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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 - 1997
Persistent link: https://www.econbiz.de/10000969033
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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
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Model-based forecast adjustment : with an illustration to inflation
Franses, Philip Hans - 2018 - This version: March 2018
Persistent link: https://www.econbiz.de/10011823289
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Forecasting time series with long memory and level shifts
Hyung, Namwon; Franses, Philip Hans - In: Journal of forecasting 24 (2005) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10002569962
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Evaluating real-time forecasts in real-time
Dijk, Dick van (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003753981
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Evaluating Real-Time Forecasts in Real-Time
Ravazzolo, Francesco - 2010
be used as actuals in current forecast evaluation. We allow for structural changes in the regression parameters to …
Persistent link: https://www.econbiz.de/10012717174
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Does disagreement amongst forecasters have predictive value?
Legerstee, Rianne; Franses, Philip Hans - In: Journal of forecasting 34 (2015) 4, pp. 290-302
Persistent link: https://www.econbiz.de/10011305176
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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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An introduction to time-varying lag autoregression
Franses, Philip Hans - 2020
Persistent link: https://www.econbiz.de/10012216295