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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
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Smooth transition autoregressive models : a survey of recent developments
Dijk, Dick van; Teräsvirta, Timo; Franses, Philip Hans - 2000
Persistent link: https://www.econbiz.de/10001486254
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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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Nonlinear error-correction models for interest rates in the Netherlands
Dijk, Dick van; Franses, Philip Hans - In: Nonlinear econometric modeling in time series : …, (pp. 203-227). 2000
Persistent link: https://www.econbiz.de/10001532229
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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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Testing for arch in the presence of additive outliers
Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1996
Persistent link: https://www.econbiz.de/10000966917
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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
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Short patches of outliers, arch and volatility modeling
Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1998
Persistent link: https://www.econbiz.de/10000988100