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Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of empirical finance 20 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010063414
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On the irrelevance of impossibility theorems : the case of the long-run variance
Perron, Pierre; Ren, Linxia - In: Journal of time series econometrics 3 (2011) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10010029890
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A Note on the Selection of Time Series Models
Ng, Serena; Perron, Pierre - In: Oxford bulletin of economics and statistics 67 (2005) 1, pp. 115
Persistent link: https://www.econbiz.de/10006422890
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Estimation in the presence of heteroskedasticity of unknown form : a lasso-based approach
González-Coya, Emilio; Perron, Pierre - In: Journal of econometric methods 13 (2024) 1, pp. 29-48
Persistent link: https://www.econbiz.de/10014580272
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ARTICLES - An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
Perron, Pierre; Ng, Serena - In: Econometric theory 14 (1998) 5, pp. 560-603
Persistent link: https://www.econbiz.de/10006991447
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Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
Perron, Pierre; Vodounou, Cosme - In: Journal of empirical finance 11 (2004) 2, pp. 203-230
Persistent link: https://www.econbiz.de/10007230870
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THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
Perron, Pierre; Vodounou, Cosme - In: Econometric theory 21 (2005) 3, pp. 562-592
Persistent link: https://www.econbiz.de/10006959951
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Computation and analysis of multiple structural change models
Bai, Jushan; Perron, Pierre - In: Journal of applied econometrics 18 (2003) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10006968778
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THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
Deng, Ai; Perron, Pierre - In: Econometric theory 24 (2008) 3, pp. 809-822
Persistent link: https://www.econbiz.de/10007992753
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Critical values for multiple structural change tests
Bai, Jushan; Perron, Pierre - In: The econometrics journal 6 (2003) 1, pp. 72-78
Persistent link: https://www.econbiz.de/10007463716