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A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Yingying Li, Zhiyuan Zhang, Yichu Li

Asymptotic inference about predictive accuracy using high frequency data
Jia Li, Andrew J. Patton

On the choice of test statistic for conditional moment inequalities
Timothy B. Armstrong

Testing for self-excitation in jumps
H. Peter Boswijk, Roger J.A. Laeven, Xiye Yang

Bayesian nonparametric vector autoregressive models
Maria Kalli, Jim E. Griffin

Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics
Irene Botosaru, Yuya Sasaki

Resolution of policy uncertainty and sudden declines in volatility
Dante Amengual, Dacheng Xiu

Delta-method inference for a class of set-identified SVARs
Bulat Gafarov, Matthias Meier, José Luis Montiel Olea

Identification and estimation of incomplete information games with multiple equilibria
Ruli Xiao

Consistent estimation of linear regression models using matched data
Masayuki Hirukawa, Artem Prokhorov

Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
Yiguo Sun, Emir Malikov

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