Short patches of outliers, ARCH and volatility modeling

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

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Publication statusPublished - 1998

Publication series

NameTI Discussion Paper
No.98-057/4

Cite this

Franses, P. H., van Dijk, D., & Lucas, A. (1998). Short patches of outliers, ARCH and volatility modeling. (TI Discussion Paper; No. 98-057/4). Amsterdam: Tinbergen Instituut (TI).