“...Realized kernels use high-frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we...”

“...The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in...”

“...This paper considers the specification and estimation of social interaction models with network structures and the presence of endogenous, contextual and...”

“...¿We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching...”

“...Summary Decomposing volatilities into a common market‐driven component and an idiosyncratic item‐specific component is an important issue in financial...”

“...Summary The spatial dynamic panel data (SDPD) model is a standard tool for analysing data with both spatial correlation and dynamic dependences among economic...”

“...The most widely used measure of segregation is the so-called dissimilarity index. It is now well understood that this measure also reflects randomness in the...”

“...We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios. We establish its null and alternative...”

“...Summary In this paper, we consider forecast combination in a predictive regression. We construct the point forecast by combining predictions from all possible...”