We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

We carry out some analysis of the daily data on the number of new cases and number of new deaths by (191) countries as reported to the European CDC. We work with a quadratic time trend model applied to the log of new cases for each country. This seems to accurately describe the trajectory of the...

We investigate bargaining processes with two opponent parties, each consisting of two subjects. The parties negotiate about the distribution of a certain amount of money. The sum of the payoffs of the four subjects is not constant. The payoff situations are asymmetric. Between the two parties,...

What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms over the period from 1990 to 2014. Identification of this effect is complicated because of unobserved, common shocks such...

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...