The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et a]. [Andersen, T.G., Bollerslev,T., Diebold, FX, Labys, P., 2003. Modelling and forecasting realized...

This article makes two contributions. First, we outline a simple simulation-based framework for constructing conditional distributions for multifactor and multidimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...

This paper outlines a testing procedure for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models, and surveys existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and...

We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a factor augmented regression [FAR] model. The predictors in the model includes a small number of factors generated to extract most of the information in a set of panel data on a...

This is pre-print of a book review of a graduate econometrics textbook entitled "Statistical Foundations for Econometric Techniques," by Asad Zaman. Four parts of the book cover estimation, testing, asymptotics (first and higher order), and empirical Bayes methods for regression models. Emphasis...

The note examines the susceptibility of envy-free variants of Knaster procedure to manipulations and collusions .

We propose a theoretical approach to bandwidth choice for continuous-time Markov processes. We do so in the context of stationary and nonstationary processes of the recurrent kind. The procedure consists of two steps. In the first step, by invoking local Gaussianity, we suggest an automated...

In this paper we propose a locally interactive model which explains both the cross sectional dynamics as well as the possibility of multiple long run equilibria. Firms can choose between two technologies say 1 and 0; the returns from technology 1 are affected by the number of neighboring firms...

In this paper we provide a simple locally interactive dynamic model of technology choice and output production. We assume a Cobb-Douglas type production function for two available technologies. The returns to technology 0 are not affected by local spillovers. Technology 1 is more costly, as...

This paper reconsiders a block bootstrap procedure for Quasi Maximum Likelihood estimation of GARCH models, based on the resampling of the likelihood function, as proposed by Goncalves and White [2004. Maximum likelihood and the bootstrap for nonlinear dynamic models. journal of Econometrics...