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A vector of quarters representation for bivariate time series

Franses, Philip Hans - 1991

Persistent link: https://www.econbiz.de/10000820494

Forecasting 1 to h steps ahead using partial least squares

Franses, Philip Hans (contributor) - 2006

Persistent link: https://www.econbiz.de/10003391325

A differencing test

Franses, Philip Hans - In: Econometric reviews 14 (1995) 2, pp. 183-193

Persistent link: https://www.econbiz.de/10001180047

Testing for bias in forecasts for independent binary outcomes

Franses, Philip Hans - In: Applied economics letters 28 (2021) 15, pp. 1336-1338

Persistent link: https://www.econbiz.de/10012609665

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