The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high frequency data. The puzzle lies...

Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endogeneity arises easily in high-dimensional regression due to a large pool of regressors and this causes the...

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely...

This paper deals with estimation of high-dimensional covariance with a conditional sparsity structure, which is the composition of a low-rank matrix plus a sparse matrix. By assuming sparse error covariance matrix in a multi-factor model, we allow the presence of the cross-sectional correlation...

Kernel density estimates are frequently used, based on a second order kernel. Thus, the bias inherent to the estimates has an order of O(h2n). In this note, a method of correcting the bias in the kernel density estimates is provided, which reduces the bias to a smaller order. Effectively, this...

The paper studies estimation of partially linear hazard regression models with varying coefficients for multivariate survival data. A profile pseudo-partial-likelihood estimation method is proposed. The estimation of the parameters of the linear part is accomplished via maximization of the...