Statistical disclosure limitation is widely used by data collecting institutions to provide safe individual data. However, the choice of the disclosure limitation method severely affects the quality of the data and limit their use for empirical research. In particular, estimators for nonlinear...

In this paper we examine the relative importance of trading volume, bid-ask spread, order flow, order imbalance, total quote depth, quote depth difference and trading intensity for high-frequency volatility estimation. By using a best subset regression approach, we fi nd that contemporaneous...

Estimation noise is a well-known issue in empirical portfolio modelling. Estimated weights are known to have huge standard errors and bad predictive quality, which often results in an inferior out-of-sample portfolio performance compared to simple alternatives. Most of the recent literature...

This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot...

We study a general class of models with social interactions that might display multiple equilibria. We propose an estimation procedure for these models and evaluate its efficiency and computational feasibility relative to different approaches taken to the curse of dimensionality implied by the...

We study a general class of models with social interactions that might display multiple equilibria. We propose an estimation procedure for these models and evaluate its efficiency and computational feasibility relative to different approaches taken to the curse of dimensionality implied by the...

We study a general class of models with social interactions that might display multiple equilibria. We propose an estimation procedure for these models and evaluate its efficiency and computational feasibility relative to different approaches taken to the curse of dimensionality implied by the...