This study examines three important issues that archival accounting researchers frequently encounter with data from the Center for Research in Security Prices (CRSP). Although the issues appear to be innocuous, few if any studies overtly discuss the remedies or ramifications of the issues. More...

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...

This paper extends the self-excited point process framework to model conditional arrival intensities of buy and sell orders of listed stocks. The cross-excitation of market orders is modeled explicitly such that buy size and buy side order book cumulative volume can affect the sell order...

In recent years, the government, of African Countries has assumed major responsibilities for economic reforms and growth. In attempting to describe their economies, economists (policymakers) in many African Countries have applied certain models that are by now widely known: Linear programming...

In many scientific, economic and policy-related problems, pieces of information from different sources have to be aggregated. Typically, the sources are not equally competent. This raises the question of how the relative weights and competences should be related to arrive at an optimal final...

This web-appendix provides further results and illustrations as referred to in the main paper.The paper "Fact or Friction: Jumps at Ultra High Frequency" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=1848774" http://ssrn.com/abstract=1848774

This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is...

In social and economic analysis of longitudinal data, the socio-economic variables that are statistically significant in pooled data regressions sometimes become insignificant after individual fixed effects are controlled for. This phenomenon has been observed in the analysis of the relationship...