Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed shape of the hazard function, i.e. its two most...

In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

This paper uses nonparametric kernel methods to construct observation-specific elasticities of substitution for a balanced panel of 73 developed and developing countries to examine the capital-skill complementarity hypothesis. The exercise shows some support for capital-skill complementarity,...

This paper investigates how students' collegiate athletic participation affects their subsequent labor market success. It uses newly developed distributional tests to establish that the wage distribution of former college athletes is significantly different from non-athletes and that athletic...

This paper relaxes the assumption of homogeneous rates of return to schooling by employing nonparametric kernel regression. This approach allows us to examine the differences in rates of return to education both across and within groups. Similar to previous studies we find that on average blacks...

In this paper we compare two flexible estimators of technical efficiency in a cross-sectional setting: the nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar and Wilson (2008). We assess the finite sample...

Empirical growth regressions typically include mean years of schooling as a proxy for human capital. However, empirical research often finds that the sign and significance of schooling depends on the sample of observations or the specification of the model. We use a nonparametric local-linear...

This paper relaxes the assumption of homogeneous rates of return to schooling by employing nonparametric kernel regression. This approach allows us to examine the differences in rates of return to education both across and within groups. Similar to previous studies we find that on average blacks...

We examine the educational production function and efficiency of public school districts in Illinois. Using nonparametric kernel methods, we find that most traditional schooling inputs are irrelevant in determining test scores (even in a very general setting). Property tax caps are the only...