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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

Limit orders, market orders, limit order book, order aggressiveness, order-driven markets

G1, limit order book, market microstructure, order-driven markets, price formation, state-space models, volatility

Limit order book, volatility, electronic order-driven markets, state-space models, price formation, market microstructure

Intraday returns, Quantile Regression, intraday VaR

Tail correlation, tail risk, quantile, ellipticity, crises

Efficient return, Macroeconomic announcements, Microstructure noise, Informational volatility

Efficient return, macroeconomic announcements, microstructure noise, informational volatility

Stable distribution, Indirect Inference, Constrained Indirect Inference, Skewed-t distribution

Quantiles, simulated methods, alpha-stable distribution, fat tails

Commonality, liquidity, equities, factor models, block structure

Realized volatilities, vast dimensions, factor models, long-memory, forecasting

Systemic risk, ranking, financial institutions, Lehman

Duration, Hazard function, Market microstructure, Latent variable model

US bonds, PDL model, business cycle, macroeconomic announcements

Transport Economics Policy & Planning, Governance Indicators, Banks & Banking Reform, Urban Slums Upgrading, Urban Services to the Poor

Great Moderation, temporal disaggregation, volatility, dynamic factor models, Kalman filter

Duration processes, transactions data, intra-day financial markets, density forecast evaluation

Temporal aggregation, ARIMA, Seasonality, GARCH, Vector ARMA, Spurious causality, Multivariate GARCH

Conditional skewness, asymmetry

Quantiles, elliptical family, simulations, heavy tails

French State deficit, temporal aggregation, intra-annual, forecasting

Indirect inference, efficient method of moments, auxiliary model, information criteria, asymptotic efficiency

Weak exogeneity, pseudo-maximum likelihood, semiparametric models, point processes, high-frequency data. stealth trading, mixture of distribution hypothesis

Stable, elliptical, high dimension, multivariate, Indirect Inference

panel data, temporal aggregation, temporal aggregation, model specification, efficiency

Stable distributions, local asymptotic normality, rank tests, asymptotic relative efficiencies

Stable Distributions, Local Asymptotic Normality, R-Estimation, Asymptotic Relative Efficiencies

Quantiles, S-mixing