July 2007
Intermediate to advanced
400 pages
13h 21m
English
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Granger on Cointegration
Clive W. J. Granger is a Professor in Economics at the University of California, San Diego. He has published extensively in statistics, econometrics and finance. In 2003 he received the Nobel Prize in Economics for his work on methods of analyzing economic time series with common trends (cointegration). Professor Granger has published several hundred papers and a series of books.
Haug : Where did you grow up?
Granger : Cambridge and Nottingham, England.
Haug : When did you first become interested in science and mathematics?
Granger : High School, Nottingham.
Haug : What is your educational background?
Granger : Undergrad and Ph.D. at the University of Nottingham.
Haug : In simple words what is cointegration?
Granger : Discusses implications that on occasions a pair of “smooth series” can add to an “unsmooth” series. Implies generation by an error-correction model.
Haug : Is the main purpose of cointegration to find stationary relationships between variables?
Granger : Both this and equilibrium relationships.
Haug : When it comes to correlation between financial assets one typically looks at the returns, can cointegration also be used on the prices itself?
Granger : It has to be used on prices, not directly on returns. Potentially leads to extra forecasts on prices.
Haug : It is said that cointegration can be used to find trends, what type of trends are we talking about here? Can cointegration, for example, distinguish between mean-reversion, seasonality ...
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