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Cointegration in a historical perspective

Boswijk, Herman Peter; Franses, Philip Hans; Dijk, Dick van - In: Journal of econometrics 158 (2010) 1, pp. 156-159

Persistent link: https://www.econbiz.de/10008826866

Cointegration in a historical perspective

Boswijk, Herman Peter; Franses, Philip Hans; Dijk, Dick van - 2009

Persistent link: https://www.econbiz.de/10003877059

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

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

Structural differences in economic growth : an endogenous clustering approach

Basturk, Nalan; Paap, Richard; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003762631

Financial development and convergence clubs

Baştürk, Nalan; Paap, Richard; Dijk, Dick van - 2010

Persistent link: https://www.econbiz.de/10008664075

Structural differences in economic growth : an endogenous clustering approach

Baștürk, Nalan; Paap, Richard; Dijk, Dick van - In: Applied economics 44 (2012) 1/3, pp. 119-134

Persistent link: https://www.econbiz.de/10009504500

Combining density forecasts using focused scoring rules

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of applied econometrics 32 (2017) 7, pp. 1298-1313

Persistent link: https://www.econbiz.de/10011862725

Success and failure of technical trading strategies in the cocoa futures market

Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - 2001

A large set of 5350 trend following technica! trading rules is applied to LIFFEand CSCE cocoa futures prices, and tothe Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% ofthe trading rules generatespositive profits, even when correcting for transaction and borrowing...

Persistent link: https://www.econbiz.de/10011313922

Success and failure of technical analysis in the cocoa futures market

Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - In: Progress in financial markets research, (pp. 25-70). 2012

Persistent link: https://www.econbiz.de/10009678570