Franses, P.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.
206 Key Publications
filtered by:
-
-
Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350.
-
van Dijk, D., Franses, P.H. and Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment Journal of Econometrics, 110(2):135--165.
-
Bassett, W. and Lumsdaine, R. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36(2):327--363.
-
Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.
-
Geweke, J., Rust, J. and van Dijk, H. (2000). Inference and decision making, Introduction Journal of Applied Econometrics, 6:545--546.
-
Hobijn, B. and Franses, P.H. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.
-
Koop, G. and van Dijk, H. (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach Journal of Econometrics, 97:261--291.
-
Paap, R. and Franses, P.H. (2000). A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables Journal of Applied Econometrics, 15(6):717--744.
-
Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166.
-
Frances, P., Prof. Kloek, T. and Lucas, A. (1998). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89(1-2):293--315.
-
Lumsdaine, R. and Ng, S. (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean Journal of Econometrics, 93(2):257--279.
-
van Dijk, D., Franses, P. and Lucas, A. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.
-
van Dijk, D., Franses, P. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.
-
Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.
-
Franses, P.H. and Vogelsang, T. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240.
-
Franses, P.H. and Lucas, A.(. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.
-
Jones, C., Lumsdaine, R. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337.
-
Bai, J., Lumsdaine, R. and Stock, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432.
-
Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193.