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Estimating the Quadratic Covariation Matrix from Noisy Observations
Local Method of Moments and Efficiency
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. ...
College Admissionswith Entrance Exams
We study a college admissions problem in which colleges accept students by ranking students’ efforts in entrance exams. Students’ ability levels affect the cost of their efforts. We solve and compare the equilibria of ...
Academic Ranking Scales in Economics
Prediction and Imputation
Publications are a vital element of any scientist’s career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales ...
No Role for the HartzReforms?
Demand and Supply Factorsin the German Labor Market,1993-2014
The supply and demand framework of Katz and Murphy (1992) provides new evidence on the source of changes in socially insured full-time and part-time employment in years preceding and following the implementation of the ...