Similar Search Results - EconBiz

Short Patches of Outliers, ARCH and Volatility Modeling

Franses, Philip Hans; van Dijk, Dick; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10010324601

Variable selection, estimation and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2010

Persistent link: https://www.econbiz.de/10003978514

Themed issue: Topics in health econometrics

Pesaran, M. Hashem (contributor) - 2004

Persistent link: https://www.econbiz.de/10002166262

Content horizons for conditional variance forecasts

Galbraith, John W.; Kıṣınbay, Turgut - In: International journal of forecasting 21 (2005) 2, pp. 249-260

Persistent link: https://www.econbiz.de/10002687836

Convergence of productivity : a comment

Wang, Zijun - In: Journal of applied econometrics 21 (2006) 7, pp. 1101-1102

Persistent link: https://www.econbiz.de/10003397486

Censored latent effects autoregression, with an application to US unemployment

Franses, Philip Hans; Paap, Richard - In: Journal of applied econometrics 17 (2002) 4, pp. 347-366

Persistent link: https://www.econbiz.de/10001690455

Asympototically perfect and relative convergence of productivity

Hobijn, Bart; Franses, Philip Hans - In: Journal of applied econometrics 15 (2000) 1, pp. 59-81

Persistent link: https://www.econbiz.de/10001465104

Growth and convergence in a multi-country empirical stochastic Solow model

Lee, Kevin C. - In: Journal of applied econometrics 12 (1997) 4, pp. 357-392

Persistent link: https://www.econbiz.de/10001223750

Credit rationing and threshold effects in the relation between money and output

Galbraith, John W. - In: Journal of applied econometrics 11 (1996) 4, pp. 419-429

Persistent link: https://www.econbiz.de/10001202515

Forecasting ultimate resource recovery

Pesaran, M. Hashem - In: International journal of forecasting 11 (1995) 4, pp. 543-555

Persistent link: https://www.econbiz.de/10001203022

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