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Further evidence on breaking trend functions in macroeconomic variables

Perron, Pierre - 1990 - Rev

Persistent link: https://www.econbiz.de/10000803464

Unit roots and trend breaks

Perron, Pierre (ed.) - 2019

Persistent link: https://www.econbiz.de/10011995529

Structural change

Perron, Pierre (ed.) - 2019

Persistent link: https://www.econbiz.de/10011995535

Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"

Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892

Persistent link: https://www.econbiz.de/10011621864

Forecasting return volatility : level shifts with varying jump probability and mean reversion

Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463

Persistent link: https://www.econbiz.de/10010511565

Modelling exchange rate volatility with random level shifts

Li, Ye; Perron, Pierre; Xu, Jiawen - In: Applied economics 49 (2017) 26, pp. 2579-2589

Persistent link: https://www.econbiz.de/10011819611

Unit roots and structural breaks

Perron, Pierre (ed.) - 2018

This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have...

Persistent link: https://www.econbiz.de/10011898070

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393

Persistent link: https://www.econbiz.de/10011906384

Time series econometrics

Perron, Pierre (ed.) - 2019

Persistent link: https://www.econbiz.de/10011789580

On the usefulness or lack thereof of optimality criteria for structural change tests

Perron, Pierre; Yamamoto, Yohei - 2012

Persistent link: https://www.econbiz.de/10009666607