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

The topic of volatility measurement and estimation is central to financial and more generally time-series econometrics. In this chapter, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

In the context of latent factor models that are widely used in economics, a common assumption made is one of factor pervasiveness, which implies that all available predictor or informative variables in a dataset, with the possible exception of a negligible number of them, load significantly on...

In this paper, we provide new empirical evidence of the relative usefulness of interval (density) and point forecasts of asset-return volatility, in the context of financial risk management using high frequency data. In our evaluation we use both statistical criteria (i.e., accuracy of...

In this paper, we introduce a class of multi-frequency financial and macroeconomic uncertainty measures. The factors are latent variables extracted from a state space model that includes multiple different frequencies of non-parametrically estimated components of quadratic variation, as well as...

When specifying and estimating latent factor models, a common assumption made is one of factor pervasiveness, which requires that Γ'Γ/N converges to a positive definite matrix, as N → ∞, where Γ denotes the loading matrix of the factor model. This paper builds on the recent nascent...

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a, b, c) to examine the importance of jumps, and in particular “large” and “small” jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures...

Large aggregation interval asymptotics are used to investigate the relation between Granger causalityin disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the aggregated system. One of our main contributions is that we outline various...