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type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Perron, Pierre"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Volatility
Zeitreihenanalyse
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63
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63
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35
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21
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14
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14
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Andersen, Torben
Perron, Pierre
Phillips, Peter C. B.
56
Franses, Philip Hans
55
Gil-Alaña, Luis A.
45
Gupta, Rangan
32
Taylor, Robert
32
McAleer, Michael
31
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29
Caporale, Guglielmo Maria
27
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27
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26
Harvey, Andrew C.
25
Koop, Gary
25
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24
Bollerslev, Tim
23
Granger, C. W. J.
23
Hecq, Alain W. J.
22
Herwartz, Helmut
22
Hong, Yongmiao
20
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20
Yu, Jun
20
Engle, Robert F.
19
Hyndman, Rob J.
19
Swanson, Norman R.
19
Teräsvirta, Timo
19
Chan, Joshua
18
Hassler, Uwe
18
Mills, Terence C.
18
Petropoulos, Fotios
18
Asai, Manabu
17
Hendry, David F.
17
Ruiz, Esther
17
Assimakopoulos, V.
16
Lucas, André
16
Marcellino, Massimiliano
16
Peña, Daniel
16
Renault, Eric
16
Diebold, Francis X.
15
Haldrup, Niels
15
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of econometrics
6
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
45
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Forecasting in the presence of in-sample and out-of-sample breaks
Xu, Jiawen
;
Perron, Pierre
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 3001-3035
Persistent link: https://www.econbiz.de/10014329022
Saved in:
3
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
Saved in:
4
Generalized laplace inference in multiple change-points models
Casini, Alessandro
;
Perron, Pierre
- In:
Econometric theory
38
(
2022
)
1
,
pp. 35-65
Persistent link: https://www.econbiz.de/10013166116
Saved in:
5
Testing for changes in forecasting performance
Perron, Pierre
;
Yamamoto, Yohei
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 148-165
Persistent link: https://www.econbiz.de/10012424505
Saved in:
6
Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro
;
Perron, Pierre
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 3-21
Persistent link: https://www.econbiz.de/10013275376
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Measuring business cycles with structural breaks and outliers : applications to international data ☆
Perron, Pierre
;
Wada, Tatsuma
- In:
Research in economics : an international review of economics
70
(
2016
)
2
,
pp. 281-303
Persistent link: https://www.econbiz.de/10011631146
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