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SETS, Arbitrage Activity, and Stock Price Dynamics

Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999

This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...

Persistent link: https://www.econbiz.de/10010324378

Multivariate GARCH models : a survey

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-109

Persistent link: https://www.econbiz.de/10003310013

General-to-specific modelling of exchange rate volatility : a forecast evaluation

Bauwens, Luc; Sucarrat, Genaro - In: International journal of forecasting 26 (2010) 4, pp. 885-907

Persistent link: https://www.econbiz.de/10008807690

Themed issue: Topics in health econometrics

Pesaran, M. Hashem (contributor) - 2004

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

Additive outliers, GARCH and forecasting volatility

Franses, Philip Hans; Ghijsels, Hendrik - In: International journal of forecasting 15 (1999) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001428359

Bounds testing approaches to the analysis of level relationships

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of applied econometrics 16 (2001) 3, pp. 289-326

Persistent link: https://www.econbiz.de/10001591901

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

Special issue Modelling and forecasting financial volatility

Franses, Philip Hans (contributor) - 2002

Persistent link: https://www.econbiz.de/10001709308

Modelling and forecasting level shifts in absolute returns

Franses, Philip Hans; Leij, Marco van der; Paap, Richard - In: Journal of applied econometrics 17 (2002) 5, pp. 601-616

Persistent link: https://www.econbiz.de/10001709318

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