This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents ...

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. ...

We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes ...

We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is ...

This paper develops a simple New Keynesian model incorporating a small time-varying probability that the economy is struck by a disaster in the future. The model's main prediction is that a small increase in the disaster ...

The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the ...

By any measure, the European Monetary Union and the European Union are in a deep hole. In the summer of 2011 we came uncomfortably close to an uncontrolled sovereign default of an EU country, a member of the European ...

The prices of wine is a key topic for market participants interested in valuing their stock, including dealers, restaurants or consumers who may be interested in optimizing their purchases. As a closely related issue, ...

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can ...

Geoengineering aims at a large-scale manipulation of the planetary environment in order to counteract climate change. Different ethical worries concerning geoengineering have been formulated. Amongst these a core wrong ...