Franses Philip Hans

Philip Hans Franses

Information about the author Philip Hans Franses will soon be added to the site.
Found 33 papers in total
A model selection strategy for time series with increasing seasonal variation
A model selection strategy for time series with increasing seasonal variation
1998
We propose a model selection strategy for time series with increasing seasonal...
Additive outliers, GARCH and forecasting volatility
Additive outliers, GARCH and forecasting volatility
1999
The Generalized Autoregressive Conditional Heteroscedasticity [GARCH] model is often...
A Bayesian analysis of periodic integration
A Bayesian analysis of periodic integration
1997
Recent empirical research into the seasonal and trend properties of macro-economic...
Mean shifts, unit roots and forecasting seasonal time series
Mean shifts, unit roots and forecasting seasonal time series
1997
Examples of descriptive models for changing seasonal patterns in economic time series...
A co-integration approach to forecasting freight rates in the dry bulk shipping sector
A co-integration approach to forecasting freight rates in the dry bulk shipping sector
1997
In this paper, a vector autoregressive model is developed for a sample of ocean dry...
A periodic long-memory model for quarterly UK inflation
A periodic long-memory model for quarterly UK inflation
1997
The authors consider an extension of the fractionally integrated ARIMA(0, d,0) model...
Multi-step forecast error variances for periodically integrated time seires
Multi-step forecast error variances for periodically integrated time seires
1996
A periodically integrated (PI) time series process assumes that the stochastic trend...
Unit roots in the Nelson-Plosser data: Do they matter for forecasting?
Unit roots in the Nelson-Plosser data: Do they matter for forecasting?
1996
In this paper tha authors compare two univariate time series models, i.e. one with and...
Periodic integration in quarterly U.K. macroeconomic variables
Periodic integration in quarterly U.K. macroeconomic variables
1993
This paper presents empirical evidence on the seasonal patterns in several U.K....
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