South Dakota has recently experienced a significant increase in the proportion of acres treated with insecticide. Unfortunately, data on insecticide usage by crop at the county level is not available. The following case study seeks to uncover the reasons for this increase by analyzing...

For an additive autoregression model, we study two types of testing problems. First, a parametric specification of a component function is compared against a nonparametric fit. Second, two nonparametric fits of two different time periods are tested for equality. We apply the theory to a...

We suggest a joint analysis of ex-post intra-day variability in an option and its associated underlying asset market as a novel means of validating an option pricing model. For this purpose, we introduce the notion of option realized variance, by which we mean the cumulative variance realized by...

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day highfrequency data. Copula parameters are...

We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast variance using the GARCH models. Our implied variance...