“...In this article we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit, and GMM. This variance...”

“...We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed...”

“...We propose a method for comparing density forecasts that is based on weighted versions of the continuous ranked probability score. The weighting emphasizes...”

“...The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility...”

“...We consider testing for structural changes in the trend function of a time series without any prior knowledge of whether the noise component is stationary or...”

“...The widespread popularity and use of both the Poisson and the negative binomial models for count data arise, in part, from their derivation as the number of...”

“...We consider testing for multiple structural changes in cointegrated systems and derive the limiting distribution of the sup-Wald test under mild conditions on...”

“...This article is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an...”

“...There has been interest in the possibility of confusing long memory and structural changes in level, and studies showed that when a short-memory process is...”