Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second...

We extend the pioneering work of Aumann–Serrano by presenting an index of riskiness for gambles with either positive or negative expectations. It can be of use for a variety of abstract behaviors, when adapting the framework of either Expected-Utility Theory or Prospect Theory.

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex...

This paper applies the new procedure developed by Bai and Ng (2006a) to explore the relation between the Fama–French factors and the latent risk factors in China’s stock market. The results show that the Fama–French factors are good proxies for risk factors of portfolios. For individual...

In this paper, we study the Jarque–Bera (JB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions.

Analysing administrative sales data in a quasi-experimental framework, we show that smoking bans did not impact the economic activity of bars and restaurants in Switzerland. However, we find some evidence of a negative impact on sales in discos.

This paper continues discussion on the issue of time series decomposition by presentation of the Empirical Mode Decomposition technique. This technique outperforms well-known time-series filters by providing a deeper insight into the structure of time series.

Imposing the monotone treatment selection (MTS) assumption and the monotone instrumental variable (MIV) assumption implies bounds on average treatment effect that differ from those commonly reported in the applied literature. Instead, for the bounds to be correct, we should use an MTS assumption...

This paper proposes a quantile regression estimator for the diffusion parameter in diffusion processes with compound Poisson jumps. The method is based on discretely sampled observations at high frequency. We verify its consistency and exhibit its robustness to jumps through a simulation study.

Many randomized controlled trials require participants to opt in. Such self-selection could introduce a potential bias, because only the most optimistic may participate. We revisit this prediction. We argue that in many situations, the experimental intervention is competing with alternative...