Suppose an observed time series is generated by a stochastic volatility model-i.e., there is an unobservable state variable controlling the volatility of the innovations in the series. As shown by Nelson (1992), and Nelson and Foster (1994), a misspecified ARCH model will often be able to...

With the 40th anniversary of the Supreme Court’s decision in Moses H. Cone Memorial Hosp. v. ‎Mercury Constr. Corp. approaching, both judges and commentators are calling for the repeal of ‎the “Moses presumption.” This Presumption states that “any doubts” as to the scope of an...

We introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component. We develop a GMM estimator...

We propose an extension of the Fama-MacBeth regression by allowing stock returns to respond differently to firm characteristics. This heterogeneous model can potentially capture non-linearity and interactions. Empirical, applying it to a common set of fifteen firm characteristics, we find that...

We review the current state of the estimation of DSGE models. After introducing a general framework for dealing with DSGE models, the state-space representation, we discuss how to evaluate moments or the likelihood function implied by such a structure. We discuss, in varying degrees of detail,...

We provide a generic method to find full dynamical solutions to binary decision models with interactions. In these models, agents follow a stochastic evolution where they must choose between two possible choices by taking into account the choices of their peers. We illustrate our method by...

Clustered data from a product’s reliability experiments may arise from many sources of heterogeneity in practice such as different test units suppliers, pieces of equipment, and operators. It is of interest for reliability practitioners to investigate how to plan such experiments with the aim...

Let [[EQUATION]] be a sequence of independent and identically distributed random variables on a sub-linear expectation space, [[EQUATION]]. We consider the moments of [[EQUATION]]. The sufficient and necessary conditions for the moments to be finite are given. As an application, we obtain the...

Estimation noise is a well-known issue in empirical portfolio modelling. Estimated weights are known to have huge standard errors and bad predictive quality, which often results in an inferior out-of-sample portfolio performance compared to simple alternatives. Most of the recent literature...

I propose a model of aggregation of intervals relevant in two contexts: the study of legislative delegation and the study of legal standards of behavior. Six axioms: responsiveness, anonymity, continuity, strategyproofness, and two variants of neutrality are then used to prove several important...