estimating a fixed-effect regression model using the Generalized Method of Moments (GMM). On average, the data reject the …

This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity …. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator … suffers from inconsistency, inefficiency, and lacks a valid framework for inference. We develop a constrained GMM (C-GMM …

The risk-neutral distribution of returns, implied by S&P 500 option prices, has been a popular topic of research for … many years. Because of its forward-looking nature, it gives valuable insights into the expectation and risk attitude of …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return … distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into … several empirical questions. We show that a model of a representative investor with CRRA utility can explain the variance risk …