In this note, we address nonparametric identification of a collective model of household behavior in the presence of additive unobserved heterogeneity in the sharing rule. We show that the (nonstochastic part of the) sharing rule is nonparametrically identified. Moreover, under independence...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...