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A simple test of GARCH against a stochastic volatility model
Franses, Philip Hans (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003179654
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A simple test for GARCH against a stochastic volatility model
Franses, Philip Hans; Leij, Marco van der; Paap, Richard - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 291-306
Persistent link: https://www.econbiz.de/10003748059
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Gaussian Copula regression in the presence of thresholds
Eckert, Christine; Hohberger, Jan; Franses, Philip Hans - 2022
Persistent link: https://www.econbiz.de/10012879125
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Forecasting stock market volatility using (nonlinear) GARCH models
Franses, Philip Hans; Thull, Olaf van - 1995
Persistent link: https://www.econbiz.de/10000912177
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Short patches of outliers, arch and volatility modeling
Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1998
Persistent link: https://www.econbiz.de/10000988100
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Additive outliers, garch and forecasting volatility
Franses, Philip Hans; Ghijsels, Hendrik - 1997
Persistent link: https://www.econbiz.de/10000969033
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Special issue Modelling and forecasting financial volatility
Franses, Philip Hans (contributor) - 2002
Persistent link: https://www.econbiz.de/10001709308
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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
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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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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