Clive W. J. Granger : Citation Profile


Deceased: 2009-05-27

50

H index

97

i10 index

28189

Citations

RESEARCH PRODUCTION:

147

Articles

57

Papers

13

Books

6

Chapters

EDITOR:

4

Books edited

2

Series edited

RESEARCH ACTIVITY:

   48 years (1961 - 2009). See details.
   Cites by year: 587
   Journals where Clive W. J. Granger has often published
   Relations with other researchers
   Recent citing documents: 1773.    Total self citations: 43 (0.15 %)

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   Permalink: http://citec.repec.org/pgr55
   Updated: 2021-09-11    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 (431)

Shahbaz, Muhammad (249)

GUPTA, RANGAN (215)

Caporale, Guglielmo Maria (163)

McAleer, Michael (158)

Masih, Abul (105)

Franses, Philip Hans (92)

Balcilar, Mehmet (89)

Chang, Chia-Lin (82)

Bahmani-Oskooee, Mohsen (80)

Swanson, Norman (78)

Cites to:

Engle, Robert (28)

Perron, Pierre (17)

Watson, Mark (15)

Stock, James (15)

Bollerslev, Tim (13)

Swanson, Norman (11)

Phillips, Peter (10)

Campbell, John (10)

Bai, Jushan (9)

Diebold, Francis (8)

Ghysels, Eric (8)

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
Naval Research Logistics Quarterly4
Econometric Theory4
Journal of Applied Econometrics4
Macroeconomic Dynamics3
Journal of Economic Dynamics and Control3
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics)2
Annals of Economics and Statistics2
Annals of Economics and Finance2
Brazilian Review of Econometrics2
Journal of Empirical Finance2
Journal of Finance2
The Review of Economics and Statistics2
Economic Journal2
The Economic Record2
Economic Modelling2
Journal of Economic Literature2
Applied Economics2
Applied Financial Economics2
Energy2

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
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis2
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2
Working Papers / Wilfrid Laurier University, Department of Economics2

Recent works citing Clive W. J. Granger (2021 and 2020)


YearTitle of citing document
2020Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory. (2020). Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2020-05.

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2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

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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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2020Estimation of Consumption Function for Developing Economies: China, Turkey, Vietnam and Bangladesh. (2020). Khan, Khalid ; Wotto, Marguerite ; Liaqat, Saima. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:1-11.

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2020Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/010.

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2020Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus ; Nathaniel, Solomon P. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/013.

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2020Leveraging Foreign Direct Investment for Sustainability: An Approach to Sustainable Human Development in Nigeria. (2020). Osinubi, Tolulope ; Fagbemi, Fisayo. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/090.

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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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2020Economic impacts of mobile broadband innovation: Evidence from the transition to 4G. (2020). Kulick, Robert ; Eisenach, Jeffrey . In: AEI Economics Working Papers. RePEc:aei:rpaper:1008568416.

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2020Technological novelty and productivity growth: a cliometric approach. (2020). Plunket, Anne ; Epicoco, Marianna ; Jaoul-Grammare, Magali. In: Working Papers. RePEc:afc:wpaper:04-20.

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2020Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests. (2020). Nathaniel, Solomon P ; Ali, Hamisu S ; Sarkodie, Samuel A ; Bekun, Festus V ; Uzuner, Gizem. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/010.

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2020Electricity Consumption, Urbanization and Economic Growth in Nigeria: New Insights from Combined Cointegration amidst Structural Breaks. (2020). Bekun, Festus V ; Nathaniel, Solomon P. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/013.

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2020Leveraging Foreign Direct Investment for Sustainability: An Approach to Sustainable Human Development in Nigeria. (2020). Osinubi, Tolulope ; Fagbemi, Fisayo. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/090.

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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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2020Not a long ago, the agriculture sector was the main pillar of any economy in the world. It not only provides food production, but it participates to the expansion of the economic growth as well. In th. (2020). Sari Hassoun, Salaheddine ; Sebbane, Asma Hadjira ; Adda, Khayereddine Salim ; Sahed, Abdelkader . In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:301-324.

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2020Foreign trade policy and economic growth: Indian evidence. (2020). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:107-126.

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2020Testing Wagner’s Law for sub-Saharan Africa: A panel cointegration and causality approach. (2020). Jobarteh, Mustapha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:125-136.

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2020Quantifying consumers’ love for marine biodiversity. (2020). Bronmann, Julia ; Lancker, Kira. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304214.

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2020The Impacts of African Swine Fever on Vertical and Spatial Hog Pricing and Market Integration in China. (2020). Chavas, Jean-Paul ; Li, Jian. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304516.

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2020Money and Output in Tanzania: A Test for Causality. (2020). , Michael ; Maganya, Mnaku H. In: African Journal of Economic Review. RePEc:ags:afjecr:304714.

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2020Determinants of Economic Growth in ECOWAS Countries: An Empirical Investigation. (2020). Sissoko, Yaya ; Sloboda, Brian W. In: African Journal of Economic Review. RePEc:ags:afjecr:304715.

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2020Export-Led Growth Hypothesis in ECOWAS: A Panel Data Analysis. (2020). Kollie, Genesis B. In: African Journal of Economic Review. RePEc:ags:afjecr:304725.

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2020LIVESTOCK MARKET INTEGRATION AND PRICE DYNAMICS IN THE UNITED STATES. (2020). Palash, Salauddin M ; Monayem, M A ; Akter, Morsalina ; Rahman, Kazi Tamim. In: Bangladesh Journal of Agricultural Economics. RePEc:ags:bdbjaf:304092.

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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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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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2020The Impact of the Real Effective Exchange Rate on Poland’s Food and Live Animal Exports. (2020). Parliska, Agnieszka ; Tokta, Yilmaz. In: Problems of World Agriculture / Problemy Rolnictwa ?wiatowego. RePEc:ags:polpwa:308625.

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2020The Effects of Economic Growth and Energy Consumption on Ecological Footprint And Carbon Emissions: Evidence From Turkey. (2020). ÖCAL, Oğuz ; Aslan, Alper ; Altinoz, Buket ; Ocal, Ouz. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:5:y:2020:i:3:p:667-681.

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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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2020Investigating the relationships between stock exchanges’ total trade and total value in Bangladesh. (2020). Sharif, Md Azmir ; Ahammad, Shaikh Mostak . In: International Journal of Science and Business. RePEc:aif:journl:v:4:y:2020:i:10:p:88-98.

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2020The Location Determinants of FDI in Sudan. Time Series – Empirical Analysis From 1980-2018. (2020). Madit, Peter Kuot. In: International Journal of Science and Business. RePEc:aif:journl:v:4:y:2020:i:7:p:26-45.

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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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2020Causality in econometric modeling. From theory to structural causal modeling. (2020). Wunsch, Guillaume ; Orsi, Renzo ; Mouchart, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020021.

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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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2020Determinants of Savings Behavior in Pakistan: An Empirical Evaluation Employing the ARDL Approach. (2020). Siddiqi, Masood Mashkoor. In: Contemporary Research in Education and English Language Teaching. RePEc:ajp:jocrss:2020:p:1-7.

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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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2020THE INTER-RELATIONS BETWEEN CHINESE HOUSING MARKET, STOCK MARKET AND CONSUMPTION MARKET. (2020). Liu, Yang. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202051.

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2020DOES PRIVATE SAVING OFFSET PUBLIC SAVING IN PAKISTAN AN EMPRICAL EVIDENCE. (2020). Khan, Aamir ; Javed, Asif ; Ali, Wajid. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202066.

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2020THE IMPACT OF FDI AND EXCHANGE RATE ON GDP IN MENA COUNTRIES : EVIDENCE FROM THE PANEL APPROACH. (2020). Djaballah, Mustapha. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202073.

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2020Is Tourism a Key Factor for Economic Growth? Fresh Evidence from South Europe Using Panel Cointegration and PVAR Analyses. (2020). Kostakis, Ioannis. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:123-138.

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2020Impact of Public Debt, Deficit and Debt Financing on Private Investment in a Large Country: Evidence from the United States. (2020). Kia, Amir. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:139-161.

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2020Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?. (2020). Acar, Elif Oznur ; Ozsuca, Ekin Ayse. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:2:p:169-176.

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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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2020LONG SWINGS IN THE GROWTH OF GOVERNMENT EXPENDITURE: AN INTERNATIONAL HISTORICAL PERSPECTIVE. (2020). Tamberi, Massimo ; Gallegati, Marco. In: Working Papers. RePEc:anc:wpaper:447.

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2020Factors Affecting Economic Growth: A Comparative Analysis of Democratic and Non-Democratic Eras of Pakistan. (2020). Khan, Farman Ullah ; Urooj, Amena . In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:2:y:2020:i:2:p:61-71.

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2020Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey. (2020). UNVAN, Yuksel Akay . In: Alphanumeric Journal. RePEc:anm:alpnmr:v:8:y:2020:i:1:p:29-42.

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2020The Impact Population Growth on Disaggregate Energy Generation Source from (Hydro Power, Natural Gas, Oil and Coal Source) in Nigeria. (2020). Yusuf, Ayatu ; Bala, Umar ; Maijama, Rabiu. In: Asian Bulletin of Energy Economics and Technology. RePEc:aoj:abeeat:2018:p:1-8.

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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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2020Assessing the Stability of Money Demand Function in Saudi Arabia. (2020). Al Rasasi, Moayad. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2020:p:22-28.

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2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2020Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2020Forecasting the US GDP Components in the short run. (2019). Celov, Dmitrij ; Jokubaitis, Saulius. In: Papers. RePEc:arx:papers:1906.07992.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2021Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164.

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2020Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2020Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2020A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Prediction in locally stationary time series. (2020). Wu, Weichi ; Dette, Holger. In: Papers. RePEc:arx:papers:2001.00419.

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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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2020Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis. (2020). Berger-Wolf, Tanya ; Zheleva, Elena ; Amornbunchornvej, Chainarong. In: Papers. RePEc:arx:papers:2002.00208.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020Unit-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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2020Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

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2020Fractional trends in unobserved components models. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.03988.

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2020Pairs Trading with Nonlinear and Non-Gaussian State Space Models. (2020). Zhang, Guang. In: Papers. RePEc:arx:papers:2005.09794.

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2020Macroeconomic factors for inflation in Argentine 2013-2019. (2020). Galvan, Manuel Lopez. In: Papers. RePEc:arx:papers:2005.11455.

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2020New 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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2020Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Manifold Feature Index: A novel index based on high-dimensional data simplification. (2020). Lin, Hongwei ; Xu, Chenkai ; Fang, Xuansu. In: Papers. RePEc:arx:papers:2006.11119.

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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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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020The impact of life-saving interventions on fertility. (2020). Roodman, David. In: Papers. RePEc:arx:papers:2007.11388.

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2020Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate. (2020). Magdziarz, Marcin Marcin ; Shokrollahi, Foad . In: Papers. RePEc:arx:papers:2007.12228.

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2020Economic Reality, Economic Media and Individuals Expectations. (2020). Persson, Kristoffer. In: Papers. RePEc:arx:papers:2007.13823.

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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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2020Long 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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2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020The 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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2020An AI approach to measuring financial risk. (2020). Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: Papers. RePEc:arx:papers:2009.13222.

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2021Kernel 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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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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More than 100 citations found, this list is not complete...

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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article69
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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article31
2004Time Series Analysis, Cointegration, and Applications.(2004) In: University of California at San Diego, Economics Working Paper Series.
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paper
2003Time Series Analysis, Cointegration, and Applications.(2003) In: Nobel Prize in Economics documents.
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This paper has another version. Agregated cites: 31
paper
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.
[Full Text][Citation analysis]
article649
1993Testing for Common Features: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
1995Estimation of Common Long-Memory Components in Cointegrated Systems. In: Journal of Business & Economic Statistics.
[Citation analysis]
article592
1992Estimation of Common Long-Memory Components in Cointegrated Systems..(1992) In: Boston University - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 592
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? In: Journal of Business & Economic Statistics.
[Citation analysis]
article36
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?.(1995) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 36
paper
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
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paper
1995Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 36
paper
1996Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article17
1998Real and Spurious Long-Memory Properties of Stock-Market Data: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article9
1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates. In: Journal of Business & Economic Statistics.
[Citation analysis]
article571
1998Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates.(1998) In: Staff General Research Papers Archive.
[Citation analysis]
This paper has another version. Agregated cites: 571
paper
1984Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
1986Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article4
2011The Evolution of the Phillips Curve: A Modern Time Series Viewpoint In: Economica.
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article7
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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article0
1967A Fresh Look at Wheat Prices and Markets in the Eighteenth Century In: Economic History Review.
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article4
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.
[Full Text][Citation analysis]
article8
1991NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES In: Journal of Time Series Analysis.
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article7
1993POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis.
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article10
1994USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS In: Journal of Time Series Analysis.
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article7
1980AN INTRODUCTION TO LONG?MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING In: Journal of Time Series Analysis.
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article177
2004A Dependence Metric for Possibly Nonlinear Processes In: Journal of Time Series Analysis.
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article71
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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article1
1988MODELS THAT GENERATE TRENDS In: Journal of Time Series Analysis.
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article2
1986Developments in the Study of Cointegrated Economic Variables. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article682
1991Long Memory Series with Attractors. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article40
1996Future Developments in the Study of Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article20
1997Separation in Cointegrated Systems and Persistent-Transitory Decompositions. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article23
2003Time Series Concepts for Conditional Distributions* In: Oxford Bulletin of Economics and Statistics.
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article5
2005Preface: Some Thoughts on the Future of Forecasting In: Oxford Bulletin of Economics and Statistics.
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article0
1998Extracting information from mega?panels and high?frequency data In: Statistica Neerlandica.
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article13
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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This paper has another version. Agregated cites: 13
paper
2002Aggregation of Space-Time Processes In: Boston College Working Papers in Economics.
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paper89
2001Aggregationn of Space-Time Processes.(2001) In: University of California at San Diego, Economics Working Paper Series.
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paper
2004Aggregation of space-time processes.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 89
article
2011Consideration of Trends in Time Series In: Journal of Time Series Econometrics.
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article18
2008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? In: Studies in Nonlinear Dynamics & Econometrics.
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article41
1996A Decision_Theoretic Approach to Forecast Evaluation. In: Cambridge Working Papers in Economics.
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paper25
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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paper37
2002Properties of nonlinear transformations of fractionally integrated processes.(2002) In: Journal of Econometrics.
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article
2000Properties of nonlinear transformations of fractionally integrated processes.(2000) In: Technical Reports.
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paper
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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This paper has another version. Agregated cites: 8
paper
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.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Fisheries Management Under Cyclical Population Dynamics In: University of California at San Diego, Economics Working Paper Series.
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paper8
2009Fisheries Management Under Cyclical Population Dynamics.(2009) In: Environmental & Resource Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
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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paper5
1999Occasional Structural Breaks and Long Memory In: University of California at San Diego, Economics Working Paper Series.
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paper76
2013Occasional Structural Breaks and Long Memory.(2013) In: Annals of Economics and Finance.
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This paper has another version. Agregated cites: 76
article
2001Self-Generating Variables in a Cointegrated VAR Framework In: University of California at San Diego, Economics Working Paper Series.
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paper5
1998Spurious Regressions with Stationary Series In: University of California at San Diego, Economics Working Paper Series.
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paper60
2001Spurious regressions with stationary series.(2001) In: Applied Economics.
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This paper has another version. Agregated cites: 60
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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paper206
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: 206
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
article
2002Hidden Cointegration In: University of California at San Diego, Economics Working Paper Series.
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paper90
2002Hidden Cointegration.(2002) In: Royal Economic Society Annual Conference 2002.
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This paper has another version. Agregated cites: 90
paper
1997Seasonal Adjustment and Volatility Dynamics In: CIRANO Working Papers.
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paper2
2002Efficient Market Hypothesis and Forecasting In: CEPR Discussion Papers.
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paper113
2004Efficient market hypothesis and forecasting.(2004) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 113
article
1992What are we learning about the long-run? In: UC3M Working papers. Economics.
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paper14
1993What Are We Learning about the Long-Run?.(1993) In: Economic Journal.
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This paper has another version. Agregated cites: 14
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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book26
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.
[Citation analysis]
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book
2001Essays in Econometrics Real Author-Name:Granger,Clive W. J..(2001) In: Cambridge Books.
[Citation analysis]
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book
2001Essays in Econometrics Real Author-Name:Granger,Clive W. J..(2001) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 0
book
2001Essays in Econometrics 2 Volume Paperback Set Real Author-Name:Granger,Clive W. J. In: Cambridge Books.
[Citation analysis]
book0
2001Essays in Econometrics 2 Volume Hardback Set Real Author-Name:Granger,Clive W. J. In: Cambridge Books.
[Citation analysis]
book0
2002The Dynamics of Deforestation and Economic Growth in the Brazilian Amazon In: Cambridge Books.
[Citation analysis]
book83
2005A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING In: Econometric Theory.
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article11
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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article29
1999Judy Klein, Statistical Visions in Time: A History of Time Series Analysis, 1662–1938 (Cambridge, Cambridge University Press 1997), 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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article57
1997Regime Sensitive Cointegration with an Application to Interest rate Parity..(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 57
paper
2001OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS In: Macroeconomic Dynamics.
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article11
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.
[Full Text][Citation analysis]
article27
2004Causality: Some New Thoughts on an Old Topic In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
1969Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. In: Econometrica.
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article4280
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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article260
1987Co-integration and Error Correction: Representation, Estimation, and Testing. In: Econometrica.
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article8076
2015Co-integration and error correction: Representation, estimation, and testing.(2015) In: Applied Econometrics.
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This paper has another version. Agregated cites: 8076
article
1995Modelling Nonlinear Relationships between Extended-Memory Variables. In: Econometrica.
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article55
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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article7
1988Causality, cointegration, and control In: Journal of Economic Dynamics and Control.
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article132
1980Testing for causality : A personal viewpoint In: Journal of Economic Dynamics and Control.
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article333
1984Combining competing forecasts of inflation using a bivariate arch model In: Journal of Economic Dynamics and Control.
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article54
2004Thick modeling In: Economic Modelling.
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article79
2007Evaluation of global models In: Economic Modelling.
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article8
1984Time series and spectral methods in econometrics In: Handbook of Econometrics.
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chapter12
1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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chapter4
2006Forecasting and Decision Theory In: Handbook of Economic Forecasting.
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chapter25
1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
[Full Text][Citation analysis]
article117
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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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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article13
2003Some aspects of causal relationships In: Journal of Econometrics.
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article80
2005The past and future of empirical finance: some personal comments In: Journal of Econometrics.
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article11
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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article43
2003Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers.
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paper
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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article22
1980Long memory relationships and the aggregation of dynamic models In: Journal of Econometrics.
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article666
2010Some thoughts on the development of cointegration In: Journal of Econometrics.
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article29
2012Useful conclusions from surprising results In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1981Some properties of time series data and their use in econometric model specification In: Journal of Econometrics.
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article777
1974Spurious regressions in econometrics In: Journal of Econometrics.
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article1762
1988Some recent development in a concept of causality In: Journal of Econometrics.
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article1031
1989Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]
article66
1989Interval forecasting : An analysis based upon ARCH-quantile estimators In: Journal of Econometrics.
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article71
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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1990Seasonal integration and cointegration In: Journal of Econometrics.
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article615
1988SEASONAL INTEGRATION AND COINTEGRATION.(1988) In: Pennsylvania State - Department of Economics.
[Citation analysis]
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1988SEASONAL, INTEGRATION AND COINTEGRATION..(1988) In: Pennsylvania State - Department of Economics.
[Citation analysis]
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paper
1976The use of R2 to determine the appropriate transformation of regression variables In: Journal of Econometrics.
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article9
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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article54
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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article179
1993Some generalizations on the algebra of I(1) processes In: Journal of Econometrics.
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article20
1991Some Generalizations on the Algebra of I(1) Processes.(1991) In: Working Papers.
[Citation analysis]
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1995Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence In: Journal of Econometrics.
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article46
1993Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence.(1993) In: Working Papers.
[Citation analysis]
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1995Comments on testing economic theories and the use of model selection criteria In: Journal of Econometrics.
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article74
1996Modeling volatility persistence of speculative returns: A new approach In: Journal of Econometrics.
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article345
1996Varieties of long memory models In: Journal of Econometrics.
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article196
1997An introduction to stochastic unit-root processes In: Journal of Econometrics.
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article83
1996An introduction to stochastic Unit Root Processes..(1996) In: Pennsylvania State - Department of Economics.
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paper
1997Nonlinear stochastic trends In: Journal of Econometrics.
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article13
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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article312
1993A long memory property of stock market returns and a new model In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1391
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.
[Full Text][Citation analysis]
article55
1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
[Full Text][Citation analysis]
article95
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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article5
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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article36
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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article19
1991Comments on the evaluation of policy models.(1991) In: International Finance Discussion Papers.
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1979Forecasting in Business and Economics In: Elsevier Monographs.
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book0
1986Forecasting Economic Time Series In: Elsevier Monographs.
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book482
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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2003Exchange rates and fundamentals - comments In: Proceedings.
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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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paper18
2001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets In: Econometrics Working Papers Archive.
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paper36
2002Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets.(2002) In: IMF Staff Papers.
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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.
[Citation analysis]
paper30
2003Interactions between large macro models and time series analysis In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article6
1996Can We Improve the Perceived Quality of Economic Forecasts? In: Journal of Applied Econometrics.
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article91
2002Some comments on risk In: Journal of Applied Econometrics.
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article20
1989Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article177
1992Using the Correlation Exponent to Decide whether an Economic Series is Chaotic. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article9
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.
[Full Text][Citation analysis]
article5
1980Some Comments on the Role of Time-Series Analysis in Econometrics In: NBER Chapters.
[Full Text][Citation analysis]
chapter0
1978Seasonality: Causation, Interpretation, and Implications In: NBER Chapters.
[Full Text][Citation analysis]
chapter1
1993Modeling Nonlinearity over the Business Cycle In: NBER Chapters.
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