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Varieties of long memory models

Granger, Clive W. J.; Ding, Zhuanxin - In: Journal of Econometrics 73 (1996) 1, pp. 61-77

Persistent link: https://www.econbiz.de/10005192516

A long memory property of stock market returns and a new model

Ding, Zhuanxin; Granger, Clive W. J.; Engle, Robert F. - In: Journal of Empirical Finance 1 (1993) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10005194288

Some Properties of Absolute Return: An Alternative Measure of Risk

GRANGER, C. W. J.; DING, Zhuanxin - In: Annales d'Economie et de Statistique (1995) 40, pp. 67-91

The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of ?. Using a long daily stock index series it is found that the...

Persistent link: https://www.econbiz.de/10005065822

The fundamental law of active management : redux

Ding, Zhuanxin; Martin, R. Douglas - In: Journal of empirical finance 43 (2017), pp. 91-114

Persistent link: https://www.econbiz.de/10011817910

Portfolio turnover when IC is time-varying

Ding, Zhuanxin; Martin, R. Douglas; Yang, Chaojun - In: The journal of asset management 21 (2020) 7, pp. 609-622

Persistent link: https://www.econbiz.de/10012421074

Non-linear models : where do we go next : time varying parameter models?

Granger, Clive W. J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10009949924

Non-linear models : where do we go next : time varying parameter models?

Granger, C. W. J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10009513629

Efficient market hypothesis and forecasting

Timmermann, Allan; Granger, Clive W. J. - In: International Journal of Forecasting 20 (2004) 1, pp. 15-27

Persistent link: https://www.econbiz.de/10005428687

Forecasting stock market prices: Lessons for forecasters

Granger, Clive W. J. - In: International Journal of Forecasting 8 (1992) 1, pp. 3-13

Persistent link: https://www.econbiz.de/10005428738

Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349]

Granger, Clive W. J.; Jeon, Yongil - In: International Journal of Forecasting 19 (2003) 4, pp. 767-767

Persistent link: https://www.econbiz.de/10005428828