We propose a demand estimation method that allows for a large number of zerosale observations, rich unobserved heterogeneity, and endogenous prices. We do so by modeling small market sizes through Poisson arrivals. Each of these arriving consumers solves a standard discrete choice problem. We...

We develop an analytically tractable method to estimate the fraction of unreported infections in epidemics with a known epicenter and estimate the number of unreported COVID-19 infections in the U.S. during the first half of March 2020. Our method utilizes the covariation in initial reported...

This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...

Many financial markets are populated by dealers, who commit to participate regularly in the market, and non-dealers, who do not commit. This market structure introduces a trade-off between competition and volatility, which we study using data on Canadian treasury auctions. We document a...