This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as T--[infinity]), and show that forecast evaluation tests may be...

Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks...

This article considers the estimation of the parameters of a copula via a simulated method of moments (MM) type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals...

Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared forecast error should be increasing in the horizon, and the mean squared forecast should be decreasing in the horizon. We propose rationality...

We develop an unobserved-components approach to study surveys of forecasts containing multiple forecast horizons. Under the assumption that forecasters optimally update their beliefs about past, current, and future state variables as new information arrives, we use our model to extract...

Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared forecast error should be increasing in the horizon, and the mean squared forecast should be decreasing in the horizon. We propose rationality...

We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for...