Resource Center

• Overview
• White Papers
• Academic Papers
• Risk Measures
• Hedge Funds Risk and Replication
• Factor Identification and Modeling
• Time Series
• Portfolio Construction
• Option Pricing and Model Calibration
• Credit
• Other Research Papers by the Riskdata team

• Current VaR
• Technology
• Risk Ticker
• Flash Demo

Time Series

In this section, we propose a list of academic articles on time series analysis and econometrics. Some techniques have particularly drawn our attention: nonlinear models, dynamic models (incl. the ARCH family), co-integration and causality theory.

Nonlinear Time Series, Complexity Theory, and Finance

Authors: William A. Brock, Pedro J. F. de Lima
View article

Testing for Unit Roots in Time Series Models with Non-Stationary Volatility

Authors: Giuseppe Cavaliere, A.M. Robert Taylor
View article

Tests for Nonlinear Cointegration

Authors: In Choi, Pentti Saikkonen
View article

Some Finite Sample Results on Testing for Granger Noncausality

Authors: Judith A. Clarke, Sadaf Mirza
View article

Scaling in Non-stationary Time Series I

Authors: M. Ignaccolo, P. Allegrini, P. Grigolini, P. Hamilton, B.J. West
View article

Statistical Analysis of Cointegration Vectors

Authors: Soren Johansen
View article

A Small Sample Correction for Tests of Hypotheses on the Co-integrating Vectors

Authors: Soren Johansen
View article

Long-Run Structural Modelling

Authors: M. Hashem Pesaran, Yongcheol Shin
View article

Bounds Testing Approaches to the Analysis of Level Relationships

Authors: M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith
View article

“This is a challenging and exciting time. Risk managers and senior executives should be seeking more from risk management. Their role needs to evolve as financial institutions increasingly recognize the opportunities and value of a better understanding of risk.”

Phil Rivett
PricewaterhouseCoopers UK