We develop a two-stage game in which competing airlines first choose the networks of markets to serve in the first stage before competing in price in the second stage. Spillovers in entry decisions across markets are allowed, which accrue on the demand, marginal cost, and fixed cost sides. We...

We analyze the identification and estimation of parameters β satisfying the incomplete linear moment restrictions E(zT (xβ−y)) = E(zT u(z)) where z is a set of instruments and u(z) an unknown bounded scalar function. We first provide empirically relevant examples of such a set-up. Second, we...

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...

This paper proposes new measures of the integrated variance, measures which use highfrequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price. However, the recent high-frequency econometric literature takes the...

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...