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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

Common persistence in nonlinear autoregressive models

Boswijk, Herman Peter; Franses, Philip Hans - 1997

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

Income distribution, product quality, and international trade

Fajgelbaum, Pablo D.; Grossman, Gene M.; Helpman, Elhanan - In: Journal of political economy 119 (2011) 4, pp. 721-765

Persistent link: https://www.econbiz.de/10009389383

Global sourcing

Antràs, Pol; Helpman, Elhanan - In: Journal of political economy 112 (2004) 3, pp. 552-580

Persistent link: https://www.econbiz.de/10002095223

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

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

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

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

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