Modelling and forecasting level shifts in absolute returns

Journal of Applied Econometrics

Volumn 17, Issue 5, 2002, Pages 601-616

  Franses, Philip Hans ^a   Van Der Leij, Marco ^a   Paap, Richard ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036403626     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.690     Document Type: Article

References (20)

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