No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, “CEV”) propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, thiscould help alleviate specification problems of SVARs in...

This paper investigates the impact of heterogeneous beliefs of professional investors on the currency options market. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over more than ten years, we construct an empirical proxy for...

The k Nearest Neighb or (kNN) density estimator first for-malized by Loftsgaarden and Quesenb erry (1965) is central to a broad range of the literature on density estimation. It is knownto b e strongly uniformly consistent if k increases appropriatelywith the sample size. The contribution of...