\van Dijk\, D., Franses, \.H. and Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment Journal of Econometrics, 110(2):135--165.
23 Key Publications
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Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350. -
Franses, \.H., \van der Leij\, M. and Paap, R. (2002). Modelling and forecasting level shifts in absolute returns Journal of Applied Econometrics, 17(5):606--616.