Some recent research

Please get in touch if you are looking for a paper which is not posted below.

Continuous-time econometrics and finance
High-frequency financial data and volatility estimation
Empirical market microstructure
Low-frequency asset price dynamics
Persistence and conditional inference

Continuous-time econometrics and finance

We study methods for the estimation of continuous-time processes under minimal assumptions on their dynamic properties.
The paper "Nonstationary continuous-time models" reviews the literature.

European Meetings of the Econometric Society (Barcelona, 2009):

Invited lecture: “Nonparametric identification in stochastic volatility models” (pdf)

· "Nonstationary continuous-time models" with Peter C.B. Phillips (pdf)
Handbook of Financial Econometrics, Elsevier Science, forthcoming

· "Fully nonparametric estimation of scalar diffusion models" with Peter C.B. Phillips (pdf)
Econometrica, 71 (2003) 241-283

· "On the functional estimation of jump-diffusion models" with Thong Nguyen (pdf)
Journal of Econometrics, 116 (2003) 293-328

· "On the functional estimation of multivariate diffusion processes" with Guillermo Moloche (pdf)

· "A simple approach to the parametric estimation of potentially non-stationary diffusions" with Peter C.B. Phillips (pdf)
Journal of Econometrics, 137 (2007) 354-395

· "Short-term interest rate dynamics: a spatial approach" (pdf)
Journal of Financial Economics, 65 (2002) 73-110

· "Bandwidth selection for continuous-time Markov processes” with Valentina Corradi and Guillermo Moloche (pdf)

Matlab code for some of the procedures in Bandi, Corradi, and Moloche (optbw.m)

· "Nonparametric stochastic volatility" with Roberto Reno' (pdf)

· "Time-varying leverage effects" with Roberto Reno' (pdf)

Journal of Econometrics, forthcoming

· "Price and volatility co-jumps" with Roberto Reno' (pdf)

High-frequency financial data and volatility estimation

We study finite sample methods for the nonparametric estimation and forecasting of volatility using high-frequency financial data.

In this context, we emphasize the importance of economic metrics. The paper "Volatility" reviews the literature.

· "Volatility" with Jeff Russell (pdf)
Handbook of Financial Engineering, Elsevier Science, (2007) 183-222

· Comment on “Realized Variance and Microstructure Noise” by Peter Hansen and Asger Lunde
         (with Jeff Russell)  (pdf)
Journal of Business and Economic Statistics, 24 (2006) 167-173

· "Microstructure noise, realized variance, and optimal sampling" with Jeff Russell
         (2003/2005 draft with some filtering results - pdf)
         (final draft - pdf )
Appendix to the paper (pdf)
Review of Economic Studies, 75 (2008) 339-369 - lead article

· "Separating microstructure noise from volatility" with Jeff Russell (pdf)
Journal of Financial Economics, 79 (2006) 655-692

· "Realized covariation, realized beta, and microstructure noise" with Jeff Russell (pdf)

· "Using high-frequency data in dynamic portfolio choice" with Jeff Russell and Julia Zhu (pdf)
Econometric Reviews, 27 (2008) 163-198

· "Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations" with Jeff Russell (pdf)

Journal of Econometrics, 160 (2011) 145-159

· "Realized volatility forecasting and option pricing" with Jeff Russell and Chen Yang (pdf)
          (Longer unpublished draft: pdf)
Journal of Econometrics, 147 (2008) 34-46

· "Realized volatility forecasting in the presence of time-varying noise” with Jeff Russell and Chen Yang (pdf)

Empirical market microstructure

· "Full-information transaction costs" with Jeff Russell (pdf)

· "The price level puzzle” with Jeff Russell and Omid Sabbaghi (pdf)

Winner of the Standard & Poor’s best paper award in asset pricing: MFA 2009 meetings

Low-frequency asset price dynamics

· "Long-run risk-return trade-offs" with Benoit Perron (pdf)
Journal of Econometrics, 143 (2008) 349-374

· "Long memory and the relation between implied and realized volatility" with Benoit Perron (pdf)
Journal of Financial Econometrics, 4 (2006) 636-670

· "A long-horizon perspective on the cross-section of expected returns" with Abraham Lioui,

Benoit Perron and Rene’ Garcia (pdf)

Persistence and conditional inference

· "On persistence and nonparametric estimation: with an application to stock-return predictability" (pdf)

· "Nonparametric nonstationarity tests" with Valentina Corradi (pdf)

Econometric Theory, forthcoming

· "Data-driven bandwidth selection for nonparametric nonstationary regressions"

with Valentina Corradi and Daniel Wilhelm (pdf and supplement)