    47. Mastrangelo, João Paulo & Gori Maia, Alexandre, 2023. "Does land tenure security reduce deforestation? Evidence for the Brazilian Amazon," 97th Annual Conference, March 27-29, 2023, Warwick University, Coventry, UK 334335, Agricultural Economics Society - AES.
    48. Pfaff, Alexander & Robalino, Juan & Reis, Eustáquio J. & Walker, Robert & Perz, Stephen & Laurance, William & Bohrer, Claudio & Aldrich, Steven & Arima, Eugenio & Caldas, Marcellus & Kirby, Kathryn R., 2017. "Roads & SDGs, tradeoffs and synergies: learning from Brazil's Amazon in distinguishing frontiers," Economics Discussion Papers 2017-83, Kiel Institute for the World Economy (IfW Kiel).
    49. Araújo, Mayara Lucyanne Santos de & Sano, Edson Eyji & Bolfe, Édson Luis & Santos, Jessflan Rafael Nascimento & dos Santos, Juliana Sales & Silva, Fabrício Brito, 2019. "Spatiotemporal dynamics of soybean crop in the Matopiba region, Brazil (1990–2015)," Land Use Policy, Elsevier, vol. 80(C), pages 57-67.
    50. -, 2015. "La economía del cambio climático en América Latina y el Caribe: paradojas y desafíos del desarrollo sostenible," Libros y Documentos Institucionales, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 37310 edited by Cepal, September.
    51. González-Val, Rafael & Pueyo, Fernando, 2012. "Trade liberalisation and global-scale forest transition," MPRA Paper 36271, University Library of Munich, Germany.
    52. Weinhold, Diana & Killick, Evan & Reis, Eustaquio Jose, 2011. "Soybeans, Poverty and Inequality in the Brazilian Amazon," MPRA Paper 29647, University Library of Munich, Germany.
    53. Jorge Hargrave Gonçalves da Silva, 2011. "Economic Causes ofDeforestation in the Brazilian Amazon: an Empirical Analysis of the2000s," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 190, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    54. Bowman, Maria S., 2016. "Impact of foot-and-mouth disease status on deforestation in Brazilian Amazon and cerrado municipalities between 2000 and 2010," Journal of Environmental Economics and Management, Elsevier, vol. 75(C), pages 25-40.
    55. Silveira, Fabricio & Romero, João P. & Queiroz, Arthur & Freitas, Elton & Stein, Alexandre, 2025. "Economic complexity and deforestation in the Brazilian Amazon," World Development, Elsevier, vol. 185(C).
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    59. Rola, Agnes C. & Coxhead, Ian, 2003. "Economic Development and Environmental Management in the Uplands of Southeast Asia: Challenges for Policy and Institutional Development," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa: Plenary Sessions 245941, International Association of Agricultural Economists.
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    62. Sébastien Marchand, 2012. "The relationship between technical efficiency in agriculture and deforestation in the Brazilian Amazon," Post-Print halshs-00691481, HAL.
    63. Vera-Diaz, Maria del Carmen & Kaufmann, Robert K. & Nepstad, Daniel C., 2009. "The Environmental Impacts of Soybean Expansion and Infrastructure Development in Brazil’s Amazon Basin," Working Papers 179072, Tufts University, Global Development and Environment Institute.
    64. Silva, F.D.F. & Fulginiti, L. & Perrin, R., 2018. "Agricultural productivity and forest preservation in the Brazilian Amazon," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277167, International Association of Agricultural Economists.
    65. James D. Langston & Rebecca A. Riggs & Yazid Sururi & Terry Sunderland & Muhammad Munawir, 2017. "Estate Crops More Attractive than Community Forests in West Kalimantan, Indonesia," Land, MDPI, vol. 6(1), pages 1-14, February.
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    Cited by:

    1. Niguez, Trino-Manuel & Perote, Javier, 2004. "Forecasting the density of asset returns," LSE Research Online Documents on Economics 6845, London School of Economics and Political Science, LSE Library.
    2. Luisanna Onnis & Patrizio Tirelli, 2010. "Challenging the popular wisdom. New estimates of the unobserved economy," Working Papers 184, University of Milano-Bicocca, Department of Economics, revised Apr 2010.
    3. Dimitrios P Tsomocos & Gunnar Bardsen & Department of Economics & NTNUKjersti-Gro Lindquist & Norges Bank, 2006. "Evaluation of macroeconomic models for financial stability analysis," Economics Series Working Papers 2006-FE-01, University of Oxford, Department of Economics.
    4. Simplice A. Asongu & Jacinta C. Nwachukwu, 2017. "Quality of Growth Empirics: Comparative Gaps, Benchmarking and Policy Syndromes," Research Africa Network Working Papers 17/034, Research Africa Network (RAN).
    5. Shan (Victor) Jiang, "undated". "Immigration, Information, and Trade Margins," Working Papers 2007-16, Department of Economics, University of Calgary, revised 31 Oct 2007.
    6. Florian Knobloch & Hector Pollitt & Unnada Chewpreecha & Vassilis Daioglou & Jean-Francois Mercure, 2017. "Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C," Papers 1710.11019, arXiv.org, revised May 2018.
    7. Lall Ramrattan & Michael Szenberg, 2004. "The Sensitivity Analysis of the FHA Technique of Housing Market Analysis: The Effect of Ratios and Variables, and Their Perturbations on Family and Elderly Demand Estimates," The American Economist, Sage Publications, vol. 48(1), pages 61-88, March.
    8. Hsiang-Ke Chao, 2007. "A structure of the consumption function," Journal of Economic Methodology, Taylor & Francis Journals, vol. 14(2), pages 227-248.
    9. T. C. Mills & K. D. Patterson, 2015. "Modelling The Trend: The Historical Origins Of Some Modern Methods And Ideas," Journal of Economic Surveys, Wiley Blackwell, vol. 29(3), pages 527-548, July.
    10. Katherine O. Baer, 2013. "What International Experience Can Tell Us About the Potential Challenges of Administering a U.S. Vat," National Tax Journal, National Tax Association;National Tax Journal, vol. 66(2), pages 447-478, June.
    11. Asongu, Simplice, 2015. "Welfare Spending and Quality of Growth in Developing Countries: Evidence from Hopefuls, Contenders and Best Performers," MPRA Paper 68312, University Library of Munich, Germany.
    12. Michael Keane & Elena Capatina & Shiko Maruyama, 2019. "Health Shocks and the Evolution of Earnings over the Life-Cycle," Discussion Papers 2018-14a, School of Economics, The University of New South Wales.
    13. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    14. H. Sonmez Atesoglu & John Smithin, 2008. "Canadian monetary policy and the US federal funds rate," Applied Economics Letters, Taylor & Francis Journals, vol. 15(11), pages 899-904.
    15. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
    16. Bashlakova, Volga & Bashlakov, Henadzi, 2021. "The study of the shadow economy in modern conditions: Theory, methodology, practice," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 468-480.
    17. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
    18. Skrove Falch, Nina & Nymoen, Ragnar, 2011. "The accuracy of a forecast targeting central bank," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-36.
    19. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, AccessEcon, vol. 3(38), pages 1-17.
    20. Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017. "Robust Forecast Comparison," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
    21. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    22. G. Emmanuel Guindon & Paul Contoyannis, 2012. "A Second Look At Pharmaceutical Spending As Determinants Of Health Outcomes In Canada," Health Economics, John Wiley & Sons, Ltd., vol. 21(12), pages 1477-1495, December.
    23. David Hendry & Jennifer L. Castle, 2010. "Model Selection in Under-specified Equations Facing Breaks," Economics Series Working Papers 509, University of Oxford, Department of Economics.
    24. Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & D, 2013. "Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 15(1), pages 17-45.
    25. Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
    26. Feige, Edgar L., 2016. "Reflections on the meaning and measurement of Unobserved Economies: What do we really know about the "Shadow Economy"," MPRA Paper 69271, University Library of Munich, Germany, revised 01 Feb 2016.
    27. Luisanna Onnis & Patrizio Tirelli, 2011. "Institutions, policies and economic development. What are the causes of the shadow economy?," Working Papers 206, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    28. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502, Decembrie.
    29. Mohammad Hossien Pourkazemi & Mohammad Naser Sherafat & Delfan Azari, 2015. "Modeling Iran`s Underground Economy: A Fuzzy Logic Approach," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(1), pages 91-106, Winter.
    30. McCauley, Joseph L., 2004. "Making dynamic modelling effective in economics," MPRA Paper 2130, University Library of Munich, Germany.
    31. Evans, Edward A., 2003. "Bridging the Communication Gap Between Economists and Biological Scientists in the Management of Invasive Species," Monographs, University of Florida, International Agricultural Trade and Policy Center, number 15704, December.
    32. David Hendry, 2011. "Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 19-32.
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    4. J. S. Shonkwiler, 1992. "A Structural Time Series Model Of Nevada Gross Taxable Gaming Revenues," The Review of Regional Studies, Southern Regional Science Association, vol. 22(3), pages 239-249, Winter.

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