In order to reduce the finite sample bias and improve the rate of convergence, local polynomial estimators have been introduced into the econometric literature to estimate the regression discontinuity model. In this paper, we show that, when the degree of smoothness is known, the local...

Information coefficient (IC) is one of the most commonly used statistics in quantitative financial analysis that is usually defined as the correlation coefficient between a variable's predicted and actual values. In this paper, we derive the asymptotic distribution of the sample average...

We consider the best quadratic unbiased estimators of the integrated variance in the presence of independent market microstructure noise. We establish the asymptotic normality of a feasible best quadratic unbiased estimator under the assumption of constant volatility and show that it is...

When estimating and forecasting realized volatility in the presence of jumps, a form of bias-variance tradeoff is present in the selection of the truncation threshold. We propose an optimal method for threshold selection that minimizes the out-of-sample forecasting loss. The use of a forecasting...

Fixed effects estimators in nonlinear panel models with fixed T usually suffer from inconsistency because of the incidental parameters problem first noted by Neyman and Scott (1948). Moreover, even though T grows at the same rate as n, they are asymptotically biased and therefore the associated...

In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter estimator is often estimated using a nonparametric kernel method that involves a lag truncation parameter. Depending on whether this lag truncation parameter is specified to grow at...