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Publication Venue For
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Dynamic Bayesian predictive synthesis in time series forecasting
2018
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale.
205:140-155.
2018
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Extremal quantile regressions for selection models and the black–white wage gap.
203:129-142.
2018
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Mixed-scale jump regressions with bootstrap inference.
201:417-432.
2017
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Adaptive estimation of continuous-time regression models using high-frequency data.
200:36-47.
2017
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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.
196:347-367.
2017
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High-dimensional copula-based distributions with mixed frequency data.
193:349-366.
2016
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Inference theory for volatility functional dependencies.
193:17-34.
2016
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Exploiting the errors: A simple approach for improved volatility forecasting.
192:1-18.
2016
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Methods for measuring expectations and uncertainty in Markov-switching models.
190:79-99.
2016
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Stock return and cash flow predictability: The role of volatility risk.
187:458-471.
2015
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The fine structure of equity-index option dynamics.
187:532-546.
2015
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Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes.
187:293-311.
2015
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Some new asymptotic theory for least squares series: Pointwise and uniform results.
186:345-366.
2015
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Specification tests for partially identified models defined by moment inequalities.
185:259-282.
2015
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Time-varying jump tails.
183:168-180.
2014
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Volatility activity: Specification and estimation.
178:180-193.
2014
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Volatility activity: Specification and estimation.
178:180-193.
2014
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Identification of first-price auctions with non-separable unobserved heterogeneity.
174:186-193.
2013
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Identification of first-price auctions with non-separable unobserved heterogeneity.
174:186-193.
2013
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Inference on an extended Roy model, with an application to schooling decisions in France.
174:95-106.
2013
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Jump tails, extreme dependencies, and the distribution of stock returns.
172:307-324.
2013
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Robust firm pricing with panel data.
174:165-185.
2013
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Testing for jumps in noisy high frequency data.
168:207-222.
2012
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Modeling college major choices using elicited measures of expectations and counterfactuals.
166:3-16.
2012
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Set identification via quantile restrictions in short panels.
166:127-137.
2012
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Realized Laplace transforms for estimation of jump diffusive volatility models.
164:367-381.
2011
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Data-based ranking of realised volatility estimators.
161:284-303.
2011
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures.
160:176-189.
2011
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.
160:235-245.
2011
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Realized jumps on financial markets and predicting credit spreads.
160:102-118.
2011
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Realized volatility forecasting and market microstructure noise.
160:220-234.
2011
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Volatility forecast comparison using imperfect volatility proxies.
160:246-256.
2011
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Jumps and betas: A new framework for disentangling and estimating systematic risks.
157:220-235.
2010
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Explaining cross-racial differences in teenage labor force participation: Results from a two-sided matching model.
156:201-211.
2010
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Activity signature functions for high-frequency data analysis.
154:125-138.
2010
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Inference on endogenously censored regression models using conditional moment inequalities.
152:104-119.
2009
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A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.
150:151-166.
2009
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Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities.
146:107-117.
2008
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Partial identification and testable restrictions in multi-unit auctions.
146:74-85.
2008
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Risk, jumps, and diversification.
144:234-256.
2008
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Properties of optimal forecasts under asymmetric loss and nonlinearity.
140:884-918.
2007
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications.
138:125-180.
2007
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Common factors in conditional distributions for bivariate time series.
132:43-57.
2006
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Volatility puzzles: A simple framework for gauging return-volatility regressions.
131:123-150.
2006
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Predicting the efficacy of future training programs using past experiences at other locations.
125:241-270.
2005
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Ability sorting and the returns to college major.
121:343-375.
2004
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Alternative models for stock price dynamics.
116:225-257.
2003
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Frontiers of financial econometrics and financial engineering.
116:1-7.
2003
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Some causal lessons from macroeconomics.
112:121-125.
2003
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Market efficiency, asset returns, and the size of the risk premium in global equity markets.
109:195-237.
2002
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility.
109:33-65.
2002
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Financial econometrics: Past developments and future challenges.
100:41-51.
2001
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Notes on financial econometrics.
100:57-64.
2001
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The relative efficiency of method of moments estimators.
92:149-172.
1999
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Long-term equity anticipation securities and stock market volatility dynamics.
92:75-99.
1999
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Estimation of stochastic volatility models with diagnostics.
81:159-192.
1997
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Health and wages: evidence on men and women in urban Brazil..
77:159-185.
1997
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Fractionally integrated generalized autoregressive conditional heteroskedasticity.
74:3-30.
1996
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Inference in successive sampling discovery models.
75:217-238.
1996
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Modeling and pricing long memory in stock market volatility.
73:151-184.
1996
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Volume, volatility, and leverage: A dynamic analysis.
74:177-208.
1996
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Empirical model particularities and belief in the natural rate hypothesis.
67:81-102.
1995
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Nonparametric estimation of structural models for high-frequency currency market data.
66:251-287.
1995
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ARCH modeling in finance. A review of the theory and empirical evidence.
52:5-59.
1992
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Prediction in dynamic models with time-dependent conditional variances.
52:91-113.
1992
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Statistical and measurement issues in assessing the welfare status of aged individuals and populations.
50:151-181.
1991
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Editor's introduction.
46:3-5.
1990
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Editor's introduction.
46:3-5.
1990
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Editors' introduction.
45:1-5.
1990
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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution.
45:141-179.
1990
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Improved estimation of the disturbance variance in a linear regression model.
39:387-395.
1988
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Generalized autoregressive conditional heteroskedasticity.
31:307-327.
1986
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Diagnostic testing and evaluation of maximum likelihood models.
30:415-443.
1985
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Bayesian input in Stein estimation and a new minimax empirical Bayes estimator.
25:87-108.
1984
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A heteroscedasticity-consistent covariance matrix estimator for time series regressions.
22:281-290.
1983
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Goodness of fit for seemingly unrelated regressions. Glahn's R2
y.xand Hooper's r̄2.
6:381-387.
1977
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Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances.
6:389-394.
1977