This note solves the puzzle of estimating degenerate Wishart Autoagressive processes, introduced by Gourieroux, Jasiak and Sufana (2009)to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of...

This paper proposes a new method for forecasting covariance matrices of financial returns. the model mixes volatility forecasts from a dynamic model of daily realized volatilities estimated with high-frequency data with correlation forecasts based on daily data. This new approach allows for...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. By modelling the Cholesky factors of the covariance matrices, the model generates...

We study the presence of long term investors using different return forecasting strategies and switching them based on their past performance generates the price trends observed in financial markets. In the empirical section, we assume that investors choose how to allocate their portfoilios...

I study two way effects between financial markets and other contractual agreements, such as compensation packages within a firm, or mortgages and loans. I construct a model with many Units, in which one of the contracting individuals, the Agent, has private information, while the uninformed...

We propose new concepts of statistical depth, multivariate quantiles,ranks and signs, based on canonical transportation maps between a distributionof interest on IRd and a reference distribution on the d-dimensionalunit ball. The new depth concept, called Monge-Kantorovich depth, specializesto...

I exploit the unique institution of gender-segregated voting booths in Chile, allowingthe use of actual voting data, instead of self-reported surveys, to test for genderbias among voters. Overall I find evidence of a small but significant negative genderbias: women overall are less likely than...

We develop a novel framework to analyze the structural implications of the marriage market for house-hold consumption patterns. We start by de…ning a revealed preference characterization of e¢ cient householdconsumption when the marriage is stable. In particular, stability means that the...

This letter develops a set of simple conditions under which an individual iswilling to save an extra amount of money due to the presence of ambiguity onits second period wealth. This extra precautionary saving motive is naturallyassociated to the notion of ambiguity prudence.