Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. These features must be taken into account to produce accurate forecasts of Value-at-Risk (VaR). We provide a comprehensive look at the problem by considering...

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

We consider the problem of testing for a structural break in the spatial lag parameter in a panel model (spatial autoregressive). We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. The limiting distribution of the test is...

We consider a model in which an outcome depends on two discrete treatment variables, where one treatment is given before the other. We formulate a three-equation triangular system with weak separability conditions. Without assuming assignment is random, we establish the identification of an...

In many microeconometric models we use distances. For instance, in modelling the individual behavior in labor economics or in health studies, the distance from a relevant point of interest (such as a hospital or a workplace) is often used as a predictor in a regression framework. However, in...

By its emissions of greenhouse gases, economic activity is the source of climate change which affects pandemics that in turn can impact badly on economies. Across the three highly interacting disciplines in our title, time-series observations are measured at vastly different data frequencies:...

This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to...

The paper begins with a figurative representation of the contrast between present-day and formal applied econometrics. An explication of the status of bridge principles in applied econometrics follows. To illustrate the concepts used in the explication, the paper presents a simultaneous-equation...

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...

Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method corresponds to the existence of a conditional expectation...