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Twenty years of cointegration : [... special Conference on Cointegration ... held in Rotterdam, March 23 and 24, 2007]
Boswijk, Herman Peter (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008827063
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Semi-parametric modelling of correlation dynamics
Hafner, Christian M.; Dijk, Dick van; Franses, Philip Hans - 2006
Persistent link: https://www.econbiz.de/10003331369
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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
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Semi-parametric modelling of correlation dynamics
Hafner, Christian M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003010850
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Testing for treshold cointegration
Dijk, Dick van; Franses, Philip Hans - 1996
Persistent link: https://www.econbiz.de/10000934396
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Outlier detection in the GARCH (1,1) model
Franses, Philip Hans; Dijk, Dick van - 1999
Persistent link: https://www.econbiz.de/10001495849
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A multivariate STAR analysis of the relationship between money and output
Rothman, Philip; Dijk, Dick van; Franses, Philip Hans - 1999
Persistent link: https://www.econbiz.de/10001526112
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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
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Nonlinear error-correction models for interest rates in the Netherlands
Dijk, Dick van; Franses, Philip Hans - 1997
Persistent link: https://www.econbiz.de/10000976191
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Short patches of outliers, ARCH and volatility modelling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
Persistent link: https://www.econbiz.de/10000986130