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Financial Analysts Journal Volume 61, 2005 - Issue 4
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REFLECTIONS

The Present and Future of Empirical Finance

Clive W.J. Granger Clive W.J. Granger is professor emeritus of economics at the University of California at San Diego, La Jolla.
Pages 15-18 | Published online: 02 Jan 2019

References

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  • Granger, C.W.J.. 2000. “Current Perspectives on Long Memory Processes.” Chung-Hua Series of Lectures, No. 26, Institute of Economics, Academia Sinica, Taiwan.
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  • Granger, C.W.J., and N. Hyung. 2003. “Occasional Structural Breaks and Long Memory with an Application to the S&P 500 Absolute Stock Returns.” Journal of Empirical Finance, vol. 11, no. 3 (June): 399–421.
  • Granger, C.W.J., and O. Morgenstern. 1970. Predictability of Stock Market Prices. Lexington, MA: Heath Lexington Books.
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  • Hyung, N., and P.H. Franses. 2002. “Inflation Rates: Long-Memory, Level Shifts, or Both?” Report 2002-08, Econometric Institute, Erasmus University.
  • Leybourne, S., M. McCabe, and M. Mills. 1996. “Randomized Unit Root Processes for Modelling and Forecasting Financial Time Series: Theory and Applications.” Journal of Forecasting, vol. 15, no. 3 (April): 153–270.
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  • Markowitz, Harry M.. 1959. Portfolio Select.versification of Investments. New York: John Wiley & Sons.
  • Timmermann, A., and C.W.J. Granger. Forthcoming. “Efficient Market Hypothesis and Forecasting.” Journal of Forecasting.
  • Yoon, G.. 2003. “A Simple Model That Generates Stylized Facts of Returns.” Working paper, University of California, San Diego.

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