In applied density estimation problems, one often has data not only on the target variable, but also on a collection of covariates. In this paper, we study a density estimator that incorporates this additional information by combining parametric estimation and conditional Monte Carlo. We prove...

Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path...