Modelling and forecasting level shifts in absolute returns
Article first published online: 28 OCT 2002
Copyright © 2002 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Special Issue: Modelling and Forecasting Financial Volatility
Volume 17, Issue 5, pages 601–616, September/October 2002
How to Cite
Franses, P. H., Van Der Leij, M. and Paap, R. (2002), Modelling and forecasting level shifts in absolute returns. J. Appl. Econ., 17: 601–616. doi: 10.1002/jae.690
- Issue published online: 28 OCT 2002
- Article first published online: 28 OCT 2002
- Manuscript Revised: 3 APR 2002
- Manuscript Received: 9 NOV 2001
- Netherlands Organization for Scientific Research.
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