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The stock exchange of Suriname: returns, volatility, correlations and weak-form efficiency
Bodeutsch, Denice; Franses, Philip Hans - 2014
Persistent link: https://www.econbiz.de/10010359786
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The stock exchange of Suriname: returns, volatility, correlations and efficiency
Bodeutsch, Denice; Franses, Philip Hans - 2012
Persistent link: https://www.econbiz.de/10010354451
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The Stock Exchange of Suriname : returns, volatility, correlations, and weak-form efficiency
Bodeutsch, Denice; Franses, Philip Hans - In: Emerging markets finance & trade : a journal of the … 51 (2015) 1, pp. 130-139
Persistent link: https://www.econbiz.de/10011344353
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Estimating volatility on overlapping returns when returns are autocorrelated
Kluitman, Roy; Franses, Philip Hans - In: Applied mathematical finance 9 (2002) 3, pp. 179-188
Persistent link: https://www.econbiz.de/10001718679
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Modeling changing day-of-the-week seasonality in stock returns and volatility
Franses, Philip Hans; Paap, Richard - 1995
Persistent link: https://www.econbiz.de/10000937723
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On trends and constants in periodic autoregressions
Paap, Richard; Franses, Philip Hans - In: Econometric reviews 18 (1999) 3, pp. 271-286
Persistent link: https://www.econbiz.de/10001405015
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On seasonal cycles, unit roots, and mean shifts
Franses, Philip Hans - In: The review of economics and statistics 80 (1998) 2, pp. 231-245
Persistent link: https://www.econbiz.de/10001240839
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Testing for converging deterministic seasonal variation in European industrial production
Kunst, Robert M.; Franses, Philip Hans - 1999
Persistent link: https://www.econbiz.de/10001495878
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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
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Big data analysis of volatility spillovers of brands across social media and stock markets
Dieijen, Myrthe van; Borah, Abhishek; Tellis, Gerard J.; … - In: Industrial marketing management : the international … 88 (2020), pp. 465-484
Persistent link: https://www.econbiz.de/10012285387