Franz C Palm

Biographic Data

ID8758906
NAMEFranz C Palm
GIVEN NAMESFranz C
FAMILY NAMEPalm
SIGNATUREPALM F C
AFFILIATIONSTransnational University Limburg
ORCID0000-0002-5972-587X
VERIFIEDYes
TOTAL WORKS9
TOTAL CITATIONS0
WORKS AS AUTHOR9
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1986
LATEST PUBLICATION YEAR2010
H-INDEX0

  • Persistence of Innovation in Dutch Manufacturing

    Wladimir Raymond, Pierre Mohnen et al.ARTICLEThe Review of Economics and…2010

    This paper studies the persistence of innovation in Dutch manufacturing using an unbalanced panel of firm data from four waves of the Community Innovation Survey between 1994 and 2002. We estimate by maximum likelihood a dynamic type 2 tobit model accounting for individual effects and handling the initial conditions problem. We find true persistence in the probability of innovating in the high-tech category of industries and spurious persistence …

  • Tail-Index Estimates in Small Samples

    Ronald Huisman, Kees Koedijk et al.ARTICLEJournal of Business and Economic…2001

    Financial returns are known to be nonnormal and tend to have fat-tailed distributions. This article presents a simple methodology that accurately estimates the degree of tail fatness, characterized by the tail index, in small samples. Our method is a weighted average of Hill estimators for different threshold values that corrects for the small-sample bias apparent in the latter. Using this estimator we produce tail-index estimates for returns on …

  • Pooling in Dynamic Panel-Data Models

    André J Hoogstrate, Franz C Palm et al.ARTICLEJournal of Business and Economic…2000

    In this article, we analyze issues of pooling models for a given set of N individual units observed over T periods of time. When the parameters of the models are different but exhibit some similarity, pooling may lead to a reduction of the mean squared error of the estimates and forecasts. We investigate theoretically and through simulations the conditions that lead to improved performance of forecasts based on pooled estimates. We show that the …

  • Premia in Forward Foreign Exchange as Unobserved Components

    Theo Nijman, Theo E Nijman et al.ARTICLEJournal of Business and Economic…1993

    We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the differenc…

  • The Message in Weekly Exchange Rates in the European Monetary System

    Peter J G Vlaar, Peter Vlaar et al.ARTICLEJournal of Business and Economic…1993

    Weekly rates of the European Monetary System (EMS) vis-à-vis the Deutsche mark from April 1979 to March 1991 are modeled as a combined MA (1)–GARCH(1, 1)–jump process. The moving average (MA) part accounts for mean reversion required for the rates to stay inside the target zone. The generalized autoregressive conditional heteroscedasticity (GARCH) part accounts for changing volatility, whereas the jump process models parity changes and other erra…

  • Predictive Accuracy Gain From Disaggregate Sampling in Arima Models

    Theo Nijman, Theo E Nijman et al.ARTICLEJournal of Business and Economic…1990

    Economics

  • Macroeconomic Forecasting Using Pooled International Data

    Antonio Garcı́a-Ferrer, Richard Highfield et al.ARTICLEJournal of Business and Economic…1987

  • Wald Criteria for Jointly Testing Equality and Inequality Restrictions

    David A Kodde, Franz C PalmARTICLEEconometrica1986

    On montre comment le test de Wald s'applique a des ensembles de restrictions d'egalite et d'inegalite et on presente la distribution, pour de grands echantillons, du test sous l'hypothese nulle

  • The Construction and Use of Approximations for Missing Quarterly Observations

    Th E Nijman, Franz C PalmARTICLEJournal of Business and Economic…1986

    We use a model-based approach to derive quarterly figures on several variables for the aggregate labor market in the Netherlands that are only observed annually. These approximations are conditional expectations derived from univariate and bivariate quarterly time series models for the series under consideration. They are subsequently used as proxies to estimate and analyze the structural labor market equations. Attention is given to the properti…