In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the first class of moment conditions derived by...

In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the rst class of moment conditions derived by...

This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR-SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility...

This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard...

In this paper we present and estimate a synthesis of previous equilibrium search models: allowing for continuous distributions of workers opportunity costs of employment, as well as firms' productivities. The model allows for on-the-job search, and we assume that job offer arrival rates for...

In this article we develop an equilibrium search model with a continuous distribution of firm productivity types within a given labor market. We characterize equilibrium, derive expressions for the endogenous equilibrium wage distributions, and characterize the set of wage distributions that can...

In this article we present and estimate a synthesis of previous equilibrium search models, allowing for continuous distributions of workers' opportunity costs of employment as well as firms' productivities. The model allows for on-the-job search, and we assume that job offer arrival rates for...