We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility in the presence of bid-ask bounce and non-trading. The adjustment is an extension of the estimator proposed in Christensen et al. (2009). We relax the assumption that all...

We introduce a Mixed-Frequency Factor Model (MFFM) to estimate vast dimensional covari- ance matrices of asset returns. The MFFM uses high-frequency (intraday) data to estimate factor (co)variances and idiosyncratic risk and low-frequency (daily) data to estimate the factor loadings. We propose...

Over the last decade, the going private market has experienced a considerable boom in size and also has become more interesting for private equity investors that are looking to partner with incumbent management. This offers managers the choice to take the firm private themselves in a traditional...

Market share models for weekly store-level data are useful to understand competitive structuresby delivering own and cross price elasticities. These models can however not be used toexamine which brands lose share to which brands during a specific period of time. It is for thispurpose that we...

November 2006 most likely marks the launch of Sony’s PS3, the successor to PS2. Later, Nintendo is expected to launch the Wii, the successor to the GameCube. We answer the question in the title by analyzing the diffusion of the earlier generations of these consoles, and by using a new model...

Recent experimental research has shown that light, low-fat and other claims that signal low calorie content can increase consumption and hence can be counter-effective. In this article we use detailed data from the Dutch National Food Consumption survey to determine the extent to which this...

We study risk perception and actual decision-making by the corporate elite, where we consider CEOs, CFOs and non-executives. We collect data for many members of the elite for Netherlands-based companies using the vignettes method. We find that CEOs are more risk tolerant but do not act...

Indirect network effects are of prime interest to marketers because they affect the growth and takeoff of software availability for, and hardware sales of, a new product. While prior work on indirect network effects in the economics and marketing literature is valuable, these literatures show...

Marketing data appear in a variety of forms. An often-seen form is time-series data, like sales per month, prices over the last few years, market shares per week. Time-series data can be summarized in time-series models. In this chapter we review a few of these, focusing in particular on domains...

We propose a dynamic direct mailing response model with competitive effects, where purchase and promotion history are incorporated. We then map the dynamic competitive interactions amongst the firms sending the mailings. We investigate the short- and long-run impact of a direct mailing on the...