This paper studies the limit theory of the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n central limit theorems for quantilograms that depend on nuisance parameters. A moving block bootstrap (MBB) procedure is proposed and its consistency is proved, thereby...

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise...

This paper develops a two-step semiparametric methodology for portfolio weight selection for characteristics- based factor-tilt and factor-timing investment strategies. We build upon the expected utility maximization framework of Brandt (1999) and Aït-sahalia and Brandt (2001). We assume that...

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

We study estimation and inference of Expected Shortfall (ES) for time series with Infinite variance. The rate of convergence is determined by the tail thickness parameter and the limiting distribution is in the stable class with parameters depending on the tail thickness parameter of the time...

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...