This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard...

This paper proposes instrumental variable estimators for multiple linear regression models with errors in the explanatory variables, that require no extraneous information. As is very well known, the ordinary least squares estimator (OLS), which is based on the sample moments of order two, is...

Regression models sometimes contain a linear parametric part and a part obtained by reducing the dimension of a larger set of data. This paper considers properties of estimates of the interpretable parameters of the model, in a general setting in which a potentially unbounded set of other...

In hedonic regression models of the valuation of works of art, the age at which an artist produces a particular work, or an indicator variable for periods in his or her artistic career, is often found to have highly significant predictive value. Most existing results are based on regressions...