Clive W. J. Granger

University of California, San Diego (UCSD) - Department of Economics

Professor of Economics

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

31

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CITATIONS
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418

Scholarly Papers (31)

Forecasting Volatility in Financial Markets: A Review (revised edition)

Number of pages: 80 Posted: 04 Dec 2002
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,735 (1,699)
Citation 160

Abstract:

Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation

Forecasting Volatility in Financial Markets: A Review (revised edition)

Journal of Economic Literature, Forthcoming
Posted: 04 Dec 2002
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Abstract:

Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation

2.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,416 (1,931)
Citation 158

Abstract:

Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation.

3.

Evaluation of Panel Data Models: Some Suggestions from Time Series

Discussion Paper 97-10
Number of pages: 29 Posted: 12 Jan 1998
Clive W. J. Granger and Ling-Ling Huang
University of California, San Diego (UCSD) - Department of Economics and University of California at San Diego
Downloads 908 (17,446)
Citation 6

Abstract:

4.

Hidden Cointegration

U of California, Economics Working Paper No. 2002-02
Number of pages: 49 Posted: 05 Jun 2002
Clive W. J. Granger and Gawon Yoon
University of California, San Diego (UCSD) - Department of Economics and Kookmin University
Downloads 563 (30,760)
Citation 2

Abstract:

Hidden Cointegration, Crouching Error Correction Models, Shocks, Interest Rates, Hysteresis of Unemployment

5.

A Source of Long Memory in Volatility

Number of pages: 52 Posted: 26 May 2006
Ser-Huang Poon, Namwon Hyung and Clive W. J. Granger
University of Manchester - Manchester Business School, University of Seoul - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 502 (40,861)
Citation 6

Abstract:

Long Memory, Structural Breaks, Fractional Integration, Volatility Components, Regime Switching, Volatility Forecasting

6.

Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance

UCSD Economics Discussion Paper 97-24
Number of pages: 47 Posted: 02 Feb 1998
Clive W. J. Granger and Yongil Jeon
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 319 (72,364)
Citation 1

Abstract:

7.

Separation in Cointegrated Systems, Long Memory Components and Common Stochastic Trends

Number of pages: 16 Posted: 14 Mar 1996
Clive W. J. Granger and Niels Haldrup
University of California, San Diego (UCSD) - Department of Economics and Aarhus University, School of Economics and Management
Downloads 218 (107,593)

Abstract:

8.

Properties of Nonlinear Transformations of Fractionally Integrated Processes

Journal of Econometrics, Vol. 110, No. 2, pp. 113-133, 2002, UCSD Economics Discussion Paper No. 2000-07
Number of pages: 25 Posted: 01 Dec 2000 Last Revised: 07 Aug 2009
Ingolf Dittmann and Clive W. J. Granger
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of California, San Diego (UCSD) - Department of Economics
Downloads 208 (111,553)
Citation 7

Abstract:

Nonlinear Transformations, Long Memory, Fractional Integration, Antipersistence, Nonstationarity, Hermite Rank, Moments

9.

Common Factors in Conditional Distributions for Bivariate Time Series

UCSD Economics Working Paper No. 2002-19
Number of pages: 21 Posted: 06 Mar 2004
Clive W. J. Granger, Timo Teräsvirta and Andrew J. Patton
University of California, San Diego (UCSD) - Department of Economics, Stockholm School of Economics - Department of Economics and Duke University - Department of Economics
Downloads 204 (116,345)
Citation 14

Abstract:

Common factors, copulas, business cycles

10.

Structurally-induced Volatility Clustering

UCSD, Economics Working Paper No. 2002-15
Number of pages: 12 Posted: 30 Jan 2003
Clive W. J. Granger and Mark J. Machina
University of California, San Diego (UCSD) - Department of Economics and University of California at San Diego
Downloads 200 (119,121)

Abstract:

Volatility Clustering, Induced Volatility Clustering, Stochastic Volatility, ARCH

11.

Introduction to M-M Processes

University of California at San Diego, Department of Economics Discussion Paper No. 98-18
Number of pages: 42 Posted: 26 Feb 1999
Clive W. J. Granger and Namwon Hyung
University of California, San Diego (UCSD) - Department of Economics and University of Seoul - Department of Economics
Downloads 169 (137,467)
Citation 1

Abstract:

12.

Aggregation of Space-Time Processes

UCSD Economics Discussion Paper No. 2001-07
Number of pages: 30 Posted: 15 Jul 2001
Raffaella Giacomini and Clive W. J. Granger
University College London - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 152 (148,778)
Citation 15

Abstract:

Spatial Correlation, Aggregation, Forecast Efficiency, Space-Time Models

13.

Efficient Market Hypothesis and Forecasting

CEPR Discussion Paper No. 3593
Number of pages: 29 Posted: 20 Nov 2002
Clive W. J. Granger and Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 69 (266,630)
Citation 27

Abstract:

Efficient market hypothesis, forecast evaluation, model specification, learning

14.

Preface: Some Thoughts on the Future of Forecasting

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 707-711, December 2005
Number of pages: 5 Posted: 03 Feb 2006
Clive W. J. Granger
University of California, San Diego (UCSD) - Department of Economics
Downloads 28 (387,140)

Abstract:

15.

Modeling, Evaluation, and Methodology in the New Century

Economic Inquiry, Vol. 43, Issue 1, pp. 1-12, 2005
Number of pages: 12 Posted: 05 Jun 2006
Clive W. J. Granger
University of California, San Diego (UCSD) - Department of Economics
Downloads 20 (425,817)
Citation 1

Abstract:

16.

Stochastic Trends and Short-Run Relationships between Financial Variables and Real Activity

NBER Working Paper No. w4275
Number of pages: 33 Posted: 04 Jul 2004
Toru Konishi, Valerie A. Ramey and Clive W. J. Granger
World Bank - Social Development, University of California at San Diego and University of California, San Diego (UCSD) - Department of Economics
Downloads 16 (425,817)
Citation 4

Abstract:

17.

Dynamics of Model Overfitting Measured in Terms of Autoregressive Roots

Journal of Time Series Analysis, Vol. 27, No. 3, pp. 347-365, May 2006
Number of pages: 19 Posted: 08 May 2006
Clive W. J. Granger and Yongil Jeon
University of California, San Diego (UCSD) - Department of Economics and Central Michigan University - Department of Economics
Downloads 15 (451,214)
Citation 2

Abstract:

18.

A Dependence Metric for Possibly Nonlinear Processes

Journal of Time Series Analysis, Vol. 25, No. 5, pp. 649-669, September 2004
Number of pages: 21 Posted: 07 Sep 2004
Clive W. J. Granger, Esfandiar Maasoumi and Jeffrey Racine
University of California, San Diego (UCSD) - Department of Economics, Southern Methodist University (SMU) - Department of Economics and Syracuse University
Downloads 13 (461,550)
Citation 11

Abstract:

19.

The Evolution of the Phillips Curve: A Modern Time Series Viewpoint

Economica, Vol. 78, Issue 309, pp. 51-66, 2009
Number of pages: 16 Posted: 24 Jan 2011
Clive W. J. Granger and Yongil Jeon
University of California, San Diego (UCSD) - Department of Economics and Sungkyunkwan University
Downloads 2 (514,595)
Citation 4

Abstract:

20.

The Present and Future of Empirical Finance

Financial Analysts Journal, Vol. 61, No. 4, pp. 15-18, July/August 2005
Posted: 17 Aug 2005
Clive W. J. Granger
University of California, San Diego (UCSD) - Department of Economics

Abstract:

Quantitative Tools, Econometric and Statistical Methods, Investment Theory, Efficient Market Theory, Portfolio Theory

21.

Practical Issues in Forecasting Volatility

Financial Analysts Journal, Vol. 61, No. 1, pp. 45-56, January/February 2005
Posted: 05 Feb 2005
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Abstract:

Risk Measurement and Management, Quantitative Tools, Econometric and Statistical Methods

22.

Self-Generating Variables in a Cointegrated VAR Framework

UCSD Economics Discussion Paper No. 2001-04
Posted: 25 Jul 2001
Clive W. J. Granger and Gawon Yoon
University of California, San Diego (UCSD) - Department of Economics and Kookmin University

Abstract:

Self-Generation, Cointegrated VAR, Common Stochastic Trends, Aggregation of Time Series, Efficiency of Forecasting

23.

Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets

UCSD Department of Economics Discussion Paper 94-19
Posted: 14 Sep 1999
Clive W. J. Granger and Zhuanxin Ding
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

24.

Report on Amazon Deforestation

Posted: 13 Sep 1999
University of Aarhus - Department of Economics, University of California, San Diego (UCSD) - Department of Economics, University of California at San Diego, IPEA - Institute of Applied Economic Research and London School of Economics & Political Science (LSE) - Department of International Development

Abstract:

25.

Spurious Regressions with Stationary Series

University of California at San Diego, Department of Economics Discussion Paper No. 98-25
Posted: 12 Mar 1999
Clive W. J. Granger, Namwon Hyung and Yongil Jeon
University of California, San Diego (UCSD) - Department of Economics, University of Seoul - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

26.

A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu

UCSD Economics Discussion Paper 98-09
Posted: 20 Aug 1998
Clive W. J. Granger, Bwo-Nung Huang and Chin Wei Yang
University of California, San Diego (UCSD) - Department of Economics, National Chung Cheng University and Clarion University - Department of Economics

Abstract:

27.

Extracting Information from Mega-Panels and High-Frequency Data

University of California at San Diego, Department of Economics, Discussion Paper No. 98-01
Posted: 14 Aug 1998
Clive W. J. Granger
University of California, San Diego (UCSD) - Department of Economics

Abstract:

28.

The Correlogram of a Long Memory Process Plus a Simple Noise

University of California at San Diego, Department of Economics, Discussion Paper No. 97-29
Posted: 07 Mar 1998
Clive W. J. Granger and Francesc Marmol
University of California, San Diego (UCSD) - Department of Economics and Universidad Carlos III de Madrid - Department of Economics

Abstract:

29.

Separation in Cointegrated Systems and Persistent-Transitory Decompositions

Oxford Bulletin of Economics and Statistics, 59 (4), pp. 449-463
Posted: 23 Jan 1998
Clive W. J. Granger and Niels Haldrup
University of California, San Diego (UCSD) - Department of Economics and Aarhus University, School of Economics and Management

Abstract:

30.

Investigating the Relationship between Gold and Silver Prices

UCSD Economics Discussion Paper 96-38
Posted: 26 Feb 1997
Álvaro Escribano and Clive W. J. Granger
Universidad Carlos III de Madrid - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract:

31.

Some Properties of Absolute Return, An Alternative Measure of Risk

UCSD Department of Economics Discussion Paper 93- 38
Posted: 26 Jan 1995
Clive W. J. Granger and Zhuanxin Ding
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics

Abstract: