On Granger's predictability of financial markets in theory and practice

I was kindly invited by the organizers to discuss the presentation by Professor Clive Granger at the 5th International Institute of Forecasters Workshop in Lisbon, which was, perhaps, the last one that he ever delivered in a regular meeting. The task would have not been easy in any case, given his deep knowledge of the field and his many contributions. My discussion, however, turned out to be more difficult than I anticipated, given that there was no formal paper to discuss, just some sparse notes that he had written at various different dates, but certainly before the spectacular gyrations that hit the speculative markets in mid to late October 2008 and early December 2008. During our brief encounters at the workshop, he mentioned the thought of expanding his notes and writing a full-length paper on the issue. However, his unexpected demise left this thought unrealized. The editors of this special issue thought that it would remain incomplete without his outstanding contribution, and invited me to write my reflections on his notes and his verbal presentation. If discussing the paper (in an informal setting) was already daring, writing a paper on such a wide and complicated topic was a daunting task. I had many reasons for refusing the assignment; however, in the end, I felt that I should take it, if only as a personal homage to a giant in our discipline.