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The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence

Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218

Persistent link: https://www.econbiz.de/10012819527

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339

Persistent link: https://www.econbiz.de/10010253639

Long-memory and level shifts in the volatility of stock market return indices

Perron, Pierre; Qu, Zhongjun - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 275-290

Persistent link: https://www.econbiz.de/10008736221

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

Modeling and forecasting stock return volatility using a random level shift model

Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 138-156

Persistent link: https://www.econbiz.de/10003943961

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

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

Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of risk and financial management : JRFM 13 (2020) 8/182, pp. 1-18

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a high-frequency series. Based on the theory of...

Persistent link: https://www.econbiz.de/10012321959

Time instability of the US monetary system : multiple break tests and reduced rank TVP VAR

Kim, Dukpa; Yamamoto, Yohei - 2013

Persistent link: https://www.econbiz.de/10009714377

The exchange rate effects of macro news after the global financial crisis

Cheung, Yin-Wong; Fatum, Rasmus; Yamamoto, Yohei - In: Journal of international money and finance 95 (2019), pp. 424-443

Persistent link: https://www.econbiz.de/10012139590