Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series
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Published By Emerald (MCB UP )

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20036-1 ◽

2005 ◽

pp. xi-xii

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Personal Comments on Yoon's Discussion of My 1957 Paper

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20032-4 ◽

2005 ◽

pp. 315-316

Author(s):

Clive W.J. Granger

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A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20033-6 ◽

2005 ◽

pp. 317-352 ◽

Cited By ~ 3

Author(s):

Zhengjun Zhang

Keyword(s):

Time Series ◽

Financial Time Series ◽

Time Series Models ◽

New Class ◽

Financial Time

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Dedication

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20034-8 ◽

2005 ◽

pp. ix-x

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20035-x ◽

2005 ◽

pp. v-vii

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Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20021-x ◽

2005 ◽

pp. 41-62 ◽

Cited By ~ 2

Author(s):

Yong Bao ◽

Tae-Hwy Lee

Keyword(s):

Stock Returns ◽

Nonlinear Models ◽

Density Forecast ◽

Forecast Comparison

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Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20026-9 ◽

2005 ◽

pp. 179-204 ◽

Cited By ~ 2

Author(s):

Dennis W. Jansen ◽

Zijun Wang

Keyword(s):

Stock Price ◽

Out Of Sample

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Realized Beta: Persistence and Predictability

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20020-8 ◽

2005 ◽

pp. 1-39 ◽

Cited By ~ 92

Author(s):

Torben G. Andersen ◽

Tim Bollerslev ◽

Francis X. Diebold ◽

Ginger Wu

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A MODERN TIME SERIES ASSESSMENT OF “A STATISTICAL MODEL FOR SUNSPOT ACTIVITY” BY C. W. J. GRANGER (1957)

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20031-2 ◽

2005 ◽

pp. 297-314 ◽

Cited By ~ 2

Author(s):

Gawon Yoon

Keyword(s):

Time Series ◽

Statistical Model ◽

Sunspot Activity ◽

Modern Time

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Structural Change as an Alternative to Long Memory in Financial Time Series

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20027-0 ◽

2005 ◽

pp. 205-224 ◽

Cited By ~ 2

Author(s):

Tze Leung Lai ◽

Haipeng Xing

Keyword(s):

Time Series ◽

Structural Change ◽

Long Memory ◽

Financial Time Series ◽

Financial Time

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series
Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Emerald (MCB UP )

List of Contributors

Personal Comments on Yoon's Discussion of My 1957 Paper

A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series

Dedication

Contents

Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective

Realized Beta: Persistence and Predictability

A MODERN TIME SERIES ASSESSMENT OF “A STATISTICAL MODEL FOR SUNSPOT ACTIVITY” BY C. W. J. GRANGER (1957)

Structural Change as an Alternative to Long Memory in Financial Time Series

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Advances in Econometrics - Econometric Analysis of Financial and Economic Time SeriesLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Emerald (MCB UP )

List of Contributors

Personal Comments on Yoon's Discussion of My 1957 Paper

A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series

Dedication

Contents

Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective

Realized Beta: Persistence and Predictability

A MODERN TIME SERIES ASSESSMENT OF “A STATISTICAL MODEL FOR SUNSPOT ACTIVITY” BY C. W. J. GRANGER (1957)

Structural Change as an Alternative to Long Memory in Financial Time Series

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series
Latest Publications