Volumes 45a and 45b of Advances in Econometrics honor Joon Y. Park, Wisnewsky Professor of Human Studies and Professor of Economics at Indiana University. Professor Park has made numerous and substantive contributions to the field of econometrics since beginning his academic career in the...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

This paper develops a new framework and statistical tools to analyze stock returns using high frequency data. We consider a continuous-time multi-factor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic...

We introduce a panel model with a nonparametric functional coefficient of multiple arguments. The coefficient is a function both of time, allowing temporal changes in an otherwise linear model, and of the regressor itself, allowing nonlinearity. In contrast to a time series model, the effects of...