Functional Weak Limit Theory for Rare Outlying Events
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- Mccloskey, Adam & Perron, Pierre, 2013.
"Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
- Gary Biglaiser & Ching-to Albert Ma, 2007.
"Moonlighting: public service and private practice,"
RAND Journal of Economics, RAND Corporation, vol. 38(4), pages 1113-1133, December.
- Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics.
- Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Working Papers 12, Portuguese Competition Authority.
- Rasmus T. Varneskov & Pierre Perron, 2018.
"Combining long memory and level shifts in modelling and forecasting the volatility of asset returns,"
Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 371-393, March.
- Pierre Perron & Rasmus T. Varneskov, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2011-050, Boston University - Department of Economics.
- Rasmus T. Varneskov & Pierre Perron, 2017. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.
- Rasmus T. Varneskov & Pierre Perron, 2015. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series wp2015-015, Boston University - Department of Economics.
- Rasmus Tangsgaard Varneskov & Pierre Perron, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers 2011-26, Department of Economics and Business Economics, Aarhus University.
- YAMAMOTO, Yohei & 山本, 庸平, 2015.
"Asymptotic Inference for Common Factor Models in the Presence of Jumps,"
Discussion Papers
2015-05, Graduate School of Economics, Hitotsubashi University.
- YAMAMOTO, Yohei & 山本, 庸平, 2016. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion paper series HIAS-E-4, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Pierre Perron & Yohei Yamamoto, 2016.
"On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
- Pierre Perron & Yohei Yamamoto, "undated". "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series 2013-012, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
- Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
- Perron, Pierre & Qu, Zhongjun, 2010.
"Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
- Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
- Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
- Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
- Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-03-11 (Econometrics)
- NEP-ETS-2003-03-03 (Econometric Time Series)
- NEP-RMG-2003-03-03 (Risk Management)
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