This paper proposes an adjusted-range based self-normalization method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

We investigate the role of individualistic social rules and norms in charitable giving. Individualism in market societies is often criticized as corrupting morality and discouraging charitable giving. We contest that view. We propose direct and indirect mechanisms through which that occurs. In...

Individualistic cultures are associated with economic growth and development. Do they also improve governance of the commons? According to the property rights literature, conservation is more likely when the institutions of property arise from a spontaneous process in response to local problems....

A government’s state capacity strength has a bearing on not only how much revenue it can extract but also on how it extracts revenues. Based on China’s local economic development experience since the 1990s, we draw on two unique household survey datasets to measure county-level local state...

Using a large, unique county‐level panel dataset for China from 1998 to 2006, this paper investigates the relationship between local governments' fiscal pressure and their preference for developing polluting industries. The results show that there exist fiscal pressure effects; namely, a...

Motivated by the stylized fact that intraday returns can provide additional information on the tail behaviour of daily returns, we propose a functional autoregressive value-at-risk approach which can directly incorporate such informational advantage into the daily value-at-risk forecast. Our...

Governments are important financiers of private sector innovation. While these public funds can ease capital constraints and information asymmetries, they can also introduce political distortions. We empirically explore these issues for China, where a quarter of firms' R&D expenditures come from...