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Modeling day-of-the-week seasonality in the S&P 500 index

Franses, Philip Hans; Paap, Richard - 1998

Persistent link: https://www.econbiz.de/10000988101

Additive outliers, garch and forecasting volatility

Franses, Philip Hans; Ghijsels, Hendrik - 1997

Persistent link: https://www.econbiz.de/10000969033

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

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