Clive W. J. Granger : Citation Profile


Deceased: 2009-05-27

54

H index

107

i10 index

36236

Citations

RESEARCH PRODUCTION:

147

Articles

56

Papers

12

Books

6

Chapters

EDITOR:

4

Books edited

2

Series edited

RESEARCH ACTIVITY:

   48 years (1961 - 2009). See details.
   Cites by year: 754
   Journals where Clive W. J. Granger has often published
   Relations with other researchers
   Recent citing documents: 2493.    Total self citations: 45 (0.12 %)

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   Permalink: http://citec.repec.org/pgr55
   Updated: 2023-01-28    RAS profile:    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Clive W. J. Granger.

Is cited by:

Gil-Alana, Luis (502)

GUPTA, RANGAN (354)

Shahbaz, Muhammad (290)

Caporale, Guglielmo Maria (194)

McAleer, Michael (147)

Masih, Abul (139)

Balcilar, Mehmet (121)

Franses, Philip Hans (117)

Nielsen, Morten (110)

Bahmani-Oskooee, Mohsen (103)

Swanson, Norman (102)

Cites to:

Engle, Robert (32)

Perron, Pierre (17)

Watson, Mark (16)

Bollerslev, Tim (15)

Stock, James (15)

Campbell, John (13)

Swanson, Norman (12)

Phillips, Peter (11)

Bai, Jushan (9)

Shiller, Robert (9)

Ghysels, Eric (9)

Main data


Where Clive W. J. Granger has published?


Journals with more than one article published# docs
Journal of Econometrics33
International Journal of Forecasting9
Journal of Business & Economic Statistics8
Journal of Time Series Analysis8
Oxford Bulletin of Economics and Statistics6
Econometrica5
Econometric Theory4
Journal of Applied Econometrics4
Naval Research Logistics Quarterly4
Macroeconomic Dynamics3
Journal of Economic Dynamics and Control3
Applied Financial Economics2
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics)2
Brazilian Review of Econometrics2
Economic Modelling2
Economic Journal2
The Economic Record2
Journal of Finance2
The Review of Economics and Statistics2
Annals of Economics and Statistics2
Annals of Economics and Finance2
Journal of Economic Literature2
Applied Economics2
Energy2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego15
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis2
Working Papers / Wilfrid Laurier University, Department of Economics2

Recent works citing Clive W. J. Granger (2022 and 2021)


YearTitle of citing document
2021Existence of Cointegration between the Public and Private Bank Index: Evidence from Indian Capital Market. (2021). Kumar, Sanjay ; Sahoo, Satyaban. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:152-172.

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2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13.

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2021Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14.

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2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

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2022Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia ????? ??????? ??? ??? ??????? ????? ????? ?????? ?????? ????. (2022). Saci, Karima. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55.

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2022Expectations, Economic Uncertainty, and Sentiment. (2022). de Medeiros, Douglas. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:5:1524.

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2021Financial Development, Human Capital Development and Climate Change in East and Southern Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/042.

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2021Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/059.

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2021Investment triggers inclusiveness in the Bolivian TELECOM Sector?. (2021). Mansilla Bustamante, Sergio ; Aliaga Lordemann, Francisco Javier. In: Development Research Working Paper Series. RePEc:adv:wpaper:202104.

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2021Foreign Direct Investment and poverty in Sub-Saharan African countries: the role of host absorptive capacity. (2021). Eita, Joel ; Biyase, Mduduzi ; Arogundade, Sodiq. In: Economic Development and Well-being Research Group Working Paper Series. RePEc:ady:wpaper:edwrg-04-2021.

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2021Prediction: The Long and the Short of It. (2021). Heyen, Daniel ; Millner, Antony. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:13:y:2021:i:1:p:374-98.

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2021Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis. (2021). Seia, Petr ; Lopez, Lorena Caridad ; Koutsky, Jaroslav ; Suchacek, Jan. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:23:y:2021:i:58:p:824.

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2021.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

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2021Financial Development, Human Capital Development and Climate Change in East and Southern Africa. (2021). Asongu, Simplice ; Shobande, Olatunji A. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/042.

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2021Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/059.

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2022The Critical Role of Education and ICT in Promoting Environmental Sustainability in Eastern and Southern Africa: A Panel VAR Approach. (2022). Shobande, Olatunji ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:22/006.

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2022Searching for Sustainable Footprints: Does ICT increase CO2 emissions?. (2022). Asongu, Simplice A ; Shobande, Olatunji A. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:22/062.

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2021The response of monetary policy to the COVID-19 pandemic in Turkey. The path of a credit-based economic recovery. (2021). Bulut, Umit. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:231-238.

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2022The impact of foreign direct investment on the economy of Bangladesh: A time-series analysis. (2022). Islam, Mohammed Saiful ; al Faisal, Mohammad Abdullah. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(630):y:2022:i:1(630):p:123-142.

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2021Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284.

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2022Linear and nonlinear effect of exchange rate on inflation in Pakistan. (2022). Munir, Kashif. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:165-174.

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2021The relationship between exchange rates, foreign trade and economic growth: An application on Turkey. (2021). Erilli, Necati Alp ; Alim, Idem. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:157-168.

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2021Multifactorial analysis of the price formation in the terms of a risk-free rate. (2021). Radu, Iulian ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:33-44.

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2021Effectiveness of monetary policy and interest rate pass-through in India since financial sector reforms. (2021). Kubendran, N. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:83-100.

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2022An econometric approach to analyse the perceived cartel behaviour of OPEC. (2022). Sharma, Apeksha ; Bishnoi, C R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:27-42.

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2021.

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2022.

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2021Determinants of Tax Revenue in Liberia: An Empirical Investigation. (2021). Kollie, Genesis B ; Prowd, Roosesvelt S. In: African Journal of Economic Review. RePEc:ags:afjecr:315790.

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2021Savings-Growth Nexus Revisited: An Empirical Analysis from Nigeria. (2021). Fatai, Musbau O ; Okunade, Solomon O ; Olayiwola, Abiodun S. In: African Journal of Economic Review. RePEc:ags:afjecr:315822.

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2021Fiscal Policy and Crime Rate in Nigeria. (2021). Ajide, Folorunsho. In: African Journal of Economic Review. RePEc:ags:afjecr:315827.

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2022Vertical Price Transmission in the Canadian Beef Industry: Does the Canada-US Exchange Rate Matter?. (2022). Anders, Sven ; Qiu, Feng ; Fan, Jiaping. In: Estey Centre Journal of International Law and Trade Policy. RePEc:ags:ecjilt:322778.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367.

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2022Neutralizing the Tentacles of Organized Crime. Assessment of an Anti-Crime Measure in Fighting Mafia Violence. (2022). Papagni, Erasmo ; Stimolo, Marco ; Baraldi, Anna Laura. In: FEEM Working Papers. RePEc:ags:feemwp:322775.

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2021.

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2021Vertikale Preisbeziehungen - Beziehungen zwischen Erzeuger- und Verbraucherpreisen. (2021). von Cramon-Taubadel, Stephan. In: IAMO Discussion Papers. RePEc:ags:iamodp:310088.

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2021Price transmission between international and domestic prices in the Brazilian citrus sector. (2021). Begum, Ismat Ara ; de Alcantara, Milla Reis ; Ospina, Marco Tulio ; Gomez, Miguel I ; Alam, Mohammad Jahangir. In: International Food and Agribusiness Management Review. RePEc:ags:ifaamr:320733.

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2022Price Asymmetry in International- Indonesian Markets of Skimmed Milk Powder. (2022). Amaliah, Syarifah ; Probokawuryan, Mutiara ; Aulia, Bilfan Nur ; Sahara, Sahara. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:321783.

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2021The increasing opportunity cost of sequestering CO2 in the Brazilian Amazon forest.. (2021). Perrin, R K ; De, F. In: Staff Papers. RePEc:ags:nbaesp:311049.

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2021Female Labour Force Participation in Saudi Arabia and its Determinants. (2021). Agboola, Mary Oluwatoyin. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:310288.

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2021The Effects of Economic Growth and Energy Consumption on Ecological Footprint And Carbon Emissions: Evidence From Turkey. (2021). Altinoz, Buket ; Ocal, Ouz ; Aslan, Alper. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:5:y:2021:i:3:p:667-681.

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2021The Effect of Uncertains in European Economic Policies on the BIST 100 Index. (2021). Yildirim, Hakan ; Akda, Saffet. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:6:y:2021:i:2:p:322-331.

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2021Analyzing the Impact of Interest Rate on Dry Bulk Freight Market with Time-Varying Causality Method. (2021). Baer, Sadik Ozlen ; Efes, Kamil Ozden ; Okutucu, Ozhan ; Aik, Abdullah. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:6:y:2021:i:2:p:403-417.

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2022Exploring the Nexus between Domestic Consumption of Milled Rice (DCM) and the Gross Domestic Product (GDP) of Bangladesh. (2022). Hassan, Md Khalid ; Rahman, Md Atiqur. In: International Journal of Science and Business. RePEc:aif:journl:v:17:y:2022:i:1:p:21-30.

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2021Long-run stability of money demand and monetary policy: the case of Algeria. (2021). Boucekkine, Raouf ; Laksaci, Mohammed ; Touati-Tliba, Mohamed. In: AMSE Working Papers. RePEc:aim:wpaimx:2104.

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2022A subdiffusive stochastic volatility jump model. (2022). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022001.

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2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2022.

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2021Nexus of Corruption Control and Economic Development in African Least Corrupt Countries. (2021). Riti, Joshua Sunday ; Gubak, Happy Daniel. In: Contemporary Research in Education and English Language Teaching. RePEc:ajp:jocrss:2021:p:1-10.

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2021Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:07-02.

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2022Political instability and economic growth in Nigeria. (2022). Zubair, Taofeek Bidemi ; Arowolo, Omobola Hannah ; Akinlo, Taiwo. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202209.

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2021The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market. (2021). Camoglu, Seval Mutlu. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:1:p:17-33.

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2021Economic and Monetary Integration in ECOWAS Countries: A Panel VAR Approach to Identify Macroeconomic Shocks. (2021). Diop, Ibrahima Thione ; Ndongo, Asta. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:61-87.

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2021.

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2021Environmental Impact of Economic Growth: Empirical Evidence from Pakistan. (2021). Shah, Salyha ; Ali, Salyha Zulfiqar ; Raza, Kashif ; Ayub, Muhammad ; Ditta, Allah. In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:3:y:2021:i:3:p:305-317.

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2021???? ?????????? ???????? ? ??????? (??)???????????? ? ??????????: ???????????? ?????? ? ???????? ?????????????????? ???????????? // Role of the Fiscal Policy in the Price (In) Stability in Kazakhstan:. (2021). Жузбаев Адам // Zhuzbayev Adam, ; Багжанов Бекжан // Bagzhanov Bekzhan, ; Тулеуов Олжас // Tuleuov Olzhas, . In: Working Papers. RePEc:aob:wpaper:20.

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2021Relationship between the Service Sector and Economic Growth: Evidence from China. (2021). Murselzade, Vusal ; Cavusoglu, Behiye. In: Asian Journal of Social Sciences and Management Studies. RePEc:aoj:ajssms:2021:p:15-22.

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2021“Detecting multiple level shifts in bounded time series”. (2021). Carrion-i-Silvestre, Josep ; Gadea, Maria Dolores. In: AQR Working Papers. RePEc:aqr:wpaper:202106.

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2021An Investigation into the Nexus Between Human Development and Carbon Dioxide Emissions? A Global Panel Analysis. (2021). Adom, Dsir A. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2021:p:155-162.

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2022Budget Deficit, Inflation and Economic Growth in Nigeria: An Empirical Analysis. (2022). Onwuka, Ifeanyi. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2022:p:1-14.

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2021.

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2022Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431.

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2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2022Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164.

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2021Distributional conformal prediction. (2019). Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1909.07889.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2021A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2021Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2021An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2021Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2021New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence. (2020). Skrobotov, Anton ; Pedersen, Rasmus ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01212.

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2021A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.05750.

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2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2021Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179.

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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2021Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2022Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975.

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2022The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2022Kernel Methods for Policy Evaluation: Treatment Effects, Mediation Analysis, and Off-Policy Planning. (2020). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2010.04855.

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2021Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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Clive W. J. Granger is editor of


Journal
Handbook of Economic Forecasting
Handbook of Economic Forecasting

Clive W. J. Granger has edited the books:


YearTitleTypeCited

Works by Clive W. J. Granger:


YearTitleTypeCited
1995Some Properties of Absolute Return: An Alternative Measure of Risk In: Annals of Economics and Statistics.
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article100
1999Spurious Stochastics in a Short Time-Series Panel Data In: Annals of Economics and Statistics.
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article2
2006Modeling Amazon Deforestation for Policy Purposes In: Development Research Working Paper Series.
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paper0
2004Time Series Analysis, Cointegration, and Applications In: American Economic Review.
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article47
2004Time Series Analysis, Cointegration, and Applications.(2004) In: University of California at San Diego, Economics Working Paper Series.
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2003Time Series Analysis, Cointegration, and Applications.(2003) In: Nobel Prize in Economics documents.
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This paper has another version. Agregated cites: 47
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1994A Review of Some Recent Textbooks of Econometrics. In: Journal of Economic Literature.
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article1
2003Forecasting Volatility in Financial Markets: A Review In: Journal of Economic Literature.
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article726
1993Testing for Common Features: Comment. In: Journal of Business & Economic Statistics.
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article1
1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
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article660
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
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This paper has another version. Agregated cites: 660
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? In: Journal of Business & Economic Statistics.
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article48
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?.(1995) In: CIRANO Working Papers.
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1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
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1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 48
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1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply. In: Journal of Business & Economic Statistics.
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article39
1998Real and Spurious Long-Memory Properties of Stock-Market Data: Comment. In: Journal of Business & Economic Statistics.
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article11
1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates. In: Journal of Business & Economic Statistics.
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article711
1998Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates.(1998) In: Staff General Research Papers Archive.
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This paper has another version. Agregated cites: 711
paper
1984Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment. In: Journal of Business & Economic Statistics.
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article1
1986Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment. In: Journal of Business & Economic Statistics.
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article4
2011The Evolution of the Phillips Curve: A Modern Time Series Viewpoint In: Economica.
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article11
19882 Some Comments on Econometric Methodology In: The Economic Record.
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article0
1993Strategies for Modelling Nonlinear Time?Series Relationships In: The Economic Record.
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article2
1967A Fresh Look at Wheat Prices and Markets in the Eighteenth Century In: Economic History Review.
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article10
1972The Gold Sovereign Market in Greece-An Unusual Speculative Market. In: Journal of Finance.
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article0
1975Some Consequences of the Valuation Model when Expectations Are Taken to Be Optimum Forecasts. In: Journal of Finance.
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article0
1961On the Price Consciousness of Consumers In: Journal of the Royal Statistical Society Series C.
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article27
1991NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES In: Journal of Time Series Analysis.
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article57
1993POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis.
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article62
1994USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS In: Journal of Time Series Analysis.
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article45
1980AN INTRODUCTION TO LONG?MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING In: Journal of Time Series Analysis.
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article812
2004A Dependence Metric for Possibly Nonlinear Processes In: Journal of Time Series Analysis.
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article73
2006Dynamics of Model Overfitting Measured in terms of Autoregressive Roots In: Journal of Time Series Analysis.
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article10
1982ACRONYMS IN TIME SERIES ANALYSIS (ATSA) In: Journal of Time Series Analysis.
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article2
1988MODELS THAT GENERATE TRENDS In: Journal of Time Series Analysis.
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article4
1986Developments in the Study of Cointegrated Economic Variables. In: Oxford Bulletin of Economics and Statistics.
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article777
1991Long Memory Series with Attractors. In: Oxford Bulletin of Economics and Statistics.
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article45
1996Future Developments in the Study of Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
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article24
1997Separation in Cointegrated Systems and Persistent-Transitory Decompositions. In: Oxford Bulletin of Economics and Statistics.
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article24
2003Time Series Concepts for Conditional Distributions* In: Oxford Bulletin of Economics and Statistics.
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article4
2005Preface: Some Thoughts on the Future of Forecasting In: Oxford Bulletin of Economics and Statistics.
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article1
1998Extracting information from mega?panels and high?frequency data In: Statistica Neerlandica.
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article18
1998Extracting Information from Mega-Panels and High-Frequency Data.(1998) In: University of California at San Diego, Economics Working Paper Series.
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paper
2002Aggregation of Space-Time Processes In: Boston College Working Papers in Economics.
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paper95
2001Aggregationn of Space-Time Processes.(2001) In: University of California at San Diego, Economics Working Paper Series.
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2004Aggregation of space-time processes.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 95
article
2011Consideration of Trends in Time Series In: Journal of Time Series Econometrics.
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article25
2008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? In: Studies in Nonlinear Dynamics & Econometrics.
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article116
1996A Decision_Theoretic Approach to Forecast Evaluation. In: Cambridge Working Papers in Economics.
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paper26
1999Economic and Statistical Measures of Forecast Accuracy In: Cambridge Working Papers in Economics.
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paper26
2000Properties of Nonlinear Transformations of Fractionally Integrated Processes In: University of California at San Diego, Economics Working Paper Series.
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paper41
2002Properties of nonlinear transformations of fractionally integrated processes.(2002) In: Journal of Econometrics.
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2000Properties of nonlinear transformations of fractionally integrated processes.(2000) In: Technical Reports.
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2002Structurally-Induced Volatility Clustering In: University of California at San Diego, Economics Working Paper Series.
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paper1
1999The Impact of the Use of Forecasts in Information Sets In: University of California at San Diego, Economics Working Paper Series.
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paper8
1999The impact of the use of forecasts in information sets.(1999) In: Research Notes.
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2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Fisheries Management Under Cyclical Population Dynamics In: University of California at San Diego, Economics Working Paper Series.
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paper12
2009Fisheries Management Under Cyclical Population Dynamics.(2009) In: Environmental & Resource Economics.
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1999Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk In: University of California at San Diego, Economics Working Paper Series.
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paper6
1999Occasional Structural Breaks and Long Memory In: University of California at San Diego, Economics Working Paper Series.
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paper91
2013Occasional Structural Breaks and Long Memory.(2013) In: Annals of Economics and Finance.
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This paper has another version. Agregated cites: 91
article
2001Self-Generating Variables in a Cointegrated VAR Framework In: University of California at San Diego, Economics Working Paper Series.
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paper6
1998Spurious Regressions with Stationary Series In: University of California at San Diego, Economics Working Paper Series.
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paper69
2001Spurious regressions with stationary series.(2001) In: Applied Economics.
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This paper has another version. Agregated cites: 69
article
1998A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu In: University of California at San Diego, Economics Working Paper Series.
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paper308
2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu.(2000) In: The Quarterly Review of Economics and Finance.
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This paper has another version. Agregated cites: 308
article
1998Introduction to M-M Processes In: University of California at San Diego, Economics Working Paper Series.
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paper1
2006Introduction to m-m processes.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 1
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2002Hidden Cointegration In: University of California at San Diego, Economics Working Paper Series.
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paper112
2002Hidden Cointegration.(2002) In: Royal Economic Society Annual Conference 2002.
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1997Seasonal Adjustment and Volatility Dynamics In: CIRANO Working Papers.
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paper3
2002Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers.
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paper131
2004Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 131
article
1992What are we learning about the long-run? In: UC3M Working papers. Economics.
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paper17
1993What Are We Learning about the Long-Run?.(1993) In: Economic Journal.
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article
1995Investigating the relationship between gold and silver prices In: DES - Working Papers. Statistics and Econometrics. WS.
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paper22
1998The correlogram of a long memory process plus a simple noise In: DES - Working Papers. Statistics and Econometrics. WS.
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paper5
2001On Model Approximation for Long-Memory Processes: A Cautionary Result In: Annals of Economics and Finance.
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article0
1999Empirical Modeling in Economics In: Cambridge Books.
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book72
1999Empirical Modeling in Economics.(1999) In: Cambridge Books.
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book
2001Essays in Econometrics Real Author-Name:Granger,Clive W. J. In: Cambridge Books.
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book0
2001Essays in Econometrics Real Author-Name:Granger,Clive W. J..(2001) In: Cambridge Books.
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book
2001Essays in Econometrics Real Author-Name:Granger,Clive W. J..(2001) In: Cambridge Books.
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book
2001Essays in Econometrics Real Author-Name:Granger,Clive W. J..(2001) In: Cambridge Books.
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book
2001Essays in Econometrics 2 Volume Paperback Set Real Author-Name:Granger,Clive W. J. In: Cambridge Books.
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book0
2002The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon In: Cambridge Books.
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book96
2005A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING In: Econometric Theory.
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article12
2009THE RESEARCH INTERESTS OF PAUL NEWBOLD In: Econometric Theory.
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article0
1987Predictive Consequences of Using Conditioning or Causal Variables In: Econometric Theory.
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article7
1987Implications of Aggregation with Common Factors In: Econometric Theory.
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article33
1999Judy Klein, Statistical Visions in Time: A History of Time Series Analysis, 1662–1938 (Cambridge, Cambridge University Press1997), pp.xix + 345. $64.95. ISBN 1-521-42-46-6. In: Journal of the History of Economic Thought.
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article0
1997REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY In: Macroeconomic Dynamics.
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article61
1997Regime Sensitive Cointegration with an Application to Interest rate Parity..(1997) In: Working Papers.
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paper
2001OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS In: Macroeconomic Dynamics.
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article16
2003FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS In: Macroeconomic Dynamics.
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article0
1997On Modelling the Long Run in Applied Economics. In: Economic Journal.
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article29
2004Causality: Some New Thoughts on an Old Topic In: Econometric Society 2004 Australasian Meetings.
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paper0
1969Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. In: Econometrica.
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article5319
1979Nearer-Normality and Some Econometric Models. In: Econometrica.
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article0
1980Advertising and Aggregate Consumption: An Analysis of Causality. In: Econometrica.
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article273
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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article9571
2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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This paper has another version. Agregated cites: 9571
article
1995Modelling Nonlinear Relationships between Extended-Memory Variables. In: Econometrica.
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article56
2000A Dependence Metric for Nonlinear Time Series In: Econometric Society World Congress 2000 Contributed Papers.
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paper0
1999Data mining with local model specification uncertainty: a discussion of Hoover and Perez In: Econometrics Journal.
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article10
1988Causality, cointegration, and control In: Journal of Economic Dynamics and Control.
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article178
1980Testing for causality : A personal viewpoint In: Journal of Economic Dynamics and Control.
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article402
1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
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article65
2004Thick modeling In: Economic Modelling.
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article79
2007Evaluation of global models In: Economic Modelling.
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article9
1984Time series and spectral methods in econometrics In: Handbook of Econometrics.
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chapter20
1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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chapter5
2006Forecasting and Decision Theory In: Handbook of Economic Forecasting.
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chapter54
1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
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article125
1998A simple nonlinear time series model with misleading linear properties.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 125
paper
2001Macroeconometrics - Past and future In: Journal of Econometrics.
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article8
1979Experience with using the Box-Cox transformation when forecasting economic time series In: Journal of Econometrics.
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article16
2003Some aspects of causal relationships In: Journal of Econometrics.
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article88
2005The past and future of empirical finance: some personal comments In: Journal of Econometrics.
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article12
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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article41
2006Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 In: Journal of Econometrics.
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article0
2006Structural attribution of observed volatility clustering In: Journal of Econometrics.
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article12
2007Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam In: Journal of Econometrics.
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article27
1980Long memory relationships and the aggregation of dynamic models In: Journal of Econometrics.
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article707
2010Some thoughts on the development of cointegration In: Journal of Econometrics.
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article32
2012Useful conclusions from surprising results In: Journal of Econometrics.
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article0
1981Some properties of time series data and their use in econometric model specification In: Journal of Econometrics.
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article902
1974Spurious regressions in econometrics In: Journal of Econometrics.
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article2004
1988Some recent development in a concept of causality In: Journal of Econometrics.
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article1132
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
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article76
1989Interval forecasting : An analysis based upon ARCH-quantile estimators In: Journal of Econometrics.
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article74
1990Reasonable extreme-bounds analysis In: Journal of Econometrics.
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article41
1988Reasonable extreme bounds analysis.(1988) In: Discussion Paper / Institute for Empirical Macroeconomics.
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This paper has another version. Agregated cites: 41
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1990Seasonal integration and cointegration In: Journal of Econometrics.
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article658
1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
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1988SEASONAL, INTEGRATION AND COINTEGRATION..(1988) In: Pennsylvania State - Department of Economics.
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1976The use of R2 to determine the appropriate transformation of regression variables In: Journal of Econometrics.
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article11
1992Fellows opinion: Evaluating economic theory In: Journal of Econometrics.
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article9
1993The Japanese consumption function In: Journal of Econometrics.
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article90
1993Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests In: Journal of Econometrics.
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article219
1993Some generalizations on the algebra of I(1) processes In: Journal of Econometrics.
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article23
1991Some Generalizations on the Algebra of I(1) Processes.(1991) In: Working Papers.
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1995Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence In: Journal of Econometrics.
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article47
1993Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence.(1993) In: Working Papers.
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This paper has another version. Agregated cites: 47
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1995Comments on testing economic theories and the use of model selection criteria In: Journal of Econometrics.
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article79
1996Modeling volatility persistence of speculative returns: A new approach In: Journal of Econometrics.
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article377
1996Varieties of long memory models In: Journal of Econometrics.
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article210
1997An introduction to stochastic unit-root processes In: Journal of Econometrics.
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article92
1996An introduction to stochastic Unit Root Processes..(1996) In: Pennsylvania State - Department of Economics.
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1997Nonlinear stochastic trends In: Journal of Econometrics.
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article15
1979Residential load curves and time-of-day pricing : An econometric analysis In: Journal of Econometrics.
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article8
2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns In: Journal of Empirical Finance.
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article466
1993A long memory property of stock market returns and a new model In: Journal of Empirical Finance.
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article1596
1989Trends in unit energy consumption: The performance of end-use models In: Energy.
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article0
1984The billing cycle and weather variables in models of electricity sales In: Energy.
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article3
1994The combination of forecasts using changing weights In: International Journal of Forecasting.
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article58
1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
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article99
2003A time-distance criterion for evaluating forecasting models In: International Journal of Forecasting.
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article4
2003Comparing forecasts of inflation using time distance In: International Journal of Forecasting.
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article10
2003Corrigendum to Comparing forecasts of inflation using time distance [International Journal of Forecasting 19 (2003) 339-349] In: International Journal of Forecasting.
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article0
2007Long-term forecasting and evaluation In: International Journal of Forecasting.
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article7
2009Comments on Forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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article1
1992Forecasting stock market prices: Lessons for forecasters In: International Journal of Forecasting.
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article37
1979Time series analysis of residuals from the St. Louis model In: Journal of Macroeconomics.
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article3
1992Comments on the evaluation of policy models In: Journal of Policy Modeling.
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article22
1991Comments on the evaluation of policy models.(1991) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 22
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1979Forecasting in Business and Economics In: Elsevier Monographs.
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book4
1986Forecasting Economic Time Series In: Elsevier Monographs.
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book540
1973On the properties of forecasts used in optimal economic policy decisions In: Journal of Public Economics.
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article4
1993Implications of seeing economic variables through an aggregation window In: Ricerche Economiche.
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article8
2001Comparing the methodologies used by statisticians and economists for research and modeling5 In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics).
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article0
2004Evaluating significance: comments on size matters In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics).
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article4
1978On the invertibility of time series models In: Stochastic Processes and their Applications.
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article22
2003Exchange rates and fundamentals - comments In: Proceedings.
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article0
1988The algebra of I (1) In: Finance and Economics Discussion Series.
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paper9
1988Aggregation of time series variables-a survey In: Discussion Paper / Institute for Empirical Macroeconomics.
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paper20
2001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets In: Econometrics Working Papers Archive.
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paper39
2002Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets.(2002) In: IMF Staff Papers.
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This paper has another version. Agregated cites: 39
article
1990TREASURY BI;; YIELD CURVES AND COINTEGRATION. In: Australian National University - Department of Economics.
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paper11
1995Further Developments in the Study of Cointegrated Variables. In: Pennsylvania State - Department of Economics.
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paper5
1994Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions. In: Pennsylvania State - Department of Economics.
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paper29
2003Interactions between large macro models and time series analysis In: International Journal of Finance & Economics.
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article6
1996Can We Improve the Perceived Quality of Economic Forecasts? In: Journal of Applied Econometrics.
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article102
2002Some comments on risk In: Journal of Applied Econometrics.
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article22
1989Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models. In: Journal of Applied Econometrics.
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article285
1992Using the Correlation Exponent to Decide whether an Economic Series is Chaotic. In: Journal of Applied Econometrics.
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article11
2008Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999). In: Journal of Forecasting.
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article5
1980Some Comments on the Role of Time-Series Analysis in Econometrics In: NBER Chapters.
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chapter0
1978Seasonality: Causation, Interpretation, and Implications In: NBER Chapters.
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chapter8
1993Modeling Nonlinearity over the Business Cycle In: NBER Chapters.
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chapter23
1993Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity In: NBER Working Papers.
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paper17
2005Modeling, Evaluation, and Methodology in the New Century In: Economic Inquiry.
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article5
2010Curriculum Vitae In: The Journal of Financial Econometrics.
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article0
1968Spectral Analysis of the Term Structure of Interest Rates In: Review of Economic Studies.
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article8
1993Modelling Non-Linear Economic Relationships In: OUP Catalogue.
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book417
2010Modelling Nonlinear Economic Time Series In: OUP Catalogue.
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book169
2007Management of supply chain: an alternative modelling technique for forecasting In: Journal of the Operational Research Society.
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article7
1998Women’s Jobs and Marriage: Baby-Boom versus Baby-Bust (Travail des Femmes et Mariage: du baby-boom au baby-bust) In: MPRA Paper.
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paper2
2003Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III In: Nobel Prize in Economics documents.
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paper0
2004Autobiography In: Nobel Prize in Economics documents.
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paper0
1996Introducing Non-Linearity Into Cointegration In: Brazilian Review of Econometrics.
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article9
1997A Random Coefficient Var Transition Model of the Changes in Land Use in the Brazilian Amazon In: Brazilian Review of Econometrics.
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