This paper studies in some detail a class of high frequency based volatility (HEAVY) models.  These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data.  Our analysis identifies that the models have momentum and mean...

Empirical studies of the role of non-cognitive skills in driving economic behavior often rely heavily on the assumption that these skills are stable over the relevant time frame. We analyze the change in a specific non-cognitive skill, i.e. locus of control, in order to directly assess the...

In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional...