The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et a]. [Andersen, T.G., Bollerslev,T., Diebold, FX, Labys, P., 2003. Modelling and forecasting realized...

This article makes two contributions. First, we outline a simple simulation-based framework for constructing conditional distributions for multifactor and multidimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...

This paper outlines a testing procedure for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models, and surveys existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and...

Probabilistic forecasts play a significant role in a wide variety of economics activities. However, established econometric modeling approaches for probabilistic forecasts may yield unsatisfactory forecasting performance due to model misspecification. In my dissertation, I try to minimize such a...

I discuss three topics in this thesis. The first two concern topics centering on addition to the S&P 500 Index. In chapters two and three, I examine the price and liquidity effects (respectively) of additions to the S&P500 Index from January 1993 to December 2000. The results from chapter two...

This thesis explores two issues regarding corporate equity issuance. The first chapter studies the timing of seasoned equity offerings (SEOs) at the firm level. Descriptive statistics formulated using US data from 1975 to 2004 show that when firms return to the equity market, they tend to do so...

The subject of the present thesis is to apply microeconometrictechniques to labor economics and criminal behavior. There are twoindependent chapters. The aim of chapter one is to build andestimate an econometric model of recidivism for the United Statesusing data set of released prisoners from...

This thesis consists of three chapters. The first chapter investigates how the functional operator used in Kocherlakota (1996) is linked to the game underlying the model. Using the machinery developed by Abreu et al. (1990) (APS) I solve for the set of equilibrium value profiles directly....

Managers have the ability to time the disclosure of the non-cash component of earnings, which, is termed accrual information, to outside investors. They have the choice of disclosing accrual information at the earnings announcement or waiting until the filing date. This thesis examines whether...

This thesis is composed of four chapters.The first chapter is titled "The Impact of Cost Synergies on Bidding in the Georgia School Milk Market," co-authored with Robert C. Marshall, Matthew E. Raiff, and Jean-Francois Richard. Each summer milk processors around the country participate in sealed...