All Outputs (2)

Semiparametric Testing with Highly Persistent Predictors (2021)
Journal Article
Werker, B., & Zhou, B. (2022). Semiparametric Testing with Highly Persistent Predictors. Journal of Econometrics, 227(2), 347-370. https://doi.org/10.1016/j.jeconom.2021.03.016

We address the issue of semiparametric efficiency in the bivariate regression problem with a highly persistent predictor, where the joint distribution of the innovations is regarded an infinite-dimensional nuisance parameter. Using a structural repre... Read More about Semiparametric Testing with Highly Persistent Predictors.

Volatility measurement with pockets of extreme return persistence (2021)
Journal Article
Andersen, T. G., Li, Y., Todorov, V., & Zhou, B. (2023). Volatility measurement with pockets of extreme return persistence. Journal of Econometrics, 237(2), Article 105048. https://doi.org/10.1016/j.jeconom.2020.11.005

Increasing evidence points towards the episodic emergence of pockets with extreme return persistence. This notion refers to intraday periods of non-trivial duration, for which stock returns are highly positively autocorrelated. Such... Read More about Volatility measurement with pockets of extreme return persistence.