Short patches of outliers, ARCH and volatility modelling

Applied Financial Economics

Volumn 14, Issue 4, 2004, Pages 221-231

  Franses, Philip Hans ^a   Van Dijk, Dick ^a   Lucas, André ^b  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; STATISTICAL ANALYSIS; STOCK MARKET;

EID: 1542426433     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000201174     Document Type: Article

References (14)

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