We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...

In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high-low ranges for intra-day intervals, to the recently popularized realized variance estimator obtained by summing squared intra-day returns. Our results derived from...