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A generalized dynamic conditional correlation model : simulation and application to many assets

Hafner, Christian M.; Franses, Philip Hans - In: Econometric reviews 28 (2009) 6, pp. 612-631

Persistent link: https://www.econbiz.de/10003881196

Nonlinear time series models in empirical finance

Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.

Persistent link: https://www.econbiz.de/10001484071

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

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

Nonlinear time series models in empirical finance

Franses, Philip Hans; Dijk, Dick van - 2000

The most up-to-date and accessible guide to one of the fastest growing areas in financial analysis by one of Europes's leading teaching and researching teams. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including...