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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

Nonlinear time series models in empirical finance

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

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

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

Outlier detection in the GARCH (1,1) model

Franses, Philip Hans; Dijk, Dick van - 1999

Persistent link: https://www.econbiz.de/10001495849

Short patches of outliers, arch and volatility modeling

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

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

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...