This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our strategy relies on suitable generalizations of the Realized GARCH model by Hansen et al. (2012) where the impact of lagged realized measures on the current conditional variance is...

We introduce a class of multiplicative dynamic models for realized covariance matrices assumed to be conditionally Wishart distributed. The multiplicative structure enables consistent three-step estimation of the parameters, starting by covariance targeting of a scale matrix. The dynamics of...

It has often been observed in the literature that non-parametric approaches to the estimation of production frontiers are hardly robust in the presence of outliers. This paper proposes a class of robust frontier estimators based upon extreme value theory. The nature of the proposed method is...