In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Causal relationships in econometrics are typically based on the concept of predictability and are established in terms of tests for Granger causality. These causal relationships are susceptible to change, especially during times of financial turbulence, making the real-time detection of...

We propose a test for the key identification and estimation conditions in Regression Discontinuity (RD) designs. We characterize the set of sharp testable implications of the RD assumptions, for which the proposed test is uniformly valid under a class of distributions, is consistent against all...

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...

We develop Granger causality tests that apply directly to data sampled at different frequencies. We show that taking advantage of mixed frequency data allows us to better recover causal relationships when compared to the conventional common low frequency approach. We also show that the new...

This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...

The increasing attention on Bitcoin since 2013 prompts the issue of possible evidence for a causal relationship between the Bitcoin market and internet attention. Taking the Google search volume index as the measure of internet attention, time-varying Granger causality between the global Bitcoin...