百晓学者学者目录

Clive W. J. Granger

University of California San Diego

个人简介

Clive W. J. Granger 任职于加州大学圣地亚哥分校经济系，研究领域为经济学、计量经济学与金融学、决策科学。其工作涉及不同频率时间序列的联结、长期预测与评估、波动率聚集的结构性归因、高维面板与高频数据的信息提取、隐含协整、因果系统中的独立性与条件独立性，以及商业周期非对称性在股票收益中的表现。

精选作品

期刊论文

  1. Clive W. J. Granger (2025). Components of Statistics. International Encyclopedia of Statistical Science.DOI
  2. Clive W. J. Granger, Yongil Jeon (2011). The Evolution of the Phillips Curve: A Modern Time Series Viewpoint. Economica, Vol. 780, No. 3090.DOI
  3. Clive W. J. Granger (2011). The Applied Economics journals: a personal reflection.DOI
  4. Halbert White, Clive W. J. Granger (2011). Consideration of Trends in Time Series. Journal of Time Series Econometrics.DOI
  5. Clive W. J. Granger (2011). Components of Statistics. International Encyclopedia of Statistical Science.DOI
  6. Clive W. J. Granger (2010). Some thoughts on the development of cointegration. Journal Of Econometrics, Vol. 1580, No. 1.DOI
  7. J. Gonzalo, Clive W. J. Granger (2010). The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems".DOI
  8. Clive W. J. Granger, Stephen J. Leybourne (2009). THE RESEARCH INTERESTS OF PAUL NEWBOLD. Econometric Theory.DOI
  9. Namwon Hyung, Clive W. J. Granger (2008). Linking series generated at different frequencies. Journal Of Forecasting, Vol. 270, No. 2.DOI
  10. Clive W. J. Granger (2008). Extracting information from mega‐panels and high‐frequency data.DOI
  11. Clive W. J. Granger, Yongil Jeon (2007). Evaluation of global models. Economic Modelling, Vol. 24, No. 6.DOI
  12. Clive W. J. Granger (2007). Forecasting - looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam. Journal Of Econometrics, Vol. 1380, No. 1.DOI
  13. Clive W. J. Granger, Yongil Jeon (2007). Long-term forecasting and evaluation. International Journal Of Forecasting, Vol. 23, No. 4.DOI
  14. Karim Chalak, H. White, J. Betts, Graham Elliott, Clive Granger, M. Machina, D. Politis, Ruth Williams (2007). Identification with Conditioning Instruments in Causal Systems.
  15. Karim Chalak, H. White, J. Betts, Graham Elliott, Clive Granger, M. Machina, D. Politis, Ruth Williams (2007). Independence and Conditional Independence in Causal Systems.
  16. Clive W. J. Granger, Mark J. Machina (2006). Structural attribution of observed volatility clustering. Journal Of Econometrics, Vol. 1350, No. 12.DOI
  17. Clive Granger (2006). The Present and Future of Empirical Finance.DOI
  18. Clive W. J. Granger, Yongil Jeon (2006). Dynamics of Model Overfitting Measured in terms of Autoregressive Roots. Journal of Time Series Analysis.DOI
  19. Clive W. J. Granger, Timo Teräsvirta, Andrew J. Patton (2005). Common factors in conditional distributions for bivariate time series. Journal of Econometrics.DOI
  20. Clive W. J. Granger (2005). Modeling, Evaluation, and Methodology in the New Century.DOI
  21. Clive W. J. Granger (2005). Preface: Some Thoughts on the Future of Forecasting. Oxford Bulletin of Economics and Statistics.DOI
  22. Clive W. J. Granger (2005). Opening comments: Predictive methodology and application in economics and finance. Journal of Econometrics.DOI
  23. Cătălin Stărică, Clive W. J. Granger (2005). Nonstationarities in Stock Returns. The Review of Economics and Statistics.DOI
  24. Ser‐Huang Poon, Clive W. J. Granger (2005). Practical Issues in Forecasting Volatility. CFA Digest.DOI
  25. Clive W. J. Granger, Namwon Hyung (2005). Introduction to m–m processes. Journal of Econometrics.DOI
  26. Clive W. J. Granger, David F. Hendry (2005). A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING. Econometric Theory.DOI
  27. Clive W. J. Granger (2005). COMMENTS ON THE 20th ANNIVERSARY ISSUE OF ECONOMETRIC THEORY. Econometric Theory.DOI
  28. Ser‐Huang Poon, Clive W. J. Granger (2005). Practical Issues in Forecasting Volatility. Financial Analysts Journal.DOI
  29. Clive W. J. Granger (2004). The past and future of empirical finance: some personal comments. Journal of Econometrics.DOI
  30. Clive W. J. Granger, Yongil Jeon (2004). Forecasting Performance of Information Criteria with Many Macro Series. Journal of Applied Statistics.DOI
  31. Graham Elliott, Clive W. J. Granger (2004). Evaluating significance: comments on “size matters”. The Journal of Socio-Economics.DOI
  32. Clive W. J. Granger, Esfandiar Essie Maasoumi, Jeffrey S. Racine (2004). A Dependence Metric for Possibly Nonlinear Processes. Journal of Time Series Analysis.DOI
  33. Clive W. J. Granger (2004). Time Series Analysis, Cointegration, and Applications. American Economic Review.DOI
  34. Clive W. J. Granger, Namwon Hyung (2004). Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance.DOI
  35. Raffaella Giacomini, Clive W. J. Granger (2003). Aggregation of space-time processes. Journal of Econometrics.DOI
  36. Clive W. J. Granger (2003). Time Series Concepts for Conditional Distributions*. Oxford Bulletin of Economics and Statistics.DOI
  37. Clive W. J. Granger, Yongil Jeon (2003). Corrigendum to “Comparing forecasts of inflation using time distance” [International Journal of Forecasting 19 (2003) 339–349]. International Journal of Forecasting.DOI
  38. Clive W. J. Granger, Ruey Yau, Neville R. Francis (2003). FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS. Macroeconomic Dynamics.DOI
  39. Clive W. J. Granger, Yongil Jeon (2003). Thick modeling. Economic Modelling.DOI
  40. Allan Timmermann, Clive W. J. Granger (2003). Efficient market hypothesis and forecasting. International Journal of Forecasting.DOI
  41. Clive W. J. Granger, Yongil Jeon (2003). A time–distance criterion for evaluating forecasting models. International Journal of Forecasting.DOI
  42. M. Machina, Clive W. J. Granger (2002). Structurally-Induced Volatility Clustering.DOI
  43. Clive W. J. Granger, Gawon Yoon (2002). HIDDEN COINTEGRATION.DOI
  44. Clive W. J. Granger, Yongil Jeon (2002). Comparing forecasts of inflation using time distance. International Journal of Forecasting.DOI
  45. Clive W. J. Granger (2002). LONG MEMORY PROCESSES - AN ECONOMIST'S VIEWPOINT.DOI
  46. Clive W. J. Granger (2002). Some aspects of causal relationships. Journal of Econometrics.DOI
  47. Clive W. J. Granger, Yongil Jeon (2002). Interactions between large macro models and time series analysis. International Journal of Finance & Economics.DOI
  48. Clive W. J. Granger (2002). Some comments on risk. Journal of Applied Econometrics.DOI
  49. Clive W. J. Granger (2001). Essays in Econometrics. Cambridge University Press.
  50. W. D. den Haan, Robert F. Engle, Gloria González-Rivera, Clive Granger, Jim Hamilton, Bruce N. Lehmann, H. Pesaran, Joshua V. Rosenberg, Halbert White (2001). Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.
  51. Clive W. J. Granger, Yongil Jeon (2001). The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution. Applied Financial Economics.DOI
  52. Clive W. J. Granger (2001). OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS. Macroeconomic Dynamics.DOI
  53. Clive W. J. Granger, Namwon Hyung, Yongil Jeon (2001). Spurious regressions with stationary series. Applied Economics.DOI
  54. Clive W. J. Granger (2001). Macroeconometrics – Past and future. Journal of Econometrics.DOI
  55. Clive W. J. Granger (2001). Comparing the methodologies used by statisticians and economists for research and modeling. The Journal of Socio-Economics.DOI
  56. Ingolf Dittmann, Clive W. J. Granger (2000). Properties of Nonlinear Transformations of Fractionally Integrated Processes.DOI
  57. Hermann Garbers, Clive W. J. Granger (2000). Empirical Modeling in Economics: Specification and Evaluation. Journal of the American Statistical Association.DOI
  58. Clive W. J. Granger, Bwo-Nung Huangb, Chin Wei Yang (2000). A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆. The Quarterly Review of Economics and Finance.DOI
  59. Clive W. J. Granger, M. Hashem Pesaran (2000). A DECISION THEORETIC APPROACH TO FORECAST EVALUATION.DOI
  60. Clive W. J. Granger, Scott A. Spear, Zhuanxin Ding (2000). STYLIZED FACTS ON THE TEMPORAL AND DISTRIBUTIONAL PROPERTIES OF ABSOLUTE RETURNS: AN UPDATE.DOI
  61. Clive W. J. Granger, M. Hashem Pesaran (2000). Economic and statistical measures of forecast accuracy. Journal of Forecasting.DOI
  62. Clive W. J. Granger, Chor-yiu Sin (2000). Modelling the absolute returns of different stock indices: exploring the forecastability of an alternative measure of risk. Journal of Forecasting.DOI
  63. Clive W. J. Granger, Clive W.J. Granger (2000). On Model Approximation for Long-Memory Processes: A Cautionary Result An Essay in Honor of Professor G.S. Maddala.
  64. Clive W. J. Granger, Allan Timmermann (1999). Data mining with local model specification uncertainty: a discussion of Hoover and Perez. Econometrics Journal.DOI
  65. Clive W. J. Granger (1999). Judy 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. Journal of the History of Economic Thought.DOI
  66. Clive W. J. Granger, Timo Teräsvirta (1999). A simple nonlinear time series model with misleading linear properties. Economics Letters.DOI
  67. Clive W. J. Granger (1999). Outline of forecast theory using generalized cost functions. Spanish Economic Review.DOI
  68. Clive W. J. Granger, Tae‐Hwy Lee (1999). The effect of aggregation on nonlinearity. Econometric Reviews.DOI
  69. Clive W. J. Granger (1998). OVERVIEW OF NONLINEAR TIME SERIES SPECIFICATIONS IN ECONOMICS.
  70. Jeffrey R. Russell, Robert F. Engle, D. Brillinger, Xiao-Hong Chen, Clive Granger, Alex Kane, B. Lehman, P. McCullagh, Glenn Sueyoshi, G. Tiao, Hal (1998). ECONOMETRIC ANALYSIS OF DISCRETE-VALUED IRREGULARLY-SPACED FINANCIAL TRANSACTIONS DATA USING A NEW AUTOREGRESSIVE CONDITIONAL MULTINOMIAL MODEL BY JEFFREY R. RUSSELL AND ROBERT F. ENGLE DISCUSSION PAPER 98-10 APRIL 1998 Econometric analysis of discrete-valued irregularly-spaced financial transaction.
  71. Clive W. J. Granger, Namwon Hyung (1998). Introduction to M-M Processes. EUR Research Repository (Erasmus University Rotterdam).
  72. Clive W. J. Granger (1998). Comment. Journal of Business and Economic Statistics.DOI
  73. Álvaro Escribano, Clive W. J. Granger (1998). Investigating the relationship between gold and silver prices. Journal of Forecasting.DOI
  74. Clive W. J. Granger, Tomoo Inoue, Norman J. Morin (1997). Nonlinear stochastic trends. Journal of Econometrics.DOI
  75. Clive W. J. Granger, Niels Haldrup (1997). Separation in Cointegrated Systems and Persistent‐Transitory Decompositions. Oxford Bulletin of Economics and Statistics.DOI
  76. Clive W. J. Granger, Francesc Mármol (1997). The Correlogram of a Long Memory Process Plus a Simple Noise. e-Archivo (Carlos III University of Madrid).
  77. Clive W. J. Granger, Norman Rasmus Swanson (1997). An introduction to stochastic unit-root processes. Journal of Econometrics.DOI
  78. Pierre L. Siklos, Clive W. J. Granger (1997). REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY. Macroeconomic Dynamics.DOI
  79. Ramu Ramanathan, Robert F. Engle, Clive W. J. Granger, Farshid Vahid-Araghi, Casey Brace (1997). Short-run forecasts of electricity loads and peaks. International Journal of Forecasting.DOI
  80. Norman Rasmus Swanson, Clive W. J. Granger (1997). Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions. Journal of the American Statistical Association.DOI
  81. Clive W. J. Granger (1997). On Modelling the Long Run in Applied Economics. The Economic Journal.DOI
  82. Clive W. J. Granger (1996). Introducing Non-Linearity Into Cointegration. Brazilian Review of Econometrics.DOI
  83. Álvaro Escribano, Clive W. J. Granger (1996). Investigating the Relationship between Gold and Silver Prices. LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas).DOI
  84. Clive W. J. Granger (1996). Can we improve the perceived quality of economic forecasts? Journal of Applied Econometrics.DOI
  85. Zhuanxin Ding, Clive W. J. Granger (1996). Modeling volatility persistence of speculative returns: A new approach. Journal of Econometrics.DOI
  86. Clive W. J. Granger, Zhuanxin Ding (1996). Varieties of long memory models. Journal of Econometrics.DOI
  87. Éric Ghysels, Clive W. J. Granger, Pierre L. Siklos (1996). Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Journal of Business and Economic Statistics.DOI
  88. Clive W. J. Granger, Maxwell L. King, Halbert White (1995). Comments on testing economic theories and the use of model selection criteria. Journal of Econometrics.DOI
  89. Clive W. J. Granger, Pierre L. Siklos (1995). Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence. Journal of Econometrics.DOI
  90. Jesús Gonzalo, Clive W. J. Granger (1995). Estimation of Common Long-Memory Components in Cointegrated Systems. Journal of Business and Economic Statistics.DOI
  91. Clive W. J. Granger, Jin‐Lung Lin (1994). USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS. Journal of Time Series Analysis.DOI
  92. Melinda Deutsch, Clive W. J. Granger, Timo Teräsvirta (1994). The combination of forecasts using changing weights. International Journal of Forecasting.DOI
  93. Jin‐Lung Lin, Clive W. J. Granger (1994). Forecasting from non‐linear models in practice. Journal of Forecasting.DOI
  94. Clive W. J. Granger (1994). Some comments on emprical investigations involving cointegration. Econometric Reviews.DOI
  95. Clive W. J. Granger (1993). On the limitations of comparing mean square forecast errors: Comment. Journal of Forecasting.DOI
  96. Clive W. J. Granger (1993). Comment. Journal of Business and Economic Statistics.DOI
  97. Clive W. J. Granger (1993). Strategies for Modelling Nonlinear Time‐Series Relationships*. Economic Record.DOI
  98. Clive W. J. Granger (1993). Implications of seeing economic variables through an aggregation window. Research in Economics.DOI
  99. Luigi Ermini, Clive W. J. Granger (1993). Some generalizations on the algebra of I(1) processes. Journal of Econometrics.DOI
  100. Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance.DOI
  101. Tae‐Hwy Lee, Halbert White, Clive W. J. Granger (1993). Testing for neglected nonlinearity in time series models. Journal of Econometrics.DOI
  102. Clive W. J. Granger (1993). What are We Learning About the Long-Run? The Economic Journal.DOI
  103. Robert F. Engle, Clive W. J. Granger, Svend Hylleberg, H.S. Lee (1993). The Japanese consumption function. Journal of Econometrics.DOI
  104. T. Liu, Clive W. J. Granger, Walter Perrin Heller (1992). Using the correlation exponent to decide whether an economic series is chaotic. Journal of Applied Econometrics.DOI
  105. Clive W. J. Granger, Melinda Deutsch (1992). Comments on the evaluation of policy models. Journal of Policy Modeling.DOI
  106. Clive W. J. Granger (1992). Forecasting stock market prices: Lessons for forecasters. International Journal of Forecasting.DOI
  107. Anthony D. Hall, Heather M. Anderson, Clive W. J. Granger (1992). A Cointegration Analysis of Treasury Bill Yields. The Review of Economics and Statistics.DOI
  108. Clive W. J. Granger (1992). Fellow's opinion. Journal of Econometrics.DOI
  109. Clive W. J. Granger, Jeff Hallman (1991). NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. Journal of Time Series Analysis.DOI
  110. Clive W. J. Granger, Jeff Hallman (1991). LONG MEMORY SERIES WITH ATTRACTORS. Oxford Bulletin of Economics and Statistics.DOI
  111. Clive W. J. Granger, Melinda Deutsch (1991). Comments on the Evaluation of Policy Models. International Finance Discussion Paper.DOI
  112. Clive W. J. Granger, Harald Uhlig (1990). Reasonable extreme-bounds analysis. Journal of Econometrics.DOI
  113. Clive W. J. Granger, T. H. Lee (1989). Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models. Journal of Applied Econometrics.DOI
  114. Clive W. J. Granger, Kuan Chung-Ming, Mattson Matthew, Halbert White (1989). Trends in unit energy consumption: The performance of end-use models. Energy.DOI
  115. Clive W. J. Granger (1989). Invited review combining forecasts—twenty years later. Journal of Forecasting.DOI
  116. Robert F. Engle, Clive W. J. Granger, Jeffrey J. Hallman (1989). Merging short-and long-run forecasts. Journal of Econometrics.DOI
  117. Clive W. J. Granger, Halbert White, Mark J. Kamstra (1989). Interval forecasting. Journal of Econometrics.DOI
  118. Clive W. J. Granger (1988). 2 Some Comments on Econometric Methodology. Economic Record.DOI
  119. Clive W. J. Granger (1988). Some recent development in a concept of causality. Journal of Econometrics.DOI
  120. Clive W. J. Granger (1988). MODELS THAT GENERATE TRENDS. Journal of Time Series Analysis.DOI
  121. Clive W. J. Granger (1988). Causality, cointegration, and control. Journal of Economic Dynamics and Control.DOI
  122. Clive W. J. Granger (1987). Implications of Aggregation with Common Factors. Econometric Theory.DOI
  123. Clive W. J. Granger, Robert F. Engle (1987). Econometric forecasting: A brief survey of current and future techniques. Climatic Change.DOI
  124. Clive W. J. Granger (1986). Comment. Journal of the American Statistical Association.DOI
  125. Clive W. J. Granger (1986). DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES. Oxford Bulletin of Economics and Statistics.DOI
  126. Robert F. Engle, Clive W. J. Granger, John Rice, Andrew Weiss (1986). Semiparametric Estimates of the Relation between Weather and Electricity Sales. Journal of the American Statistical Association.DOI
  127. Clive W. J. Granger (1986). Comment. Journal of Business and Economic Statistics.DOI
  128. P. W. Holland, C. Glymour, Clive W. J. Granger (1985). Statistics and Causal Inference.DOI
  129. Robert F. Engle, Clive W. J. Granger, Dennis Kraft (1984). Combining competing forecasts of inflation using a bivariate arch model. Journal of Economic Dynamics and Control.DOI
  130. Clive W. J. Granger (1984). Megatrends: The new directions forming our lives, Naisbitt, John, New York: Warner Books, 1982. Price: $15.50/£ 11.50. Pages: 290. Journal of Forecasting.DOI
  131. Clive W. J. Granger (1984). Comment. Journal of Business and Economic Statistics.DOI
  132. Clive W. J. Granger, Ramu Ramanathan (1984). Improved methods of combining forecasts. Journal of Forecasting.DOI
  133. Clive W. J. Granger (1983). The handbook of forecasting: A manager's guide. European Journal of Operational Research.DOI
  134. Clive W. J. Granger (1982). ACRONYMS IN TIME SERIES ANALYSIS (ATSA). Journal of Time Series Analysis.DOI
  135. Clive W. J. Granger (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics.DOI
  136. Richard Ashley, Clive W. J. Granger, Richard Schmalensee (1980). Advertising and Aggregate Consumption: An Analysis of Causality. Econometrica.DOI
  137. Clive W. J. Granger, Roselyne Joyeux (1980). AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. Journal of Time Series Analysis.DOI
  138. Clive W. J. Granger (1980). Testing for causality. Journal of Economic Dynamics and Control.DOI
  139. Harold L. Nelson, Clive W. J. Granger (1979). Experience with using the Box-Cox transformation when forecasting economic time series. Journal of Econometrics.DOI
  140. Clive W. J. Granger, Robert F. Engle, Ramu Ramanathan, Allan Andersen (1979). Residential load curves and time-of-day pricing. Journal of Econometrics.DOI
  141. Richard Ashley, Clive W. J. Granger (1979). Time series analysis of residuals from the St. Louis model. Journal of Macroeconomics.DOI
  142. Clive W. J. Granger, Allan Andersen (1978). On the invertibility of time series models. Stochastic Processes and their Applications.DOI
  143. Clive W. J. Granger (1978). New Classes of Time Series Models. Journal of the Royal Statistical Society Series D (The Statistician).DOI
  144. Clive W. J. Granger (1977). Comment. Journal of the American Statistical Association.DOI
  145. Clive W. J. Granger (1976). Tendency towards normality of linear combinations of random variables. Metrika.DOI
  146. Clive W. J. Granger, Paul Newbold (1976). The use of R2 to determine the appropriate transformation of regression variables. Journal of Econometrics.DOI
  147. Clive W. J. Granger, M. J. Morris (1976). Time Series Modelling and Interpretation. Journal of the Royal Statistical Society Series A (General).DOI
  148. Clive W. J. Granger, Paul Newbold (1976). Forecasting Transformed Series. Journal of the Royal Statistical Society Series B (Statistical Methodology).DOI
  149. Clive W. J. Granger (1975). SOME CONSEQUENCES OF THE VALUATION MODEL WHEN EXPECTATIONS ARE TAKEN TO BE OPTIMUM FORECASTS1. The Journal of Finance.DOI
  150. Clive W. J. Granger (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica.DOI
  151. Clive W. J. Granger (1966). The Typical Spectral Shape of an Economic Variable. Econometrica.DOI
  152. Clive W. J. Granger, P. Cootner (1965). The Random Character of Stock Market Prices.DOI
  153. F. Diebold, Todd A. Gunther, Anthony S. Tay, Clive Granger, Jinyong Hahn, A. Inoue, H. Pesaran, K. Wallis, T. Zha, F. Diebold. Working Papers Working Papers Working Papers Working Papers Evaluating Density Forecasts Evaluating Density Forecasts.
  154. Peter F. Christoffersen, F. Diebold, F. Diebold, D. Dejong, Rob Engle, Clive Granger, Bruce Hansen, Dennis L. Hoffman, Laura E. Kodres, Jim Stock, R. Tsay, K. Wallis, M. Watson, C. Whiteman, Mike Wickens, T. Zha. Working Papers Working Papers Working Papers Working Papers Cointegration and Long-horizon Forecasting Cointegration and Long-horizon Forecasting.
  155. K. West, Graham Elliott, Clive Granger, Allan Timmermann. FORECAST EVALUATION.DOI
  156. Peter F. Christoffersen, Francis X. Diebold Cirano, Francis X. Diebold, Michael Brandt, Michel M. Dacorogna, Graham Elliott, Christian Gouriéroux, Clive Granger, J. Jasiak, B. LeBaron, Bruce Lehman, Nour Meddahi, Sergei Sarkissian, F. Schorfheide, Allan Timmermann, H. White. Série Scientifique Scientific Series Financial Asset Returns, Market Timing, and Volatility Dynamics Financial Asset Returns, Market Timing, and Volatility Dynamics Fcar, Ifm2 and Sshrc. for Helpful Comments We Thank.
  157. Clive W. J. Granger, T. Teräsvirta. COMMON FACTORS IN CONDITIONAL DISTRIBUTIONS.

预印本

  1. Ser‐Huang Poon, Namwon Hyung, Clive W. J. Granger (2006). A Source of Long Memory in Volatility. SSRN Electronic Journal.DOI
  2. Clive W. J. Granger, Ser‐Huang Poon (2001). Forecasting Financial Market Volatility: A Review. SSRN Electronic Journal.DOI
  3. Clive W. J. Granger, Gawon Yoon (2001). SELF-GENERATING VARIABLES IN A COINTEGRATED VAR FRAMEWORK. RePEc: Research Papers in Economics.
  4. Clive W. J. Granger, Zhuanxin Ding (1999). Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets. SSRN Electronic Journal.
  5. Giampiero Maria Gallo, Clive W. J. Granger, Yongil Jeon (1999). The Impact of the Use of Forecasts in Information Sets. RePEc: Research Papers in Economics.
  6. Clive W. J. Granger, Ling-ling Huang (1998). Evaluation of Panel Data Models: Some Suggestions from Time Series. SSRN Electronic Journal.DOI
  7. Clive W. J. Granger, Yongil Jeon (1998). Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance. SSRN Electronic Journal.DOI
  8. Clive W. J. Granger, Niels Haldrup (1996). Separation in Cointegrated Systems, Long Memory Components and Common Stochastic Trends. SSRN Electronic Journal.DOI
  9. Clive W. J. Granger, Zhuanxin Ding (1995). Some Properties of Absolute Return, An Alternative Measure of Risk. SSRN Electronic Journal.

书籍章节

  1. Clive W. J. Granger (2010). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Cambridge University Press eBooks.DOI
  2. Zhuanxin Ding, Robert F. Engle, Clive W. J. Granger (2010). A Long Memory Property of Stock Market Returns and a New Model. Cambridge University Press eBooks.DOI
  3. Clive W. J. Granger (2010). Some Recent Developments in a Concept of Causality. Cambridge University Press eBooks.DOI
  4. Clive W. J. Granger (2010). Testing for Causality: A Personal Viewpoint. Cambridge University Press eBooks.DOI
  5. Clive W. J. Granger (2010). Some Properties of Time Series Data and Their Use in Econometric Model Specification. Cambridge University Press eBooks.DOI
  6. Roselyne Joyeux, Clive W. J. Granger (2010). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Cambridge University Press eBooks.DOI
  7. Richard Ashley, Richard Schmalensee, Clive W. J. Granger (2010). Advertising and Aggregate Consumption: An Analysis of Causality. Cambridge University Press eBooks.DOI
  8. Robert F. Engle, Clive W. J. Granger (2010). Co-Integration and Error-Correction: Representation, Estimation, and Testing. Cambridge University Press eBooks.DOI
  9. Anthony D. Hall, Heather M. Anderson, Clive W. J. Granger (2010). A Cointegration Analysis of Treasury Bill Yields. Cambridge University Press eBooks.DOI
  10. Clive W. J. Granger, Mark J. Machina (2006). Chapter 2 Forecasting and Decision Theory. Handbook of economic forecasting.DOI
  11. Clive W. J. Granger (2001). Can We Improve the Perceived Quality of Economic Forecasts? Cambridge University Press eBooks.DOI
  12. Clive W. J. Granger (2001). Invited Review: Combining Forecasts – Twenty Years Later. Cambridge University Press eBooks.DOI
  13. Clive W. J. Granger (2001). Forecasting White Noise. Cambridge University Press eBooks.DOI
  14. Clive W. J. Granger (2001). Seasonality: Causation, Interpretation and Implications. Cambridge University Press eBooks.DOI
  15. Clive W. J. Granger, Geoff Harcourt (1999). Comments on the evaluation of econometric models and of forecasts. Cambridge University Press eBooks.DOI
  16. Clive W. J. Granger, Geoff Harcourt (1999). The evaluation of empirical models. Cambridge University Press eBooks.DOI
  17. Clive W. J. Granger, Geoff Harcourt (1999). The specification of empirical models. Cambridge University Press eBooks.DOI
  18. Clive W. J. Granger, Geoff Harcourt (1999). Foreword by G.C. Harcourt. Cambridge University Press eBooks.DOI
  19. Clive W. J. Granger (1999). Two Aspects of the Methodology of Modeling Deterministic Processes and Evaluation. Physica-Verlag eBooks.DOI
  20. Clive W. J. Granger, Namwon Hyung, Yongil Jeon (1996). Fractional Stochastic Unit Root Processes. Lecture notes in statistics.DOI
  21. Clive W. J. Granger, Lin Jin-Lung (1996). Conjugate Processes. Springer eBooks.DOI
  22. Clive W. J. Granger (1995). Reducing self-interest and improving the relevance of economic research. Studies in logic and the foundations of mathematics.DOI
  23. Clive W. J. Granger (1988). Causality Testing in a Decision Science. Springer eBooks.DOI
  24. Clive W. J. Granger, Robert F. Engle (1987). Econometric Forecasting: A Brief Survey of Current and Future Techniques. Springer eBooks.DOI
  25. Clive W. J. Granger (1987). Are Economic Variables Really Integrated of Order One? Springer eBooks.DOI
  26. Clive W. J. Granger, Paul Newbold (1986). PRACTICAL METHODS FOR UNIVARIATE TIME SERIES FORECASTING. Elsevier eBooks.DOI
  27. Clive W. J. Granger, PAUL NEWBOLD (1986). SPECTRAL ANALYSIS. Elsevier eBooks.DOI
  28. Clive W. J. Granger, Paul Newbold (1986). BUILDING MULTIPLE TIME SERIES FORECASTING MODELS. Elsevier eBooks.DOI
  29. Clive W. J. Granger, Paul Newbold (1986). FORECASTING FROM REGRESSION MODELS. Elsevier eBooks.DOI
  30. Clive W. J. Granger, Paul Newbold (1986). MULTIPLE SERIES MODELING AND FORECASTING. Elsevier eBooks.DOI
  31. Clive W. J. Granger, PAUL NEWBOLD (1986). THE COMBINATION AND EVALUATION OF FORECASTS. Elsevier eBooks.DOI
  32. Clive W. J. Granger, Paul Newbold (1986). BUILDING LINEAR TIME SERIES MODELS. Elsevier eBooks.DOI
  33. Clive W. J. Granger, PAUL NEWBOLD (1986). THE THEORY OF FORECASTING. Elsevier eBooks.DOI
  34. Clive W. J. Granger, Paul Newbold (1986). INTRODUCTION TO THE THEORY OF TIME SERIES. Elsevier eBooks.DOI
  35. Clive W. J. Granger, PAUL NEWBOLD (1986). FURTHER TOPICS. Elsevier eBooks.DOI
  36. Clive W. J. Granger, A.A. Weiss (1983). TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS. Elsevier eBooks.DOI
  37. Clive W. J. Granger (1980). Some Comments on the Role of Time-Series Analysis in Econometrics. Elsevier eBooks.DOI
  38. Clive W. J. Granger (1980). Population Forecasting. Elsevier eBooks.DOI
  39. Clive W. J. Granger (1980). Forecasting from Time Series Models. Elsevier eBooks.DOI
  40. Clive W. J. Granger (1980). Further Aspects of Time Series Forecasting. Elsevier eBooks.DOI
  41. Clive W. J. Granger (1980). Technological Forecasting. Elsevier eBooks.DOI
  42. Clive W. J. Granger (1980). Trend-Line Fitting and Forecasting. Elsevier eBooks.DOI
  43. Clive W. J. Granger (1980). World Models. Elsevier eBooks.DOI
  44. Clive W. J. Granger (1980). Leading Indicators. Elsevier eBooks.DOI
  45. Clive W. J. Granger, A. P. Andersen (1978). NON-LINEAR TIME SERIES MODELLING. Elsevier eBooks.DOI

书籍

  1. Clive W. J. Granger, Geoff Harcourt (1999). Empirical Modeling in Economics. Cambridge University Press eBooks.DOI
  2. Clive W. J. Granger (1979). Seasonality: Causation, Interpretation, and Implications. RePEc: Research Papers in Economics.

研究方向

EconomicsEconometricsFinanceDecision Sciences

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