Clive Granger
Biographic Data
| ID | 5509370 |
|---|---|
| NAME | Clive Granger |
| GIVEN NAMES | Clive |
| FAMILY NAME | Granger |
| SIGNATURE | GRANGER C |
| AFFILIATIONS | University of California System |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1964 |
| LATEST PUBLICATION YEAR | 2005 |
| H-INDEX | 0 |
Nonstationarities in Stock Returns
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach approximates the nonstationary data locally by stationary models. The methodology is applied to the S&P 500 series of returns covering a period of over seve…
Estimation of Common Long-Memory Components in Cointegrated Systems
The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variab…
A controlled trial of authoritarian and self-governing regimes with adolescent psychopaths
Within Balderton Hospital, two units treating psychopathic adolescents admitted alternately a consecutive series of 50 convicted youths. One unit practiced a self-governing group therapy regime, the other a firm, paternalistic and sympathetic approach. On the basis of follow-up indexes of reconviction, readmission and clinical well-being, the former did slightly but significantly worse than the latter
No prominent works on this page.
A controlled trial of authoritarian and self-governing regimes with adolescent psychopaths
Within Balderton Hospital, two units treating psychopathic adolescents admitted alternately a consecutive series of 50 convicted youths. One unit practiced a self-governing group therapy regime, the other a firm, paternalistic and sympathetic approach. On the basis of follow-up indexes of reconviction, readmission and clinical well-being, the former did slightly but significantly worse than the latter
Estimation of Common Long-Memory Components in Cointegrated Systems
The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variab…
Nonstationarities in Stock Returns
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach approximates the nonstationary data locally by stationary models. The methodology is applied to the S&P 500 series of returns covering a period of over seve…
Complex Systems and Time Series Analysis (2 works) · Econometrics (2 works) · Economics (2 works) · Mathematics (2 works) · Statistics (2 works) · Algorithm (1 work) · Artificial Intelligence (1 work) · Authoritarianism (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Child and Adolescent Psychosocial and Emotional Development (1 work)