We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

We propose a price duration based covariance matrix estimator using high frequency transactions data. The effect of the last-tick time-synchronisation methodology, together with effects of important market microstructure components is analysed through a comprehensive Monte Carlo study. To...

We devise a new high-frequency covariance matrix estimator based on price durations which is guaranteed to be positive-definite. Both non-parametric and parametric versions are proposed. A comprehensive Monte Carlo simulation shows that this class of estimators are less biased, more efficient,...

We study the problem of jump detection for ultra-high-frequency tick-by-tick data. We propose a novel easy-to-implement procedure that can separate the contribution of microstructure noise and that of finite activity price jumps from the price process, which may have interesting implications on...

This paper proposes an adjusted-range based self-normalization method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach

This paper proposes efficient estimation of risk measures by fully exploring the first and second moment information in a GARCH framework. We propose a quantile estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile estimator is...

This paper investigates, both theoretically and empirically, the role of factional competition and local accountability in explaining the enormous but puzzling county-level variations in development performance in Fujian province of China. When the Communist armies took over Fujian from the...

We develop a theoretical model of how factional affiliation and local accountability can shape the policy choices of local officials who are concerned about political survivals, and subsequently affect the long-term local development. We provide empirical evidence in support of the theoretical...

This paper investigates, both theoretically and empirically, the role of factional competition and local accountability in explaining the enormous but puzzling county-level variations in development performance in Fujian province of China. When the Communist armies took over Fujian from the...

We develop a theoretical model of how factional affiliation and local accountability can shape the policy choices of local officials who are concerned about political survivals, and subsequently affect the long-term local development. We provide empirical evidence in support of the theoretical...