This article develops a novel nonparametric time-varying auto-regressive distributed-lag model to estimate and test the persistence of inflation. To characterize the temporal instability of persistence in the inflation process, our proposed model allows for time-varying coefficients with...

We propose a difference-in-difference estimator with a continuous treatment. We consider an heterogeneous adoption design where no unit is treated at period one, all units receive a strictly positive treatment dose at period two, and there are units with a treatment dose close to zero at period...

The paper examines the impact of the export status of the company on its efficiency. For this purpose, a semi-parametric assessment of the effectiveness of firms is built. After that, an empirical assessment of the effect of participation in export activities on the productivity of the company...

Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...