Similar Search Results

Common persistence in nonlinear autoregressive models

Boswijk, Herman Peter; Franses, Philip Hans - 1997

Persistent link: https://www.econbiz.de/10000952484

Testing the adequacy of log versus level data transformations using macroeconomic time series

Franses, Philip Hans; Swanson, Norman R. - 1996

Persistent link: https://www.econbiz.de/10000945706

Direct cointegration testing in periodic vector autoregressive models

Kleibergen, Frank; Franses, Philip Hans - 1995

Persistent link: https://www.econbiz.de/10000915606

Short patches of outliers, ARCH and volatility modelling

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

Persistent link: https://www.econbiz.de/10000986130

How informative are the unpredictable components of earnings forecasts?

Bruijn, Bert de; Franses, Philip Hans - 2015

earnings forecasters, we see that small adjustments to the model forecasts lead to more forecast accuracy. Based on past track …

Persistent link: https://www.econbiz.de/10010490078

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; 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/10011284080

Inflation, forecast intervals and long memory regression models

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 2001

) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …,1,1) model provides the best forecasts, but itsmulti-step forecast intervals are too large. …

Persistent link: https://www.econbiz.de/10011316885