Empirical exchange rate models of the seventies

ARCH modeling in finance

Co-Integration and Error Correction: Representation, Estimation, and Testing

The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vec…

On a measure of lack of fit in time series models

The overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered. It is shown that a substantially improved approximation results from a simple modification of this …