Short patches of outliers, ARCH and volatility modeling

P.H. Franses, D. van Dijk, A. Lucas

Research output: Working paper / Preprint › Working paper › Professional

13 Downloads (Pure)

Name	TI Discussion Paper
No.	98-057/4

Access to Document

@techreport{21a3ccb1128c460a8c085d8a1e0aa7b2,

title = "Short patches of outliers, ARCH and volatility modeling",

author = "P.H. Franses and {van Dijk}, D. and A. Lucas",

year = "1998",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Instituut (TI)",

number = "98-057/4",

type = "WorkingPaper",

institution = "Tinbergen Instituut (TI)",

}