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Jump Variation in High-Frequency Asset Returns: New Estimation Methods
A large literature has emerged in the last 10 years using high-frequency (intraday) asset returns to estimate lower-frequency phenomena, several of which being conditional daily return variance and its components jump variation and integrated variance. We propose several new estimators of jump variation and integrated variance. ...
Inferential Theory for Factor Models of Large Dimensions under Monotone Missing Data
In this dissertation we investigate the inferential theory for factor models with large cross-section ($N$) and time series ($T$) dimensions under monotone-missing data. The major contribution of the dissertation is the development and testing of an intuitive and parsimonious factor-based imputation (FBI) algorithm that ...