This monograph explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The techniques explored analyze relationships between different variables over time, such as the relationship between variables in a macroeconomy.

This paper re-examines the relationship between financial variables and real activity in a unified statistical framework. Using the methods of cointegration and separation. we characterize the long-run and short-run relationships between three sets of variables and then use the framework to...

This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d 0 leads to a long-memory process with the same or a smaller...

A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula, with the conditioning variable being a common factor if it does not directly enter the copula. We show the links...

Perspectives on Econometrics and Applied Economics A Tribute to Sir Clive Granger Edited by Mark P. Taylor Routledge Taylor & Francis Group LONDON A ND NEW YORK Contents 1. Special issue in honour of Clive Granger Mark P. Taylor ...

Many standard structural models in economics have the property that they induce persistent, partially predictable heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are all serially independent and homoskedastic,...