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The Impact of Seasonal Constants on Forecasting Seasonally Cointegrated Time Series
Kunst, R.M.; Franses, P.H. - In: Journal of forecasting 17 (1998) 2, pp. 109-124
Persistent link: https://www.econbiz.de/10006919953
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A Bayesian Analysis of Periodic Integration
Franses, P.H.; Koop, G. - In: Journal of forecasting 16 (1997) 7, pp. 509-532
Persistent link: https://www.econbiz.de/10006921596
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Forecasting Stock Market Volatility Using (Non-linear) Garch Models
Franses, P.H.; Dijk, D.Van - In: Journal of forecasting 15 (1996) 3, pp. 229-236
Persistent link: https://www.econbiz.de/10006928532
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Multi-step Forecast Error Variances for Periodically Integrated Time Series
Franses, P.H. - In: Journal of forecasting 15 (1996) 2, pp. 83-96
Persistent link: https://www.econbiz.de/10006928948
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Periodically Integrated Subset Autoregressions for Dutch Industrial Production and Money Stock
Franses, P.H. - In: Journal of forecasting 12 (1993) 7, pp. 601-614
Persistent link: https://www.econbiz.de/10006954450
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International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - In: Journal of forecasting 32 (2013) 3, pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: Journal of forecasting 29 (2010) 7, pp. 617-634
Persistent link: https://www.econbiz.de/10008935446
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Scalar BEKK and indirect DCC
Caporin, Massimiliano; McAleer, Michael - In: Journal of forecasting 27 (2008) 6, pp. 537-549
Persistent link: https://www.econbiz.de/10003761681
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10003738590