Modelling and forecasting level shifts in absolute returns

Research output: Contribution to journal › Article › Academic › peer-review

9 Citations (Scopus)

Original language	Undefined/Unknown
Pages (from-to)	606-616
Number of pages	11
Journal	Journal of Applied Econometrics
Volume	17
Issue number	5
DOIs	https://doi.org/10.1002/jae.690
Publication status	Published - 2002

Research programs

@article{2709eae7c2f64bf6ae5a17ac613a4806,

title = "Modelling and forecasting level shifts in absolute returns",

author = "Franses, \{Philip Hans\} and \{van der Leij\}, MJ and Richard Paap",

year = "2002",

doi = "10.1002/jae.690",

language = "Undefined/Unknown",

volume = "17",

pages = "606--616",

journal = "Journal of Applied Econometrics",

issn = "0883-7252",

publisher = "John Wiley \& Sons Ltd.",

number = "5",

}