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Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

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Book part
Publication date: 24 March 2006

Gawon Yoon

In a brilliant career spanning almost five decades, Sir Clive Granger has made numerous contributions to time series econometrics. This paper reappraises his very first…

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In a brilliant career spanning almost five decades, Sir Clive Granger has made numerous contributions to time series econometrics. This paper reappraises his very first paper, published in 1957 on sunspot numbers.

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Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-1-84950-388-4

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Book part
Publication date: 24 March 2006

Volume 20 of Advances in Econometrics is dedicated to Rob Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics, for their many valuable contributions…

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Volume 20 of Advances in Econometrics is dedicated to Rob Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics, for their many valuable contributions to the econometrics profession. The Royal Swedish Academy of Sciences cited Rob “for methods of analyzing economic time series with time-varying volatility (ARCH)” while Clive was cited “for methods of analyzing economic time series with common trends (cointegration).” Of course, these citations are meant for public consumption but we specialists in time series analysis know their contributions go far beyond these brief citations. Consider some of Rob's other contributions to our literature: Aggregation of Time Series, Band Spectrum Regression, Dynamic Factor Models, Exogeneity, Forecasting in the Presence of Cointegration, Seasonal Cointegration, Common Features, ARCH-M, Multivariate GARCH, Analysis of High Frequency Data, and CAViaR. Some of Sir Clive's additional contributions include Spectral Analysis of Economic Time Series, Bilinear Time Series Models, Combination Forecasting, Spurious Regression, Forecasting Transformed Time Series, Causality, Aggregation of Time Series, Long Memory, Extreme Bounds, Multi-Cointegration, and Non-linear Cointegration. No doubt, their Nobel Prizes are richly deserved. And the 48 authors of the two parts of this volume think likewise. They have authored some very fine papers that contribute nicely to the same literature that Rob's and Clive's research helped build.

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Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-1-84950-388-4

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Article
Publication date: 1 August 1979

André Gabor, Clive W.J. Granger and Anthony P. Sowter

Introduction This is a report on a comparison of the effects of price differences on purchasing decisions obtained by observing the actual shopping behaviour of a group of…

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Introduction This is a report on a comparison of the effects of price differences on purchasing decisions obtained by observing the actual shopping behaviour of a group of housewives and the responses of a comparable group of subjects to hypothetical price situations similar to those found in the shops. The project which made this possible is outlined later.

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Management Decision, vol. 17 no. 8
Type: Research Article
ISSN: 0025-1747

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Book part
Publication date: 29 March 2006

Volume 20 of Advances in Econometrics is dedicated to Rob Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics, for their many valuable contributions…

Abstract

Volume 20 of Advances in Econometrics is dedicated to Rob Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics, for their many valuable contributions to the econometrics profession. The Royal Swedish Academy of Sciences cited Rob “for methods of analyzing economic time series with time-varying volatility (ARCH),” while Clive was cited “for methods of analyzing economic time series with common trends (cointegration).” Of course, these citations are meant for public consumption but we specialists in time-series analysis know their contributions go far beyond these brief citations. Consider some of Rob's other contributions to our literature: Aggregation of Time Series, Band Spectrum Regression, Dynamic Factor Models, Exogeneity, Forecasting in the Presence of Cointegration, Seasonal Cointegration, Common Features, ARCH-M, Multivariate GARCH, Analysis of High Frequency Data, and CAViaR. Some of Sir Clive's additional contributions include Spectral Analysis of Economic Time Series, Bilinear Time Series Models, Combination Forecasting, Spurious Regression, Forecasting Transformed Time Series, Causality, Aggregation of Time Series, Long Memory, Extreme Bounds, Multi-Cointegration, and Non-linear Cointegration. No doubt, their Nobel Prizes are richly deserved. And the 48 authors of the two parts of this volume think likewise. They have authored some very fine papers that contribute nicely to the same literature that Rob's and Clive's research helped build.

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Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-0-76231-274-0

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Book part
Publication date: 24 March 2006

Pierre L. Siklos and Mark E. Wohar

Relying on Clive Granger's many and varied contributions to econometric analysis, this paper considers some of the key econometric considerations involved in estimating…

Abstract

Relying on Clive Granger's many and varied contributions to econometric analysis, this paper considers some of the key econometric considerations involved in estimating Taylor-type rules for US data. We focus on the roles of unit roots, cointegration, structural breaks, and non-linearities to make the case that most existing estimates are based on an unbalanced regression. A variety of estimates reveal that neglected cointegration results in the omission of a necessary error correction term and that Federal Reserve (Fed) reactions during the Greenspan era appear to have been asymmetric. We argue that error correction and non-linearities may be one way to estimate Taylor rules over long samples when the underlying policy regime may have changed significantly.

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Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-1-84950-388-4

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Article
Publication date: 1 September 2007

Jianhong Zhang, Jan P.A.M. Jacobs and Arjen van Witteloostuijn

Multinational enterprises (MNEs) play a dominant role in the international business (IB) literature. Traditionally, by far the majority of IB studies deal with issues at…

Abstract

Multinational enterprises (MNEs) play a dominant role in the international business (IB) literature. Traditionally, by far the majority of IB studies deal with issues at the micro level of the individual MNE, or at the meso level of a sample of individual MNEs in industries. This paper focuses on the impact of MNE behavior through foreign direct investment (FDI) on a country’s international trade, and vice versa. In so doing, this study responds to a recent plea for more macro‐level studies in IB into the effect of MNE behavior on the macroeconomic performance of countries as a whole, particularly developing and emerging economies. In the current study, we focus on the largest developing or emerging economy of all: China. Applying sophisticated econometric techniques, we unravel the causality and direction of FDI‐trade linkages for the Chinese economy in the 1980‐2003 period.

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Journal of Asia Business Studies, vol. 2 no. 1
Type: Research Article
ISSN: 1558-7894

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Book part
Publication date: 29 February 2008

Namwon Hyung, Ser-Huang Poon and Clive W.J. Granger

This paper compares the out-of-sample forecasting performance of three long-memory volatility models (i.e., fractionally integrated (FI), break and regime switching…

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This paper compares the out-of-sample forecasting performance of three long-memory volatility models (i.e., fractionally integrated (FI), break and regime switching) against three short-memory models (i.e., GARCH, GJR and volatility component). Using S&P 500 returns, we find that structural break models produced the best out-of-sample forecasts, if future volatility breaks are known. Without knowing the future breaks, GJR models produced the best short-horizon forecasts and FI models dominated for volatility forecasts of 10 days and beyond. The results suggest that S&P 500 volatility is non-stationary at least in some time periods. Controlling for extreme events (e.g., the 1987 crash) significantly improved forecasting performance.

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Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

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Article
Publication date: 1 June 1995

William M. Taylor

It is found that one unit root, common trend is shared by the quarterly auction price series of five frequently auctioned types of stamps. The common trends analysis…

Abstract

It is found that one unit root, common trend is shared by the quarterly auction price series of five frequently auctioned types of stamps. The common trends analysis provides specific, stationary linear combinations, or cointegrating portfolios, of the auction price levels. The quarterly returns for the system of cointegrated auction prices can be represented by an error correction model using past returns and cointegrating vectors. There is evidence of a positive relationship between changes in the common trend and leading changes in industrial production

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Managerial Finance, vol. 21 no. 6
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 24 March 2006

Abstract

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Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-1-84950-388-4

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