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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

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

Outlier detection in cointegration analysis

Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 459-468

Persistent link: https://www.econbiz.de/10001251800

Outlier robust cointegration analysis

Franses, Philip Hans; Lucas, André - 1995

Persistent link: https://www.econbiz.de/10000924662

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

Testing for smooth transition nonlinearity in the presence of outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 2, pp. 217-235

Persistent link: https://www.econbiz.de/10001410684

Testing for ARCH in the presence of addiative outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562

Persistent link: https://www.econbiz.de/10001421498