In this article, we propose a nonparametric procedure to estimate the integrated volatility of an Itô semimartingale in the presence of jumps and microstructure noise. The estimator is based on a combination of the preaveraging method and threshold technique, which serves to remove...

Empirical evidence of asset price discontinuities or “jumps” in financial markets has been well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general “jump activity index” to describe the degree of jump activities for asset price semimartingales, and...

We study nonparametric estimation of regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional ARIMA model. A local linear estimation method is developed to estimate the unknown regression function....

Two traditional assumptions in shock models are that the failure of a system is related either to the cumulative effect of a large number of shocks or to the maximum magnitude of shocks ever occur. The present paper provide another type (only concentrating on inter-arrivals) of shock model...

In order to help farmers improve production, there is a need to link input and output operations, and agricultural cooperatives may be the best form. The cooperatives in Vietnam in general and in the Mekong River Delta in particular, however, still have certain drawbacks in their operation. The...

Using panel data from 50 countries and 35 urban areas (covering a wide range of country incomes), the authors summarize trends in motorization and the provision of roads, and they examine the ratio of motor vehicles to roads in a production function framework at both national andurban levels....

The authors extend their earlier empirical work by exploring alternative specifications for the relationship between vehicle ownership, road length, and the ratio of vehicles to road length, on the one hand, and income, population, pollution density, and other variables on the other. For the...

We propose a new threshold–pre-averaging realized estimator for the integrated co-volatility of two assets using non-synchronous observations with the simultaneous presence of microstructure noise and jumps. We derive a noise-robust Hayashi–Yoshida estimator that allows for very general...

The authors survey past trends in vehicle ownership and road network expansion to analyze determinants of their growth at the national and urban level. Surprisingly, they find that: Nationally, income is a major determinant of both vehicle ownership and road length. Nationally, paved road length...