Remotely sensed measurements and other machine learning predictions are increasingly used in place of direct observations in empirical analyses. Errors in such measures may bias parameter estimation, but it remains unclear how large such biases are or how to correct for them. We leverage a new...

Moderated multiple regression models allow the simple relationship between the dependent variable and an independent variable to depend on the level of another independent variable. The moderated relationship, often referred to as the interaction, is modeled by including a product term as an...

A priori estimates are derived for solutions to Dirichlet problem for polyharmonic equations in bounded smooth domains. A problem in generalized Morrey spaces is considered. Based on a priori estimates, the solvability of this problem in generalized Morrey spaces is proved. Similar problem for...

Two measures of an error-ridden explanatory variable make it possible to solve the classical errors-in-variable problem by using one measure as an instrument for the other. It is well known that a second IV estimate can be obtained by reversing the roles of the two measures. We explore a simple...

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Researchers frequently test and improve model fit by holding a sample constant and varying the model. We propose methods to test and improve sample fit by holding a model constant and varying the sample. Much as the bootstrap is a well-known method to re-sample data and estimate the uncertainty...

We apply convex regularization techniques to the problem of calibrating Dupire's local volatility surface model taking into account the practical requirement of discrete grids and noisy data. Such requirements are the consequence of bid and ask spreads, quantization of the quoted prices and lack...

We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and realized information power variation (RIPV). The "information" here refers to the difference between two-grid of ranges in high-frequency intervals, which preserves continuous...

We propose a straightforward approach to obtain a more efficient estimate of the integrated variance of an asset through a cross-sectional combination with a futures contract written on it. Our method constructs a variance-preserving series with reduced noise size as a linear combination of the...