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

Long memory and level shifts : re-analyzing inflation rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1998

Persistent link: https://www.econbiz.de/10000984706

Short patches of outliers, ARCH and volatility modelling

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

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

Testing for treshold cointegration

Dijk, Dick van; Franses, Philip Hans - 1996

Persistent link: https://www.econbiz.de/10000934396

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

Common persistence in nonlinear autoregressive models

Boswijk, Herman Peter; Franses, Philip Hans - 1997

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

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

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

Testing for ARCH in the presence of addiative outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562

Persistent link: https://www.econbiz.de/10001421498

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

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