It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...

We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial economics where factor betas depend on observed...

In this paper, we propose and evaluate a shrinkage based methodology that is designed to improve the accuracy of forecasts of daily integrated volatility. Our approach is based on a two-step shrinkage procedure designed to extract latent common volatility factors from a large dimensional and...

In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors from a large dimensional and high-frequency returns...

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...