Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...

The Czech Republic has been a successful recipient of foreign direct investment over recent years. Therefore, it is important to understand the decisions made by foreign investors where to place their investments and how to decide about their location between alternative industries. The aim of...

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

This paper provides a new comparative analysis of pooled least squares and fixed effects estimators of the slope coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed to increase without bounds. The individual effects...

This paper identifies and characterizes episodes of structural change in the 27 years that preceded the Great Recession. This is done by performing Bai-Perron (2003a, 2003b) tests on 61,843 time series that span 34 countries, which collectively accounted for 81% of Gross World Product in 2013....

In this paper we introduce a new approach to estimating a differentiated product demand system that allows for error in market shares as measures of choice probabilities. In particular, our approach allows for products with zero sales in the data, which is a frequent phenomenon that arises in...

This paper examines the impact of conventional and unconventional monetary policy on energy prices, using an event study with intraday data. Three measures for monetary policy surprises are used: 1) the surprise change to the current federal funds target rate, 2) the surprise component to the...