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

TOTAL DOCUMENTS

(FIVE YEARS 0)

H-INDEX

(FIVE YEARS 0)

Published By Emerald (MCB UP )

0762312734

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

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

Download Full-text

List of Contributors

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

10.1016/s0731-9053(05)20036-1 ◽

2005 ◽

pp. xi-xii

Download Full-text

Dedication

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

10.1016/s0731-9053(05)20034-8 ◽

2005 ◽

pp. ix-x

Download Full-text

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

Download Full-text

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

10.1016/s0731-9053(05)20035-x ◽

2005 ◽

pp. v-vii

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

TOTAL DOCUMENTS

H-INDEX

Published By Emerald (MCB UP )

Personal Comments on Yoon's Discussion of My 1957 Paper

List of Contributors

Dedication

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

Contents

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

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

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

Export Citation Format

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

TOTAL DOCUMENTS

H-INDEX

Published By Emerald (MCB UP )

Personal Comments on Yoon's Discussion of My 1957 Paper

List of Contributors

Dedication

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

Contents

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

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

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