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How large is average economic growth? : evidence from a robust method
Boswijk, Herman Peter; Franses, Philip Hans - 2001
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does …
Persistent link: https://www.econbiz.de/10011325976
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Are we in a bubble? : a simple time-series-based diagnostic
Franses, Philip Hans - 2013
Persistent link: https://www.econbiz.de/10010354375
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How Large is Average Economic Growth? Evidence from a Robust Method
Boswijk, H. Peter; Franses, Philip Hans - 2002
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does …
Persistent link: https://www.econbiz.de/10010324977
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Robust inference on average economic growth
Franses, Philip Hans; Boswijk, Boswijk, H.P. - Faculteit der Economische Wetenschappen, Erasmus … - 2001
We discuss a method to estimate the confidence bounds for average economic growth, which is robust to misspecification … conclusions on average economic growth than our robust approach. …
Persistent link: https://www.econbiz.de/10010837720
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Are we in a bubble? A simple time-series-based diagnostic
Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Time series with bubble-like patterns display an unbalance between growth and acceleration, in the sense that growth in …
Persistent link: https://www.econbiz.de/10010731915
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How Large is Average Economic Growth? Evidence from a Robust Method
Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Institute - 2002
This paper puts forward a method to estimate average economic growth, and its associated confidence bounds, which does …
Persistent link: https://www.econbiz.de/10005136924
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How Large is Average Economic Growth? Evidence from a Robust Method
Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Instituut - 2002
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does …
Persistent link: https://www.econbiz.de/10011256858
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Asymmetric time aggregation and its potential benefits for forecasting annual data
Kunst, Robert M.; Franses, Philip Hans - 2010
For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an...
Persistent link: https://www.econbiz.de/10010294045
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SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10010324378
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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