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Testing changes in consumer confidence indicators

Franses, Philip Hans (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003315391

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

Additive outliers, garch and forecasting volatility

Franses, Philip Hans; Ghijsels, Hendrik - 1997

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

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

Measuring changes in consumer confidence

Oest, Rutger van; Franses, Philip Hans - In: Journal of economic psychology : research in economic … 29 (2008) 3, pp. 255-275

Persistent link: https://www.econbiz.de/10003755137

Testing for ARCH in the presence of addiative outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562

Persistent link: https://www.econbiz.de/10001421498

Data revisions and periodic properties of macroeconomic data

Franses, Philip Hans - In: Economics letters 120 (2013) 2, pp. 139-141

Persistent link: https://www.econbiz.de/10010127813

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

Short patches of outliers, ARCH and volatility modelling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - In: Applied financial economics 14 (2004) 4, pp. 221-231

Persistent link: https://www.econbiz.de/10001939247

Evaluating real-time forecasts in real-time

Dijk, Dick van (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003753981

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