Event studies of market efficiency measure an earnings surprise with the consensus error (CE), defined as earnings minus the average of professional forecasts. If a subset of forecasts can be biased, the ideal but difficult to estimate parameter-dependent alternative to CE is a nonlinear filter...

This paper provides a data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a...

The varying coefficient model is an important class of nonparametric statistical model, which allows us to examine how the effects of covariates vary with exposure variables. When the number of covariates is large, the issue of variable selection arises. In this article, we propose and...