|
|
 |
Forthcoming Papers
|
|
The following articles, listed alphabetically by the first author's last name, have been accepted for publication in Econometrica. Click on the title to view the PDF of the article. Supplementary material, if cited in the article, can be found at the bottom of this page.
You will need to be logged in.
Abbring, Jaap H.: Mixed Hitting-Time Models
Corresponding author email: J.H.Abbring@uvt.nl
Ahn, David S., and Santiago Oliveros: Combinatorial Voting
Corresponding author email: dahn@econ.berkeley.edu
Altonji, Joseph G., Hidehiko Ichimura, and Taisuke Otsu: Estimating Derivatives in Nonseparable Models with Limited Dependent Variables
Corresponding author email: ichimura@e.u-tokyo.ac.jp
Andrews, Donald W.K., and Xu Cheng: Estimation and Inference with Weak, Semi-strong, and Strong Identification
Corresponding author email: donald.andrews@yale.edu
Beaudry, Paul, David A. Green, and Benjamin Sand: Does Industrial Composition Matter for Wages? A Test of Search and Bargaining Theory
Corresponding author email: green@econ.ubc.ca
Bonhomme, Stéphane : Functional Differencing
Corresponding author email: bonhomme@cemfi.es
Bontemps, Christian, Thierry Magnac, and Eric Maurin: Set Identified Linear Models
Corresponding author email: magnac@cict.fr
Bouton, Laurent, and Micael Castanheira: One Person, Many Votes: Divided Majority and Information Aggregation
Corresponding author email: lbouton@bu.edu
Bugni, Federico A., Ivan A. Canay, and Patrik Guggenberger: Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models
Corresponding author email: iacanay@northwestern.edu
Carroll, Gabriel: When are Local Incentive Constraints Sufficient?
Corresponding author email: gdc@mit.edu
Carter, Andrew V., and Douglas G. Steigerwald: Testing for Regime Switching: A Comment
Corresponding author email: doug@econ.ucsb.edu
Carvajal, Andrés, Marzena Rostek, and Marek Weretka: Competition in Financial Innovation
Corresponding author email: weretka@wisc.edu
Cavaliere, Giuseppe, Andres Rahbek, and A.M. Robert Taylor: Bootstrap Determination of the Co-integration Rank in VAR Models
Corresponding author email: giuseppe.cavaliere@unibo.it
Chen, Bin and Yongmiao Hong: Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
Corresponding author email: bchen8@mail.rochester.edu
Chen, Xiaohong, and Demian Pouzo: Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals
Corresponding author email: xiaohong.chen@yale.edu
Chetty, Raj: Bounds on Elasticities with Optimization Frictions: A Synthesis of Micro and Macro Evidence on Labor Supply
Corresponding author email: chetty@fas.harvard.edu
Connor, Gregory, Matthias Hagmann, and Oliver Linton: Efficient Semiparametric Estimation of the Fama-French Model and Extensions
Corresponding author email: obl20@cam.ac.uk
Cox, James C., and Duncan James: Clocks and Trees: Isomorphic Dutch Auctions and Centipede Games
Corresponding author email: dujames@fordham.edu
Daley, Brendan, and Brett Green: Waiting for News in the Market for Lemons
Corresponding author email: b-green@kellogg.northwestern.edu
de Paula , Áureo and Xun Tang: Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information
Corresponding author email: aureo@econ.upenn.edu
Dekel, Eddie, and Barton L. Lipman: Costly Self Control and Random Self Indulgence
Corresponding author email: blipman@bu.edu
Deneckere, Raymond, and James Peck: Dynamic Competition with Random Demand and Costless Search: A Theory of Price Posting
Corresponding author email: peck.33@osu.edu
Dubé, Jean-Pierre, Jeremy T. Fox, and Che-Lin Su: Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation
Corresponding author email: jdube@chicagobooth.edu
Einav, Liran, Mark Jenkins, and Jonathan Levin: Contract Pricing in Consumer Credit Markets
Corresponding author email: jdlevin@stanford.edu
Evans, Robert: Mechanism Design with Renegotiation and Costly Messages
Corresponding author email: robert.evans@econ.cam.ac.uk
Finan, Frederico, and Laura Schechter: Vote-Buying and Reciprocity
Corresponding author email: ffinan@econ.berkeley.edu
Francq, Christian, and Jean-Michel Zakoïan: Strict Stationarity Testing and Estimation of Explosive and Stationary GARCH Models
Corresponding author email: zakoian@ensae.fr
Fudenberg, Drew, and David K. Levine: Timing and Self Control
Corresponding author email: dfudenberg@harvard.edu
Gagliardini, Patrick, and Olivier Scaillet: Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
Corresponding author email: olivier.scaillet@unige.ch
Govindan, Srihari, and Robert Wilson: Axiomatic Equilibrium Selection for Generic Two-Player Games
Corresponding author email: rwilson@stanford.edu
Grossman, Gene M., and Esteban Rossi-Hansberg: Task Trade between Similar Countries
Corresponding author email: grossman@princeton.edu
Hansen, Lars Peter: Dynamic Valuation Decomposition within Stochastic Economies
Corresponding author email: l-hansen@uchicago.edu
Hirano, Keisuke, and Jack R. Porter: Impossibility Results for Nondifferentiable Functionals
Corresponding author email: hirano@u.arizona.edu
Hugonnier, Julien, Semyon Malamud, and Eugene Trubowitz: Endogenous Completeness of Diffusion Driven Equilibrium Markets
Corresponding author email: Julien.Hugonnier@epfl.ch
Jansson, Michael, and Morten Ørregaard Nielsen: Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
Corresponding author email: mjansson@econ.berkeley.edu
Ju, Nengjiu, and Jianjun Miao: Ambiguity, Learning, and Asset Returns
Corresponding author email: miaoj@bu.edu
Kirkegaard, René : A Mechanism Design Approach to Ranking Asymmetric Auctions
Corresponding author email: rkirkega@uoguelph.ca
Kitamura, Yuichi, Andres Santos, and Azeem M. Shaikh: On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
Corresponding author email: a2santos@ucsd.edu
Klibanoff, Peter, Massimo Marinacci, and Sujoy Mukerji: On the Smooth Ambiguity Model: A Reply
Corresponding author email: peterk@kellogg.northwestern.edu
Kopylov, Igor: Perfectionism and Choice
Corresponding author email: ikopylov@uci.edu
Lilienfeld-Toal, Ulf, Dilip Mookherjee, and Sujata Visaria: The Distributive Impact of Reforms in Credit Enforcement: Evidence from Indian Debt Recovery Tribunals
Corresponding author email: Ulf.vonLilienfeld-Toal@hhs.se
Merlo, Antonio, and Xun Tang: Identification and Estimation of Stochastic Bargaining Models
Corresponding author email: merloa@econ.upenn.edu
Mikusheva, Anna: One-Dimensional Inference in Autoregressive Models with the Potential Presence of a Unit Root
Corresponding author email: amikushe@mit.edu
Moon, Hyungsik Roger, and Frank Schorfheide: Bayesian and Frequentist Inference in Partially Identified Models
Corresponding author email: schorf@ssc.upenn.edu
Ok, Efe A., Pietro Ortoleva, and Gil Riella: Incomplete Preferences under Uncertainty: Indecisiveness in Beliefs vs. Tastes
Corresponding author email: efe.ok@nyu.edu
Oury, Marion, and Olivier Tercieux: Continuous Implementation
Corresponding author email: tercieux@pse.ens.fr
Penta, Antonio: Higher Order Uncertainty and Information: Static and Dynamic Games
Corresponding author email: apenta@ssc.wisc.edu
Peters, Michael, and Balázs Szentes: Definable and Contractible Contracts
Corresponding author email: peters@econ.ubc.ca
Phillips, Peter C.B.: Folklore Theorems, Implicit Maps and Indirect Inference
Corresponding author email: peter.phillips@yale.edu
Pycia, Marek: Stability and Preference Alignment in Matching and Coalition Formation
Corresponding author email: pycia@econ.ucla.edu
Ray, Debraj, and Arthur Robson: Status, Intertemporal Choice and Risk-Taking
Corresponding author email: robson@sfu.ca
Rostek, Marzena, and Marek Weretka: Price Inference in Small Markets
Corresponding author email: mrostek@ssc.wisc.edu
Rothe, Christoph: Partial Distributional Policy Effects
Corresponding author email: rothe@cict.fr
Ryan, Stephen P.: The Costs of Environmental Regulation in a Concentrated Industry
Corresponding author email: sryan@mit.edu
Santos, Andres: Inference in Nonparametric Instrumental Variables with Partial Identification
Corresponding author email: a2santos@ucsd.edu
Su, Che-Lin, and Kenneth L. Judd: Constrained Optimization Approaches to Estimation of Structural Models
Corresponding author email: che-lin.su@chicagobooth.edu
Todorov, Viktor, and George Tauchen: The Realzed Laplace Transform of Volatility
Corresponding author email: v-todorov@kellogg.northwestern.edu
|
Supplemental Material |
Supplemental material can be presented in various file formats. When clicking on the link, if you are using Internet Explorer and you are prompted by a dialog box, please choose to save the file to your computer first and then open it from there. If you experience any difficulties please contact Custom Web Solutions for assistance.
|
|
Abbring, Jaap H.: Supplement to "Mixed Hitting-Time Models" (zip file format). This zip file contains replication files for Figure 1 and Figure 2 in the paper.
Altonji, Joseph G., Hidehiko Ichimura, and Taisuke Otsu: Supplement to "Estimating Derivatives in Nonseparable Models with Limited Dependent Variables" (pdf file format). This file contains proofs omitted from the paper.
Andrews, Donald W.K., and Xu Cheng: Supplement to "Estimation and Inference with Weak, Semi-strong, and Strong Identification" (pdf file format). This appendix includes (i) a heuristic description of the approach of the paper, (ii) additional assumptions, (iii) proofs, and (iv) verification of the assumptions, additional tables and figures, and simulation details for (a) the ARMA (1,1) model, (b) the nonlinear regression model, and (c) the LIML example.
Arcidiacono, Peter, and Robert A. Miller: Supplement to "CCP Estimation of Dynamic Discrete Choice Models with Unobserved Heterogeneity" (zip file format). A zip file containing replication files for the manuscript.
Beaudry, Paul, David A. Green, and Benjamin Sand: Supplement to "Does Industrial Composition Matter for Wages? A Test of Search and Bargaining Theory" (pdf file format). This appendix outlines the details of the manuscript's data construction (section S.1) and the implementation of the selection correction procedure described in the main text (section S.2). In addition, we examine the robustness of our results in a number of dimensions and provide some derivations of key equations in the main paper.
Beaudry, Paul, David A. Green, and Benjamin Sand: Supplement to "Does Industrial Composition Matter for Wages? A Test of Search and Bargaining Theory" (zip file format). This zip file contains replication files for the manuscript.
Bonhomme, Stéphane : Supplement to "Functional Differencing" (zip file format). This zip file contains codes used to generate the numerical results.
Bonhomme, Stéphane : Supplement to "Functional Differencing" (pdf file format). This appendix contains analytical and numerical results on various models. It also presents a method to numerically compute information bounds and check the non-surjectivity condition. Lastly, it outlines a specification test of parametric random-effects models.
Bontemps, Christian, Thierry Magnac, and Eric Maurin: Supplement to "Set Identified Linear Models" (zip file format). This zip file contains replication files for the manuscript.
Bontemps, Christian, Thierry Magnac, and Eric Maurin: Supplement to "Set Identified Linear Models" (pdf file format). This PDF contains proofs for the manuscript.
Bugni, Federico A., Ivan A. Canay, and Patrik Guggenberger: Supplement to "Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models" (pdf file format). This supplement contains the Lemmas and their proofs that are used in the proofs of Theorems 3.1 and 3.2 of the paper in Sections S1 and S2; the proof of Corollary 3.1 in Section S2; a missing data example and Monte Carlo simulations in Section S3; the verification of Assumptions A.6 and A.7 in two leading examples in Section S4; a discussion of the intuition behind Theorem 3.2 in Section S5; and details of the computations carried out in Table 1 in Section S6.
Carroll, Gabriel: Supplement to "When are Local Incentive Constraints Sufficient?" (pdf file format). This online appendix gives a more detailed study of conditions under which the basic method of proof used for the sufficiency results in the main paper can be applied, with an eye to understanding how much the method might potentially be further generalized, and whether the results still hold when the method does not apply.
Carter, Andrew V., and Douglas G. Steigerwald: Supplement to "Testing for Regime Switching: A Comment" (pdf file format). In this supplemental section we prove that, for an autoregressive process, the gradient of the quasi-log-likelihood does not equal zero when evaluated at the popluation parameter values.
Chen, Bin and Yongmiao Hong: Supplement to "Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression" (pdf file format). This PDF file contains proofs for the manuscript.
Chen, Bin and Yongmiao Hong: Supplement to "Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression" (zip file format). This zip file contains the replication files for the manuscript.
Chen, Xiaohong, and Demian Pouzo: Supplement to "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals" (pdf file format). This supplemental document first provides a brief summary of commonly used function spaces and sieve spaces. It then provides mathematical proofs of all the theorems, corollaries, propositions, and lemmas that appear in the main text and appendix.
Chen, Xiaohong, and Demian Pouzo: Supplement to "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals" (zip file format). A zip file containing replication files for the manuscript.
Chetty, Raj: Supplement to "Bounds on Elasticities with Optimization Frictions: A Synthesis of Micro and Macro Evidence on Labor Supply" (pdf file format). A PDF file containing proofs and meta-analysis appendices for the manuscript.
Chetty, Raj: Supplement to "Bounds on Elasticities with Optimization Frictions: A Synthesis of Micro and Macro Evidence on Labor Supply" (zip file format). This zip file contains the replication files for the manuscript.
Connor, Gregory, Matthias Hagmann, and Oliver Linton: Supplement to "Efficient Semiparametric Estimation of the Fama-French Model and Extensions" (zip file format). This zip file contains the replication files for this manuscript.
Cox, James C., and Duncan James: Supplement to "Clocks and Trees: Isomorphic Dutch Auctions and Centipede Games" (pdf file format). A PDF file containing 8 sets of instructions for each of the 8 treatments.
Cox, James C., and Duncan James: Supplement to "Clocks and Trees: Isomorphic Dutch Auctions and Centipede Games" (zip file format). A zip file containing the replication files for the manuscript.
Cox, James C., and Duncan James: Supplement to "Clocks and Trees: Isomorphic Dutch Auctions and Centipede Games" (pdf file format). An appendix showing the evolution of play at the very beginning and very end of the experiments by means of histograms.
Daley, Brendan, and Brett Green: Supplement to "Waiting for News in the Market for Lemons" (pdf file format). The purpose of this supplement is to establish the strong connection between the continuous-time model of Daley and Green (2011) and a discrete-time analog.
de Paula , Áureo and Xun Tang: Supplement to "Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information" (pdf file format). A PDF file containing additional proofs for the manuscript.
de Paula , Áureo and Xun Tang: Supplement to "Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information" (zip file format). A zip file containing replication files for the manuscript.
Deneckere, Raymond, and James Peck: Supplement to "Dynamic Competition with Random Demand and Costless Search: A Theory of Price Posting" (pdf file format). This PDF file contains proofs for the manuscript.
Dubé, Jean-Pierre, Jeremy T. Fox, and Che-Lin Su: Supplement to "Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation" (pdf file format). This appendix discusses the implementation details for MPEC and NFP applied to the BLP demand estimation problem, the KNITRO outputs for MPEC and NFP, how a researcher would adapt static MPEC to a likelihood-based estimation of random-coefficients-logit demand, varying the quality of the data, and dynamic BLP with one consumer type.
Dubé, Jean-Pierre, Jeremy T. Fox, and Che-Lin Su: Supplement to "Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation' (zip file format). This zip file contains the replication files for the manuscript.
Einav, Liran, Mark Jenkins, and Jonathan Levin: Supplement to "Contract Pricing in Consumer Credit Markets' (zip file format). This zip file contains the replication files for the manuscript.
Einav, Liran, Mark Jenkins, and Jonathan Levin: Supplement to "Contract Pricing in Consumer Credit Markets" (pdf file format). This appendix provides a more detailed analysis of a parameterized version of the consumer model presented in Section 4.1. It also illustrates some of the theoretical properties of the model and shows that the model can incorporate features observed in the data. Third, it shows the calibrated parameters of the model to match several key moments in data and further explores the features of the model. Finally, it reports how well this model can be approximated by the linearized version in Section 4.3 of the paper.
Einav, Liran, Mark Jenkins, and Jonathan Levin: Supplement to "Contract Pricing in Consumer Credit Markets" (pdf file format). This appendix describes the details associated with the estimation of the model described Sections 4 and 5 of the paper.
Finan, Frederico, and Laura Schechter: Supplement to "Vote-Buying and Reciprocity" (pdf file format). The final write-up contains an explanation written by Transparencia Paraguay as to how the political campaign works. They discuss the role of the "operador político".
Francq, Christian, and Jean-Michel Zakoïan: Supplement to "Strict Stationarity Testing and Estimation of Explosive and Stationary GARCH Models" (zip file format). This zip file contains the replication files for the manuscript.
Fudenberg, Drew, and David K. Levine: Supplement to "Timing and Self Control" (pdf file format). This appendix has several sections. W1 is another example/application of the model. W2 is a brief proof of something asserted in the text. W3 provides a foundation for the model in terms of a game between the long run self and a sequence of shorter one selves. W4 explores an alternative model; it shows that the alternative makes no difference with linear control sets but leads to odd conclusions when the cost is convex.
Gagliardini, Patrick, and Olivier Scaillet: Supplement to "Nonparametric Instrumental Variable Estimation of Structural Quantile Effects" (zip file format). This zip file contains the replication files for the manuscript.
Gagliardini, Patrick, and Olivier Scaillet: Supplement to "Nonparametric Instrumental Variable Estimation of Structural Quantile Effects" (pdf file format). This PDF file contains the proofs of Lemmas found within the manuscript.
Grossman, Gene M., and Esteban Rossi-Hansberg: Supplement to "Task Trade between Similar Countries" (pdf file format). An appendix proving Lemmas 1, 2, and 3 contained in the paper.
Hugonnier, Julien, Semyon Malamud, and Eugene Trubowitz: Supplement to "Endogenous Completeness of Diffusion Driven Equilibrium Markets" (pdf file format). This document gives the proofs that were omitted from the main text, provide details for some of the arguments used in the proofs of the main results, and discuss some additional results concerning the assumption of real analyticity in the space variables and economies with terminal dividends, heterogenous discount rates and time-dependent aggregate consumption.
Jansson, Michael, and Morten Ørregaard Nielsen: Supplement to "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis" (pdf file format). This appendix contains Monte Carlo simulations to assess the finite sample properties of the likelihood ratio test in the manuscript.
Ju, Nengjiu, and Jianjun Miao: Supplement to "Ambiguity, Learning, and Asset Returns" (pdf file format). This technical appendix describes the numerical method used to solve the model in the paper.
Ju, Nengjiu, and Jianjun Miao: Supplement to "Ambiguity, Learning, and Asset Returns" (zip file format). A zip file containing the replication files for the manuscript.
Kirkegaard, René: Supplement to "A Mechanism Design Approach to Ranking Asymmetric Auctions" (pdf file format). This appendix contains extensions as well as derivations of more refined bounds on the tying function.
Kitamura, Yuichi, Andres Santos, and Azeem M. Shaikh: Supplement to "On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions" (pdf file format). A PDF file containing additional proofs for the manuscript.
Komunjer, Ivana, and Serena Ng: Supplement to "Dynamic Identification of DSGE Models" (zip file format). A zip file containing replication files for the manuscript.
Lilienfeld-Toal, Ulf, Dilip Mookherjee, and Sujata Visaria: Supplement to "The Distributive Impact of Reforms in Credit Enforcement: Evidence from Indian Debt Recovery Tribunals" (zip file format). This zip file contains the replication files for the manuscript.
Merlo, Antonio, and Xun Tang: Supplement to "Identification and Estimation of Stochastic Bargaining Models" (zip file format). This zip file contains the replication files for the manuscript.
Mikusheva, Anna: Supplement to "One-Dimensional Inference in Autoregressive Models with the Potential Presence of a Unit Root" (pdf file format). This supplementary appendix contains proofs of some of the results stated in the paper.
Mikusheva, Anna: Supplement to "One-Dimensional Inference in Autoregressive Models with the Potential Presence of a Unit Root" (zip file format). A zip file containing the replication files for the manuscript.
Moon, Hyungsik Roger, and Frank Schorfheide: Supplement to "Bayesian and Frequentist Inference in Partially Identified Models" (pdf file format). This supplement contains proofs and derivations for results presented in the paper.
Moon, Hyungsik Roger, and Frank Schorfheide: Supplement to "Bayesian and Frequentist Inference in Partially Identified Models" (zip file format). The replication files for the results presented in section 4.
Moon, Hyungsik Roger, and Frank Schorfheide: Supplement to "Bayesian and Frequentist Inference in Partially Identified Models" (zip file format). The replication files for the results presented in section 2.
Oury, Marion, and Olivier Tercieux: Supplement to "Continuous Implementation" (pdf file format). This file contains the proof of Theorem 4 which is omitted in the main text.
Phillips, Peter C.B.: Supplement to "Folklore Theorems, Implicit Maps and Indirect Inference" (pdf file format). This supplement provides technical results and proofs for the paper.
Pycia, Marek: Supplement to "Stability and Preference Alignment in Matching and Coalition Formation" (pdf file format). This supplement (i) shows that a preference profile can be embedded in a rich domain of pairwise-aligned profiles if and only if it does not admit n-cycles, and (ii) discusses the trade-offs involved in relaxation of the assumptions in Theorems 1 and 2.
Ray, Debraj, and Arthur Robson: Supplement to "Status, Intertemporal Choice and Risk-Taking" (pdf file format). This online appendix contains the proofs of all the lemmas that do not appear in the printed appendix to the paper. It also contains the statements of all these lemmas and details of the intervening arguments in the proofs of the propositions. It also contains a proof of existence for a more general model that implies Proposition 3 (ii).
Ryan, Stephen P.: Supplement to "The Costs of Environmental Regulation in a Concentrated Industry" (pdf file format). This appendex discusses identification of the model in the paper. New results concerning the identification of parameters in a two-step Bajari, Benkard, and Levin (2007) setup are given. Under linearity of the unknown parameters, it is shown that identification obtains when an easily-verified rank and order condition on a matrix derived from estimated functions holds.
Ryan, Stephen P.: Supplement to "The Costs of Environmental Regulation in a Concentrated Industry" (zip file format). This zip file contains the replication files for the manuscript.
Santos, Andres: Supplement to "Inference in Nonparametric Instrumental Variables with Partial Identification" (zip file format). A zip file containing all the files needed to replicate the simulation results for the paper.
Santos, Andres: Supplement to "Inference in Nonparametric Instrumental Variables with Partial Identification" (zip file format). A zip file that contains all the files needed to replicate the analysis of Brazilian fuel Engel curves.
Su, Che-Lin, and Kenneth L. Judd: Supplement to "Constrained Optimization Approaches to Estimation of Structural Models" (zip file format). This zip file contains the replication files for the manuscript.
Todorov, Viktor, and George Tauchen: Supplement to "The Realzed Laplace Transform of Volatility" (pdf file format). This appendix consists of a shorter section describing the added details regarding the empirical work in the paper along with a longer section that presents asymptotic results for the Realized Laplace Transform for the case in which volatility has a deterministic intraday component.
Todorov, Viktor, and George Tauchen: Supplement to "The Realzed Laplace Transform of Volatility" (zip file format). This zip file contains the replication files for the manuscript.
|
|
|
 |
|