Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly...

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in...

“Imagine a world in which every single person on the planet is given free access to the sum of all human knowledge. That’s what we’re doing.” At a time when internet access is widely available, information is spread around the globe rapidly. This development enables people in various...

Using an applied general equilibrium of the Swiss economy the economic consequences of an environmental tax reform are analysed. Such a reform is followed by a substantial reduction of C02 emissions and the use of non-renewable energy (first dividend), and a reduction of involuntary...