We introduce a new method to estimate the integrated volatility (IV) and the spot volatility (SV) based on noisy high-frequency data. Our method employs the ReMeDI approach introduced by Li and Linton (2022, Econometrica) to estimate the moments of microstructure noise and thereby eliminate...

This paper studies robust optimal asset-liability management problems for an ambiguity-averse manager in a possibly non-Markovian environment with stochastic investment opportunities. The manager has access to one risk-free asset and one risky asset in a financial market. The market price of...

This paper outlines several optimization techniques useful for deriving optimal monetary and fiscal policy rules in linear dynamic perfect foresight models. Two broad categories, differing in the treatment of risk, are presented. The first group comprises certainty-equivalent optimization, based...

Necessarily, new technical change is facilitated by the development of new technical proficiencies. Whenever the claim to `new technical change' is robust, the accompanying `new technical proficiencies' facilitate an `outcome', in respect of which `old technical proficiencies' are intractable....

This paper extends the Baltagi et al. (2018, 2021) static and dynamic ε-contamination papers to dynamic space-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the...

We revisit the problem of estimating the local average treatment effect (LATE) and the local average treatment effect on the treated (LATT) when control variables are available, either to render the instrumental variable (IV) suitably exogenous or to improve precision. Unlike previous...

Central banks wish to avoid self-fulfilling fluctuations. Monetary rules with a unit response to real rates achieve this under the weakest possible assumptions about the behaviour of households and firms. They are robust to household heterogeneity, hand-to-mouth consumers, non-rational...

We revisit the problem of estimating the local average treatment effect (LATE) and the local average treatment effect on the treated (LATT) when control variables are available, either to render the instrumental variable (IV) suitably exogenous or to improve precision. Unlike previous...