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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

Testing nested and non-nested periodically integrated autoregressive models

Franses, Philip Hans; McAleer, Michael - 1995

Persistent link: https://www.econbiz.de/10000907435

Testing for treshold cointegration

Dijk, Dick van; Franses, Philip Hans - 1996

Persistent link: https://www.econbiz.de/10000934396

Does seasonal adjustment change inference from Markov switching models?

Franses, Philip Hans; Paap, Richard - 1996

Persistent link: https://www.econbiz.de/10000940695

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

Testing the adequacy of log versus level data transformations using macroeconomic time series

Franses, Philip Hans; Swanson, Norman R. - 1996

Persistent link: https://www.econbiz.de/10000945706

Common persistence in nonlinear autoregressive models

Boswijk, Herman Peter; Franses, Philip Hans - 1997

Persistent link: https://www.econbiz.de/10000952484

Modeling item nonresponse in questionnaires

Franses, Philip Hans; Geluk, Irma; Homelen, Paul van - 1998 - Rev. vers

Persistent link: https://www.econbiz.de/10000985357

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

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

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

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