Similar Search Results

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

Outlier detection in cointegration analysis

Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 459-468

Persistent link: https://www.econbiz.de/10001251800

Outlier robust cointegration analysis

Franses, Philip Hans; Lucas, André - 1995

Persistent link: https://www.econbiz.de/10000924662

Testing for smooth transition nonlinearity in the presence of outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000944648

Short patches of outliers, ARCH and volatility modelling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

Persistent link: https://www.econbiz.de/10000986130

Short patches of outliers, arch and volatility modeling

Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1998

Persistent link: https://www.econbiz.de/10000988100

Schätzung und Spezifikation ökonometrischer neuronaler Netze

Lucas, André - 2003 - 1. Aufl.

Künstliche neuronale Netze sind ein in der Theorie oft beschriebenes und in der Praxis der Wirtschaftswissenschaften, Informatik sowie Natur- und Ingenieurwissenschaften häufig eingesetztes Instrument zur Durchführung von Datenanalysen. Darstellungen neuronaler Netze entstammen jedoch...