We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative...

We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the...

This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors. In particular, this paper allows for discrete measurement of the durations as happens often in practice. The integrated baseline hazard and all...

I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on GMM estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the moment function, which has been considered as critical for...

We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory....

In this paper, we explore partial identification and inference for the quantile of treatment effects for randomized experiments. First, we propose nonparametric estimators of sharp bounds on the quantile of treatment effects and establish their asymptotic properties under general conditions....

This article proposes a nonparametric test of monotonicity for conditional distributions and its moments. Unlike previous proposals, our method does not require smooth estimation of the derivatives of nonparametric curves. Distinguishing features of our approach are that critical values are...

We propose two new jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps. Specifically, our MedRV estimator has better efficiency properties than the tripower variation measure and displays better finite-sample robustness to jumps and...

This paper supplements Manski (1990) and Manski and Pepper (2000) and contributes to the literature by introducing the concept of weak IV for the partially identified mean counterfactual outcomes when an instrumental variable (IV) or a monotone instrumental variable (MIV) is available (IV or MIV...

The sample mean is one of the most natural estimators of the population mean based on independent identically distributed sample. However, if some control variate is available, it is known that the control variate method reduces the variance of the sample mean. The control variate method often...