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On the dynamics of business cycle analysis: editors' introduction

Franses, Philip Hans; Dijk, Herman K. van; Dijk, Dick van - In: Journal of Applied Econometrics 20 (2005) 2, pp. 147-150

Persistent link: https://www.econbiz.de/10005252018

Short Patches of Outliers, ARCH and Volatility Modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - Tinbergen Institute - 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/10005281753

SETS, Arbitrage Activity, and Stock Price Dynamics

Taylor, Nick; Dijk, Dick van; Franses, Philip Hans; … - Tinbergen Institute - 1999

This paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the transaction costs faced by heterogeneous investors who use the exchange. The recent introduction of SETS in the London Stock Exchange provides an excellent opportunity...

Persistent link: https://www.econbiz.de/10005281794

SETS, arbitrage activity, and stock price dynamics

Taylor, Nick; Dijk, Dick van; Franses, Philip Hans; … - In: Journal of Banking & Finance 24 (2000) 8, pp. 1289-1306

Persistent link: https://www.econbiz.de/10005201260

Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models

Boswijk, H. Peter; Franses, Philip Hans; Dijk, Dick van - Econometric Society - 2000

No abstract.

Persistent link: https://www.econbiz.de/10005328629

Special Section on Consumer Price Research - 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/10008218548

Short Patches of Outliers, ARCH and Volatility Modeling

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

Persistent link: https://www.econbiz.de/10011256237

Short patches of outliers, ARCH and volatility modelling 1

Franses, Philip Hans; Dijk, Dick van; Lucas, André - In: Applied financial economics 14 (2004) 4, pp. 221-232

Persistent link: https://www.econbiz.de/10007650957

[Rezension von: Mills, Terence C., The econometric modelling of financial time series]

Dijk, Dick van - In: De economist : Netherlands economic review ; quarterly … 148 (2000) 3, pp. 412-413

Persistent link: https://www.econbiz.de/10001508942

Trends in periodic autoregressions

Paap, Richard - In: PhD research bulletin / Tinbergen Institute 7 (1995) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10001202753